famafrench.FamaFrench.queryComp

FamaFrench.queryComp(self, dt_start, dt_end)[source]

Query Compustat Fundamentals Annual files from wrds-cloud.

Parameters

  • dt_start (datetime.date) – Starting date for the dataset queried or locally retrieved.

  • dt_end (datetime.date) – Ending date for the dataset queried or locally retrieved.

Returns

  • dfcomp (pandas.DataFrame) – Dataset containing Compustat data cleaned from wrds-cloud queries.

  • dfcomp_list (list, str) – Names of the anomaly portfolio characteristics computed from Compustat Fundamentals Annual.

Note

Following Fama and French:

  • Book Equity is calculated as follows: book value of stockholders’ equity + balance sheet deferred taxes and investment tax credit (if available) - the book value of preferred stock. Depending on availability, use the redemption, liquidation, or par value (in that order) to estimate the book value of preferred stock ps.

  • Stockholders’ equity is the value reported by Moody’s or Compustat, if it is available. If not, measure book value of stockholders’ equity as the book value of common equity plus the par value of preferred stock, or the book value of assets minus total liabilities (in that order).

  • We must flag for number of years in Compustat (less than two years are likely backfilled data)

Note

List of Compustat Fundamentals Annual (XpressFeed) variables:

  • gvkey : Unique permanent identifier assigned by Compustat at the company-level

  • datadate : Reporting date for data record

  • indfmt : Item used to identify whether a company reports in a “Financial Services” or “Industrial” format

  • datafmt : Item indicating how the company’s data is collected and presented

  • popsrc : Item indicating whether source of the data is domestic or international

  • consol : Item used to identify whether a company’s financials represent consolidate or nonconsolidated information

  • at : Total Assets

  • lt : Total Liabilities

  • ceq : Total Common/Ordinary Equity = [Common/Ordinary Stock (Capital) + Capital Surplus/Share Premium Reserve + Retained Earnings - Total Treasury Stock (All Capital)] (= cstk + caps + re - tstk)

  • seq : Parent’s Stockholders Equity (= ceq + pstk)

  • pstkrv : Redemption Value of Preferred Stock

  • pstkl : Liquidating Value of Preferred Stock

  • pstk : Total Preferred/Preference Stock (Capital) = [Redeemable Preferred/Preference Stock + Nonredeemable Preferred/Preference Stock] (= pstkr + pstkn)

  • txdb : Deferred Taxes (Balance Sheet)

  • itcb : Investment Tax Credit (Balance Sheet)

  • txditc : Deferred Taxes and Investment Tax Credit (= txdb + itcb)

  • revt : Total Revenue

  • cogs : Cost of Goods Sold

  • xint : Total Interest and Related Expense

  • xsga : Selling, General and Administrative Expense

  • mib : Non-controlling/Minority Interest (Balance Sheet)

  • ib : Income Before Extraordinary Items

  • txdi : Deferred Income Taxes

  • dp : Depreciation and Amortization

  • chso : Common Shares Outstanding

  • adjex_f : Fiscal-Year, Cumulative Adjustment Factor by Ex-Date

  • act : Total Current Assets

  • lct : Total Current Liabilities

  • che : Cash and Short-Term Investments

  • dlc : Total Debt in Current Liabilities

Note

Depending on a user’s WRDS subscription, data variables will be queried from the most frequently updated Compustat datafiles. Compustat offers daily, monthly, and annually updated files for annual observations. The default datafiles are updated monthly. See wrds-cloud SAS Library Names below:

  • compd : dataset Compustat - NA, Bank, Global - Daily Update

  • compm : dataset Compustat - NA - Monthly Update

  • compa : dataset Compustat - NA - Annual Update

  • comp : default dataset Compustat - NA, Bank, Global, Execucomp - Monthly Update