starmine: StarMine Rankings, 1995
In backtest: Exploring Portfolio-Based Conjectures About Financial Instruments

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StarMine rankings of some stocks in 1995, with corresponding returns and other data.

1	data(starmine)

A data frame containing 53328 observations on the following 23 variables.

date: Date on which the observation was recorded. The dates have a monthly frequency. Dates range from 1995-01-31 to 1995-11-30.
id: Unique identifier for each stock.
symbol: Company symbol.
name: Full company name.
country: Country of the exchange on which the company is listed. This factor has levels AUS, CHE, DEU, DNK, ESP, FIN, FRA, GBR, HKG, ITA, JPN, NLD, NOR, NZL, SWE and USA
sector: Sector specification. This factor has levels Durbl, Enrgy, HiTec, Hlth, Manuf, Money, NoDur, Other, Shops, Telcm and Utils
sec: An alternative sector specification. This factor has levels CND, CNS, COM, ENE, FIN, HTH, IND, MAT, TEC and UTL.
ind: Industry specification. This factor has levels AERDF, AIRLN, AUTOP, AUTOS, BANKS, BEVGS, BIOTC, BUILD, CHEMS, CNENG, CNFIN, CNMAT, COMEQ, COMPT, COMSS, CONGL, CPMKT, DICNS, DISTR, DVFIN, DVTEL, ELEQI, ELEQT, ELUTL, ENEQS, FDPRD, FDRET, GSUTL, HEPSV, HEQSP, HETEC, HOTEL, HSDUR, HSPRD, INSUR, INTSS, IPPET, ITCAT, ITCON, LEISR, LFSCI, LOGIS, MACHN, MEDIA, METAL, MGFIN, MLRET, MLUTL, OFFIC, OILGS, PACKG, PAPER, PHARM, PRPRD, REALE, REDEV, REITS, RRAIL, SEMIP, SEMIS, SHIPS, SMOKE, SOFTW, SPRET, TEXAP, TRADE, TRINF, WIREL and WTUTL
size: cap.usd normalized to N(0,1).
smi: StarMine Indicator (smi) score
liq: Liquidity of the company.
ret.0.1.m: One-month forward return of the company.
ret.0.6.m: Six-month forward return of the company.
ret.1.0.m: One-month prior return of the company.
ret.6.0.m: Six-month prior return of the company.
ret.12.0.m: Twelve-month prior return of the company.
mn.dollar.volume.20.d: Mean dollar volume of the past 20 days.
md.dollar.volume.120.d: Median dollar volume of the past 120 days.
cap.usd: Market capitalisation of the company in USD.
cap: Market capitalisation of the company in local currency.
sales: Annual gross sales of the company.
net.income: Annual net income of the company.
common.equity: Annual common equity of the company.

starmine contains selected attributes such as sector, market capitalisation, country, and various measures of return for a universe of approximately 6,000 stocks. The data is on a monthly frequency from January 31, 1995 to November 30, 1995.

We would like to thank StarMine Corporation for allowing us to include this data in the backtest package.

StarMine Corporation. For more information, see http://www.starmine.com.