get_beneish_m: Get Beneish M-Score

In OliverHennhoefer/quant: Fundamentals Data for Stock Research

Get Beneish M-Score

Description

Wrapper function for fetching data from gurufocus.com.

The Beneish M-Score quantifies the likelihood of reported earnings manipulation. The M-Score is a probabilistic model that classifies the rated company either into the category "Unlikely Manipulator" (M-Score>=-1.78) or "Likely Manipulator" (M-Score>-1.78). The M-Score must not be applied among financial firms like banks and insurance companies due to their very specific business characteristics.

Usage

get_beneish_m(df)

Arguments

df	data.frame. Data frame with column 'symbol' containing at least one valid stock ticker symbol.

Details

The original formula for calculating the Beneish M-Score consists of eight financial ratios:

M = -4.84+0.92xDSRI+0.528xGMI+0.404xAQI+0.892xSGI+0.115xDEPI-0.172xSGAI +4.679xTATA-0.327xLVGI

• DSRI: Days Sales in Receivables Index as earnings quality metric indicates whether earnings quality is rising or falling.

• GMI: Gross Margin Index as a fundamental momentum metric indicates whether a company's profitability and pricing power is rising or falling.

• AQI: Asset Quality Index can be used to determine whether a company is excessively capitalizing expenses.

• SGI: Sales Growth Index indicates whether a company's sales are rising or falling.

• DEPI: Depreciation Index indicates whether a company is depreciating assets at faster or slower rates.

• SGAI: Sales, General and Administrative (SGA) Expenses Index indicates whether a company's SGA Expenses are rising or falling.

• LVGI: Leverage Index indicates whether a company's leverage is rising or falling.

• TATA: Total Accruals to Total Assets indicates whether a change in accounting practices may resulted in

The formula was parameterized by multivariate linear discriminant analysis applied on a data set of 33 solvent and 33 insolvent companies (see references).

Value

Input data.frame supplemented by the company's available Beneish M-Score data.

References

Beneish, Messod D. (1999): The Detection of Earnings Manipulation in Financial Analysts Journal, Volume 55, Issue 5, p. 24-36

Examples

df <- data.frame('symbol' = 'AAPL')
res <- get_beneish_m(df)

OliverHennhoefer/quant documentation built on Sept. 18, 2022, 5:50 p.m.