SAS Code:

Code for "Are Smoother Earnings Associated with a Lower Cost of Equity Capital?"

Code for standard errors with clustering in two dimensions:

There is currently no "canned" code in SAS to correct OLS standard errors for clustering along more than one dimension.  I have written some SAS code that allows for two-dimensional clustering as devised by Cameron, Gelbach, and Miller (2006) and discussed by Petersen (2007).  I recommend reading this background information before running the code.