Variable definitions
| Variable | Definition |
|---|---|
| AF | An indicator variable, set to one if an analyst rating is available and zero otherwise |
| AGE | The number of years since the firm was first listed |
| APS | The adjustment between EPS and HEPS, calculated so that EPS = HEPS + APS |
| AR | The analyst rating for the firm if available |
| BETA | A measure of risk, measured using up to 36 prior monthly returns as per LSEG Workspace |
| BPS | Book value per share |
| DY | Dividend yield |
| EPS | Basic earnings per share |
| ΔEPS | The change in EPS compared to the previous period |
| HEPS | Headline earnings per share |
| LEV | Total debt to total assets |
| LIQ | The liquidity of shares traded during the reporting period calculated as the average monthly trading volume divided by the average number of shares outstanding |
| MAR | 12-month market-adjusted return, calculated as the total return of the firm relatively to the index return |
| MTB | Market-to-book ratio |
| NEG | An indicator variable, set to one if EPS is negative and zero otherwise |
| NOSHST | The total percentage strategic shareholding from LSEG Workspace. NOSHST comprises the total shareholding of all parties (including management, institutional investors, other firms and individuals) who hold more than 5% of the shares in issue |
| OWN | An indicator variable, set to one if ownership concentration falls into a particular quintile based on NOSHST and zero otherwise |
| |OWN_AB| | An indicator variable, set to one if abnormal ownership concentration falls into a particular quintile based on the absolute value of the residual from regressing model (3) and zero otherwise |
| OWN_AB | An indicator variable, set to one if abnormal ownership concentration falls into a particular quintile based on the residual from regressing model (3) and zero otherwise |
| p | Share price, three months after reporting date, calculated by adjusting the share price at reporting date with a firm-specific total return index which allows for corporate actions |
| SIZE | The natural log of total assets |
| VOL | The standard deviation of daily share price returns over the reporting period |
| Variable | Definition |
|---|---|
| An indicator variable, set to one if an analyst rating is available and zero otherwise | |
| The number of years since the firm was first listed | |
| The adjustment between | |
| The analyst rating for the firm if available | |
| A measure of risk, measured using up to 36 prior monthly returns as per LSEG Workspace | |
| Book value per share | |
| Dividend yield | |
| Basic earnings per share | |
| The change in | |
| Headline earnings per share | |
| Total debt to total assets | |
| The liquidity of shares traded during the reporting period calculated as the average monthly trading volume divided by the average number of shares outstanding | |
| 12-month market-adjusted return, calculated as the total return of the firm relatively to the index return | |
| Market-to-book ratio | |
| An indicator variable, set to one if | |
| The total percentage strategic shareholding from LSEG Workspace. | |
| An indicator variable, set to one if ownership concentration falls into a particular quintile based on | |
| An indicator variable, set to one if abnormal ownership concentration falls into a particular quintile based on the | |
| An indicator variable, set to one if abnormal ownership concentration falls into a particular quintile based on the residual from regressing model | |
| Share price, three months after reporting date, calculated by adjusting the share price at reporting date with a firm-specific total return index which allows for corporate actions | |
| The natural log of total assets | |
| The standard deviation of daily share price returns over the reporting period |
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