Detail for Historical Book Equity Data
This file contains hand-collected book equity values from the Moody's Industrial, Public Utility, Transportation, and Bank and Finance Manuals. It includes the data used in Davis, Fama and French (2000)* and similar data for non-industrial firms. The fields in each record are:
CRSP_Permno, First_Moody_Year, Last_Moody_Year, (Book_Equity(t), t=1926,2001)
CRSP_Permno is the Permno assigned to each security by the Center for Research in Security Prices at the University of Chicago.
First_Moody_Year is the edition of the Moody's manual from which the first book equity observation was collected. For example, a First_Moody_Year of 1926 indicates that the first observation was collected from the 1926 edition of the Moody's manual. Based on the timimg of the compilation of the manuals, this number would be publicly available by June 30, 1926.
Last_Moody_Year is the edition of the Moody's manual from which the last book equity observation was collected. The last book equity observation would be publicly available by June 30 of Last_Moody_Year.
Book_Equity(t) is the book value of common equity (in millions) collected from the Moody's manual published in year t. The book equity observation for year t would be publicly available as of June 30 of year t. Book_Equity is calculated as in Davis, Fama and French (2000). Missing values are coded as -99.990.