Article Title: "The Trade-off Model with Mean Reverting Earnings: Theory and Empirical Tests" by S Sarkar

File size: 17KB (8KB zipped)

Description of data:

Please note - this is a zipped .dat file.

The variables in the data file are as follows:

firmno kappa theta sigma lev95 lev94 lev93 avtax95 avtax94 earn95 earn94
asset95 asset94 margtax90 margtax91 margtax94 margtax95;

Variable descriptions:

firmno: firm number
kappa: speed of reversion of the earnings process
(estimated by the authors, please see paper for details)
theta: long-run mean of the earnings process
(estimated by the authors, please see paper for details)
sigma: volatility of the earnings process
(estimated by the authors, please see paper for details)
lev95: debt-to-equity ratio for 1995 (from Compustat)
lev94: debt-to-equity ratio for 1994 (from Compustat)
avtax95: average tax rate from compustat for 1995
avtax94: average tax rate from compustat for 1994
earn95: earnings of the firm for 1995 (EBIT+Depreciation) (from Compustat)
earn94: earnings of the firm for 1994 (EBIT+Depreciation) (from Compustat)
asset95: firm's asset value for 1995 (from Compustat)
asset94: firm's asset value for 1994 (from Compustat)
margtax90: marginal (pre-interest) tax rate from John Graham database for
1990
margtax91: marginal (pre-interest) tax rate from John Graham database for
1991
margtax94: marginal (pre-interest) tax rate from John Graham database for
1994
margtax95: marginal (pre-interest) tax rate from John Graham database for
1995

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datafile.zip (8kb)