R: Daily returns of 14 public firms from 1990 to 2004
daEsa
R Documentation
Daily returns of 14 public firms from 1990 to 2004
Description
This data set contains daily returns of 14 public firms, three-month treasury bill, and SP 500 Index from 1990 to 2004.
date
Eight-digit numbers for date of 1990-2004; the format is YYMMDD, e.g., 19900102 for Jan 2, 1990
tb3m
Daily returns for three-month treasury bills
sp500
Daily returns for SP 500 Index
bcc
Daily returns for Boise Cascade
bow
Daily returns for Bowater
csk
Daily returns for Chesapeake Corp VA
gp
Daily returns for Georgia-Pacific
ip
Daily returns for International Paper
kmb
Daily returns for Kimberly Clark
lpx
Daily returns for Louisiana Pacific
mwv
Daily returns for MeadWestvaco
pch
Daily returns for Potlatch
pcl
Daily returns for Plum Creek
pop
Daily returns for Pope and Talbot
tin
Daily returns for Temple Inland
wpp
Daily returns for Wausau Mosinee Paper
wy
Daily returns for Weyerhaeuser
Usage
data(daEsa)
Format
A data frame object with daily returns for firms or indexes from 1994 to 2004. There are 17 columns and 3747 rows. The date is not regular because there is no trading on weekends and holidays. Therefore, the date is represented by a number, not a date.
Details
This is the transformated data set used in the study of Sun and Liao (2011).
Source
The daily returns for SP 500 and individual firms are from the database of the Center for Research in Security Prices (CRSP). The risk-free rate of return is the secondary market rate for the 3-month US Treasury bills from the Federal Reserve Bank.
References
Sun, C., and X. Liao. 2011. Effects of litigation under the Endangered Species Act on forest firm values. Journal of Forest Economics 17(4):388-398.
See Also
evReturn; evRisk.
Examples
data(daEsa)
dim(daEsa); colnames(daEsa)
head(daEsa); tail(daEsa)
str(daEsa)
# if dates are stored as a date object in R, then it can be converted into
# numbers as the following example shows.
raw <- as.Date(c('1990-01-02', '1991-11-12')); raw; str(raw)
raw2 <- as.numeric(strftime(raw, format = "%Y%m%d")); raw2; str(raw2)