A universe of the 5000 largest global stocks as of 2004-12-31, and a flag indicating whether a security was ranked by Assay Research at that time.
Special thanks to Assay Research for granting us permission to release this data.
data(assay)A data frame with 5000 observations on the following 11 variables.
dateA vector containing a single Date: 2004-12-31.
idA character vector of SEDOLs and CUSIPs.
symbolA character vector of symbols.
nameA character vector of the names of the companies.
countryA factor with levels AUS AUT BEL CHE DEU DNK ESP FIN FRA GBR HKG ITA JPN NLD NOR NZL SGP SWE USA.
currencyA factor with levels AUD CHF DKK EUR GBP HKD JPY NOK NZD SEK SGD USD.
priceA numeric vector of prices.
sectorA factor with levels Communications Conglomerates Cyclicals Energy Financials Industrials Materials Staples Technology Utilities
secAn alternative sector specification. This factor has levels CND, CNS, COM, ENE, FIN, HTH, IND, MAT, TEC and UTL.
indIndustry specification. This factor has levels AERDF, AIRLN, AUTOP, AUTOS, BANKS, BEVGS, BIOTC, BUILD, CHEMS, CNENG, CNFIN, CNMAT, COMEQ, COMPT, COMSS, CONGL, CPMKT, DICNS, DISTR, DVFIN, DVTEL, ELEQI, ELEQT, ELUTL, ENEQS, FDPRD, FDRET, GSUTL, HEPSV, HEQSP, HETEC, HOTEL, HSDUR, HSPRD, INSUR, INTSS, IPPET, ITCAT, ITCON, LEISR, LFSCI, LOGIS, MACHN, MEDIA, METAL, MGFIN, MLRET, MLUTL, OFFIC, OILGS, PACKG, PAPER, PHARM, PRPRD, REALE, REDEV, REITS, RRAIL, SEMIP, SEMIS, SHIPS, SMOKE, SOFTW, SPRET, TEXAP, TRADE, TRINF, WIREL and WTUTL
liqA numeric vector of liquidities.
on.flA logical vector indicating presence on the
Assay Focus List as of 2004-12-31.
ret.0.1.mA numeric vector of one-month forward returns
ret.0.3.mA numeric vector of three-month forward returns
ret.0.6.mA numeric vector of one-month forward returns
ret.1.0.mA numeric vector of one-month prior returns
ret.6.0.mA numeric vector of six-month prior returns
ret.12.0.mA numeric vector of twelve-month prior returns
mn.dollar.volume.20.dA numeric vector of mean dollar volumes of the past 20 days
md.dollar.volume.120.dA numeric vector of median dollar volumes of the past 120 days
cap.usdA numeric vector of market capitalisation in USD.
capA numeric vector of market capitalisation in local currency.
salesAnnual gross sales of the company.
net.incomeAnnual net income of the company.
common.equityAnnual common equity of the company.