return: return

In wooldridge: 115 Data Sets from "Introductory Econometrics: A Modern Approach, 7e" by Jeffrey M. Wooldridge

return

Description

Wooldridge Source: Collected by Stephanie Balys, a former MSU undergraduate, from the New York Stock Exchange and Compustat. Data loads lazily.

Usage

data('return')

Format

A data.frame with 142 observations on 12 variables:

• roe: return on equity, 1990

• rok: return on capital, 1990

• dkr: debt/capital, 1990

• eps: earnings per share, 1990

• netinc: net income, 1990 (mills.)

• sp90: stock price, end 1990

• sp94: stock price, end 1994

• salary: CEO salary, 1990 (thous.)

• return: percent change s.p., 90-94

• lsalary: log(salary)

• lsp90: log(sp90)

• lnetinc: log(netinc)

Notes

More can be done with this data set. Recently, I discovered that lsp90 does appear to predict return (and the log of the 1990 stock price works better than sp90). I am a little suspicious, but you could use the negative coefficient on lsp90 to illustrate “reversion to the mean.”

Used in Text: page 162-163

Source

https://www.cengage.com/cgi-wadsworth/course_products_wp.pl?fid=M20b&product_isbn_issn=9781111531041

Examples

 str(return)

wooldridge documentation built on May 3, 2023, 5:06 p.m.