ullwan: Data about Some of the S&P 500 Stock Prices

In meboot: Maximum Entropy Bootstrap for Time Series

Data about Some of the S&P 500 Stock Prices

Description

This data set collects information about seven S&P 500 stocks whose market capitalizaiton exceeds $27 billion. The seven companies are labelled as ABT, AEG, ATI, ALD, ALL, AOL and AXP. For each company data from May 1993 to November 1997 are available (469 observations).

Usage

      data (ullwan)
   

Format

The data are stored in an object of classes pdata.frame (a data.frame class with further attributes useful for panel data from the plm package) and data.frame.

Details

The following information is contained by columns:

• Subj: Company index.

• Tim: Times at which the data where observed (on a monthly basis).

• MktVal: Market capitalization.

• Price: Stock prices.

• Pupdn: Binary variable, takes the value 1 if there is a turning point (a switch from a bull to a bear market or vice versa) and 0 otherwise.

• Tb3: Interest on 3-month Treasury bills.

Source

Compustat database.

References

Yves Croissant (2005). plm: Linear models for panel data. R package version 0.1-2.

meboot documentation built on Aug. 23, 2023, 1:07 a.m.