Description Usage Format Details Examples
Fundamental and return data: Assets: 447 stocks listed on the NYSE Frequency: Monthly Date range: 1996-02-29 through 2003-12-31
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data.frame
Date variable: DATE
Stock ID: TICKER
Stock return and price variables: RETURN, PRICE
Numeric exposures: VOLUME, SHARES.OUT, MARKET.EQUITY, LTDEBT, NET.SALES, COMMON.EQUITY, NET.INCOME, STOCKHOLDERS.EQUITY, LOG.MARKETCAP, LOG.PRICE, BOOK2MARKET
Note: Numeric exposures are standardized as z-scores.
Categorical variables: GICS, GICS.INDUSTRY, GICS.SECTOR
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