stocks145scores6: stocks145scores6

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

stocks145scores6

Description

Contains returns for 145 stocks starting from Jan 1990 to Dec 2014 spanning ENERGY, COSTAP, INDUS,T MATRLS, FINS, INFOTK, HEALTH, CODISC, UTILS and TELCOM along with factors ROE, BP, MOM121, SIZE, VOL121, and EP.

The 10 Sectors correspond to Energy, ConsumerStaples, Industrials, Materials, Financials, InformationTechnology, HealthCare, ConsumerDiscretionary, Utilities and Telecommunications respectively.

Usage

data('stocks145scores6')

Format

A data.frame with 43000 observations on 15 variables:

• DATE: type 'Date'

• compustat_id: type 'int'

• TICKER: type 'chr'

• NAME: type 'chr'

• GSECTOR: type 'num'

• SECTOR: type 'chr'

• ROE: type 'num'

• BP: type 'num'

• PM12M1M: type 'num'

• SIZE: type 'num'

• ANNVOL1M: type 'num'

• EP: type 'num'

• RETURNRAW: type 'num'

• RETURN: type 'num'

• rf: type 'num'

Details

CRSP stocks Capital IQ scores

Source

TBA

Examples

 
data(stocks145scores6)
 str(stocks145scores6)

braverock/factorAnalytics documentation built on March 2, 2024, 11:17 p.m.