stock_data: Aggregate stock price & fundamental data.
In Brent-Morrison/romerb: A personal R package
stock_data R Documentation
Aggregate stock price & fundamental data.
Description
A dataset containing various stock level characteristics for approximately 700 companies for each month 2017 through 2021
Usage
stock_data
Format
A data frame with 44932 rows and 72 variables:
- symbol
the ticker symbol identifying the company
- date_stamp
date_stamp
- close
the closing price on the last day of the month
- adjusted_close
the adjusted closing price on the last day of the month
- volume
trading volume
- rtn_log_1m
1 month logarithic return
- amihud_1m
"amihud" illiquidity measure - 1 month average
- amihud_60d
"amihud" illiquidity measure - 3 month average
- amihud_vol_60d
volatility of the daily amihud illiquidity measure
- vol_ari_20d
annualised 1 month volatility of 1 day arithmetic returns
- vol_ari_60d
annualised 3 month volatility of 1 day arithmetic returns
- vol_ari_120d
annualised 3 month volatility of 1 day arithmetic returns
- skew_ari_120d
skewness of 1 day arithmetic returns calculated over 6 months
- kurt_ari_120d
kurtosis of 1 day arithmetic returns calculated over 6 months
- smax_20d
average of the five highest daily returns over the trailing month divided by the trailing 20 day daily return volatility
- cor_rtn_1d_mkt_120d
the correlation of the daily returns between the stock and the S&P500 index over trailing 6 months
- beta_rtn_1d_mkt_120d
the slope of the regression line between the stocks daily returns and the S&P500 index daily returns over trailing 6 months
- rtn_ari_1m
1 month arithmetic returns
- rtn_ari_3m
3 month arithmetic returns
- rtn_ari_6m
6 month arithmetic returns
- rtn_ari_12m
12 month arithmetic returns
- sector
the industry sector to which the stock belongs
- industry
the industry to which the stock belongs
- suv
standardised unexpected volume
- ipc
intra-portfolio correlation
- fin_nonfin
to do - add details
- report_date
to do - add details
- publish_date
to do - add details
- cash_equiv_st_invest
to do - add details
- total_cur_assets
to do - add details
- intang_asset
to do - add details
- total_noncur_assets
to do - add details
- total_assets
to do - add details
- st_debt
to do - add details
- total_cur_liab
to do - add details
- lt_debt
to do - add details
- total_noncur_liab
to do - add details
- total_liab
to do - add details
- total_equity
to do - add details
- net_income_qtly
to do - add details
- cash_ratio
to do - add details
- ttm_earnings
to do - add details
- ttm_earnings_max
to do - add details
- total_equity_cln
to do - add details
- asset_growth
to do - add details
- roa
to do - add details
- roe
to do - add details
- leverage
to do - add details
- other_ca_ratio
to do - add details
- sue
to do - add details
- intang_ratio
to do - add details
- shares_os
to do - add details
- mkt_cap
to do - add details
- book_price
to do - add details
- ttm_earn_yld
to do - add details
- ttm_earn_yld_max
to do - add details
- log_pb
to do - add details
- pbroe_rsdl_ols
to do - add details
- pbroe_rsq_ols
to do - add details
- pbroe_rsdl_ts
to do - add details
- fnmdl_rsdl_ts
to do - add details
- pbroe_rsdl_ols_rnk
to do - add details
- pbroe_rsdl_ts_rnk
to do - add details
- book_price_rnk
to do - add details
- ttm_earn_yld_rnk
to do - add details
- fnmdl_rsdl_ts_rnk
to do - add details
- pbroe_rsdl_ols_z
to do - add details
- pbroe_rsdl_ts_z
to do - add details
- book_price_z
to do - add details
- ttm_earn_yld_z
to do - add details
- fnmdl_rsdl_ts_z
to do - add details
- agg_valuation
to do - add details
...
