daEsa: Daily returns of 14 public firms from 1990 to 2004

In erer: Empirical Research in Economics with R

Daily returns of 14 public firms from 1990 to 2004

Description

This data set contains daily returns of 14 public firms, three-month treasury bill, and SP 500 Index from 1990 to 2004.

date	Eight-digit numbers for date of 1990-2004; the format is YYMMDD, e.g., 19900102 for Jan 2, 1990
tb3m	Daily returns for three-month treasury bills
sp500	Daily returns for SP 500 Index
bcc	Daily returns for Boise Cascade
bow	Daily returns for Bowater
csk	Daily returns for Chesapeake Corp VA
gp	Daily returns for Georgia-Pacific
ip	Daily returns for International Paper
kmb	Daily returns for Kimberly Clark
lpx	Daily returns for Louisiana Pacific
mwv	Daily returns for MeadWestvaco
pch	Daily returns for Potlatch
pcl	Daily returns for Plum Creek
pop	Daily returns for Pope and Talbot
tin	Daily returns for Temple Inland
wpp	Daily returns for Wausau Mosinee Paper
wy	Daily returns for Weyerhaeuser

Usage

data(daEsa)

Format

A data frame object with daily returns for firms or indexes from 1994 to 2004. There are 17 columns and 3747 rows. The date is not regular because there is no trading on weekends and holidays. Therefore, the date is represented by a number, not a date.

Details

This is the transformated data set used in the study of Sun and Liao (2011).

Source

The daily returns for SP 500 and individual firms are from the database of the Center for Research in Security Prices (CRSP). The risk-free rate of return is the secondary market rate for the 3-month US Treasury bills from the Federal Reserve Bank.

References

Sun, C., and X. Liao. 2011. Effects of litigation under the Endangered Species Act on forest firm values. Journal of Forest Economics 17(4):388-398.

See Also

evReturn; evRisk.

Examples

data(daEsa) 
dim(daEsa); colnames(daEsa)
head(daEsa); tail(daEsa)
str(daEsa)

# if dates are stored as a date object in R, then it can be converted into
# numbers as the following example shows.

raw <- as.Date(c('1990-01-02', '1991-11-12')); raw; str(raw)
raw2 <- as.numeric(strftime(raw, format = "%Y%m%d")); raw2; str(raw2)

erer documentation built on Sept. 26, 2024, 5:06 p.m.