Formulas and Variables

Below are the formulas employed by the CompustatControls class, alongside their associated Compustat control variable names.

Formulas and Corresponding Variables

FirmSize:

  • Formula: \(\log(\text{at})\)

  • Compustat Variable: at

Leverage:

  • Formula: \(\frac{\text{dltt}}{\text{at}}\)

  • Compustat Variable: dltt, at

ROA:

  • Formula: \(\frac{\text{ni}}{\text{at}}\)

  • Compustat Variable: ni, at

MTB:

  • Formula: \(\frac{\text{prcc_f} \times \text{csho}}{\text{ceq}}\)

  • Compustat Variable: prcc_f, csho, ceq

TobinsQ:

  • Formula: \(\frac{\text{prcc_f} \times \text{csho} + \text{dltt}}{\text{at}}\)

  • Compustat Variable: prcc_f, csho, dltt, at

SalesGrowth:

  • Formula: Percentage change in sale

  • Compustat Variable: sale

DividendPayout:

  • Formula: \(\frac{\text{dvc}}{\text{ni}}\)

  • Compustat Variable: dvc, ni

CapexToAssets:

  • Formula: \(\frac{\text{capx}}{\text{at}}\)

  • Compustat Variable: capx, at

FirmAge:

  • Formula: \(fyear\) - ipodate

  • Compustat Variable: fyear, ipodate

CurrentRatio:

  • Formula: \(\frac{\text{act}}{\text{lct}}\)

  • Compustat Variable: act, lct

EarningsVolatility:

  • Formula: 5-period rolling standard deviation of ni

  • Compustat Variable: ni

RDIntensity:

  • Formula: \(\frac{\text{xrd}}{\text{sale}}\)

  • Compustat Variable: xrd, sale

CashRatio:

  • Formula: \(\frac{\text{che}}{\text{at}}\)

  • Compustat Variable: che, at

InterestCoverage:

  • Formula: \(\frac{\text{ebit}}{\text{xint}}\)

  • Compustat Variable: ebit, xint

Z_Score:

  • Formula: \(1.2A + 1.4B + 3.3C + 0.6D + 0.999E\)

  • Compustat Variables: act, lct, re, ebit, prcc_f, csho, lt, sale

OpEfficiency:

  • Formula: \(\frac{\text{cogs}}{\text{sale}}\)

  • Compustat Variables: cogs, sale

NetWorkingCapital:

  • Formula: \(act\) - lct

  • Compustat Variables: act, lct

AssetTurnover:

  • Formula: \(\frac{\text{sale}}{\text{at}}\)

  • Compustat Variables: sale, at

InventoryTurnover:

  • Formula: \(\frac{\text{cogs}}{\text{invt}}\)

  • Compustat Variables: cogs, invt

ReceivablesTurnover:

  • Formula: \(\frac{\text{sale}}{\text{rect}}\)

  • Compustat Variables: sale, rect

GrossMargin:

  • Formula: \(\frac{\text{sale} - \text{cogs}}{\text{sale}}\)

  • Compustat Variables: sale, cogs

EffectiveTaxRate:

  • Formula: \(\frac{\text{txp}}{\text{pi}}\)

  • Compustat Variables: txp, pi

PE_Ratio:

  • Formula: \(\frac{\text{prcc_f}}{\frac{\text{ni}}{\text{csho}}}\)

  • Compustat Variables: prcc_f, ni, csho

OperatingMargin:

  • Formula: \(\frac{\text{ebit}}{\text{sale}}\)

  • Compustat Variables: ebit, sale

RD_to_Assets:

  • Formula: \(\frac{\text{xrd}}{\text{at}}\)

  • Compustat Variables: xrd, at

DebtMaturity:

  • Formula: \(\frac{\text{dltt}}{\text{dltt} + \text{dlc}}\)

  • Compustat Variables: dltt, dlc

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