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Information Asymmetry Measures (view source)
Revision as of 17:36, 26 July 2012
, 17:36, 26 July 2012no edit summary
Match back to COMPUSTAT to get NAICS.
===Accounting Variables===
Data source: COMPUSTAT - North America Fundamentals Annual
Ref vars:
*Company Name
*CUSIP
*NAICS
Variables:
*Market-to-Book-Assets (or Q): MKVALT (Sup: Market Value Total) / AT (Bal: Assets Total)
*Market-to-Book-Equity: CEQ MKVALT (Sup: Market Value Total) / (Bal: Common/Ordinary Equity Total), TEQ (Bal: Shareholder's Equity Total)
*Earnings to Price Ratio: RE (Inc: Retained Earnings), EBIT (Inc: Earnings before Income Taxes), EPSPI (Inc: Earnings Per Share (Basic) Including Extraordinary Items), PRCC_F (Sup: Price Close - Annual - Fiscal)
*Firm Size: AT, MKVALT (as above)
*Development Stage (Sales<0.5b): SALE (Inc: Sales/Turnover (Net))
*R&D Expenditure (XRD: Inc: Research and Development Expense), RDIP (Inc: In Process R&D Expense)
*Ratio of R&D to Sales: XRD/SALE (as above)
*Intangible Assets: INTAN (Intangible Assets - Total)
*Ratio of Intangible Assets INTAN/AT
*Sales Growth: <math>\frac{SALE_t - SALE_{t-1}}{SALE_{t-1}}</math>
===Target Characteristics===
We already have:
*Method of Payment
*Diversification/Related (i.e., Horiz, vert, cong)
*Acquirer Experience
*Patent Counts
We need:
*Distance btw Acquirer and Target
*Citations Recd to patents
====Distance btw Acquirer and Target===
Addresses for both the Acquirer and the Target are available from SDC in the vast majority of cases.
We will build a quick XML API to access: https://developers.google.com/maps/documentation/distancematrix/
We can pass 2,500 requests per IP address per day (24hrs) to this service, with a max of 100 elements per query and a max of 100 elements per 10 seconds. Note that URLs are restricted to 2048 characters, before URL encoding (particularly relevant if using multiple elements). Returned data includes:
*Road Distances (in meters/ft in the value field, and miles/km in text)
*Driving Times (in seconds in the value field, and hours in text)
Geocoding is internal. We can explicitly use Google's geocoding to get longitude/latitude if we want to calculate Great Circle Distances (etc): https://developers.google.com/maps/documentation/geocoding/#XML
Example query:
http://maps.googleapis.com/maps/api/distancematrix/xml?origins=Bobcaygeon+ON|41.43206,-81.38992&destinations=Darling+Harbour+NSW+Australia&mode=driving&units=metric&sensor=false
The sensible thing is probably to query all targets (up to some limit, say 25, depending on the length of address strings) for a single acquirer in one-shot.
