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*===Rejecting for now...=== All of the capital structure measures. :*Sources include 'Thompson 13' (Tetlock 2010), 'Value Line Investment Survey' (Emery and Switzer 1999), 'Compact Disclosure' data base of 13f filings (Utama and Cready 1997), 'CDA/Investnet' (Aboody and Lev 2000), etc. *It appears that Thomson 13, which was formerly CDA/Spectrum is now available through WRDS.*Likewise, also under Thompson Reuters is the s12 which details mutual fund holdings. ===Microstructure Measures=== We are '''not''' using Microstructure measures and don't have any of them.plan to.But NYSE TAQ is available through WRDS to some subscribers (not me).
Information Asymmetry Measures (view source)
Revision as of 19:50, 31 July 2012
, 19:50, 31 July 2012→Rejecting Variables
*Target Age (not in SDC, so we would have to get another source...)
*R-Squared from Earnings, Book Value - this was used in a single paper and isn't worth it (it requires joining CRSP to COMPUSTAT before running the regressions)
==Build Notes==