Source
Alpha Vantage & IEX for raw data and "return_attributes.R" for further calculations
Brent-Morrison/romerb documentation built on Jan. 28, 2024, 9:27 p.m.
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| stock_data | R Documentation |
Aggregate stock price & fundamental data.
Description
A dataset containing various stock level characteristics for approximately 700 companies for each month 2017 through 2021
Usage
stock_data
Format
A data frame with 44932 rows and 72 variables:
- symbol
the ticker symbol identifying the company
- date_stamp
date_stamp
- close
the closing price on the last day of the month
- adjusted_close
the adjusted closing price on the last day of the month
- volume
trading volume
- rtn_log_1m
1 month logarithic return
- amihud_1m
"amihud" illiquidity measure - 1 month average
- amihud_60d
"amihud" illiquidity measure - 3 month average
- amihud_vol_60d
volatility of the daily amihud illiquidity measure
- vol_ari_20d
annualised 1 month volatility of 1 day arithmetic returns
- vol_ari_60d
annualised 3 month volatility of 1 day arithmetic returns
- vol_ari_120d
annualised 3 month volatility of 1 day arithmetic returns
- skew_ari_120d
skewness of 1 day arithmetic returns calculated over 6 months
- kurt_ari_120d
kurtosis of 1 day arithmetic returns calculated over 6 months
- smax_20d
average of the five highest daily returns over the trailing month divided by the trailing 20 day daily return volatility
- cor_rtn_1d_mkt_120d
the correlation of the daily returns between the stock and the S&P500 index over trailing 6 months
- beta_rtn_1d_mkt_120d
the slope of the regression line between the stocks daily returns and the S&P500 index daily returns over trailing 6 months
- rtn_ari_1m
1 month arithmetic returns
- rtn_ari_3m
3 month arithmetic returns
- rtn_ari_6m
6 month arithmetic returns
- rtn_ari_12m
12 month arithmetic returns
- sector
the industry sector to which the stock belongs
- industry
the industry to which the stock belongs
- suv
standardised unexpected volume
- ipc
intra-portfolio correlation
- fin_nonfin
to do - add details
- report_date
to do - add details
- publish_date
to do - add details
- cash_equiv_st_invest
to do - add details
- total_cur_assets
to do - add details
- intang_asset
to do - add details
- total_noncur_assets
to do - add details
- total_assets
to do - add details
- st_debt
to do - add details
- total_cur_liab
to do - add details
- lt_debt
to do - add details
- total_noncur_liab
to do - add details
- total_liab
to do - add details
- total_equity
to do - add details
- net_income_qtly
to do - add details
- cash_ratio
to do - add details
- ttm_earnings
to do - add details
- ttm_earnings_max
to do - add details
- total_equity_cln
to do - add details
- asset_growth
to do - add details
- roa
to do - add details
- roe
to do - add details
- leverage
to do - add details
- other_ca_ratio
to do - add details
- sue
to do - add details
- intang_ratio
to do - add details
- shares_os
to do - add details
- mkt_cap
to do - add details
- book_price
to do - add details
- ttm_earn_yld
to do - add details
- ttm_earn_yld_max
to do - add details
- log_pb
to do - add details
- pbroe_rsdl_ols
to do - add details
- pbroe_rsq_ols
to do - add details
- pbroe_rsdl_ts
to do - add details
- fnmdl_rsdl_ts
to do - add details
- pbroe_rsdl_ols_rnk
to do - add details
- pbroe_rsdl_ts_rnk
to do - add details
- book_price_rnk
to do - add details
- ttm_earn_yld_rnk
to do - add details
- fnmdl_rsdl_ts_rnk
to do - add details
- pbroe_rsdl_ols_z
to do - add details
- pbroe_rsdl_ts_z
to do - add details
- book_price_z
to do - add details
- ttm_earn_yld_z
to do - add details
- fnmdl_rsdl_ts_z
to do - add details
- agg_valuation
to do - add details
...
Source
Alpha Vantage & IEX for raw data and "return_attributes.R" for further calculations
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