IRISK t idiosyncratic risk - the...

IRISK_t	idiosyncratic risk - the standard deviation of the residual (multiplied by 10) from regressing the daily stock return (ret) on the CRSP value-weighted return (vwretd) for the one-year period from the beginning of the fourth month of fiscal year t until the end of the third month of year t+1.
IRISK_t3	idiosyncratic risk - the standard deviation of the residual (multiplied by 10) from regressing the daily stock return (ret) on the CRSP value-weighted return (vwretd) for the three-year period from the beginning of the fourth month of fiscal year t-2 until the end of the third month of year t+1.
IRISK_t5	idiosyncratic risk - the standard deviation of the residual (multiplied by 10) from regressing the daily stock return (ret) on the CRSP value-weighted return (vwretd) for the five-year period from the beginning of the fourth month of fiscal year t-4 until the end of the third month of year t+1.
CE_t	the market value of common equity at the end of year t (cshoprcc_f*).
CL_t	current liabilities at the end of year t (lct).
NCL_t	noncurrent liabilities at the end of year t (lt – lct – mib).
TOL_t	total operating liabilities at the end of year t (lt – dlc – dltt – dclo – mib).
TFL_t	total financial liabilities at the end of year t (dlc + dltt + dclo).
COL_t	current operating liabilities at the end of year t (lct – dlc).
NCOL_t	noncurrent operating liabilities at the end of year t (TOL_t – COL_t).
STD_t	current financial liabilities (short-term debt) at the end of year t (dlc). STD includes short-term notes payable and the current portion of long-term debt.
NCFL_t	noncurrent financial liabilities at the end of year t (dltt + dclo).
COLx_t	current operating liabilities (excluding taxes payable) at the end of year t (lct-txp-dlc). COLx includes accounts payable, accrued expenses, and other current liabilities (current portion of deferred taxes, unearned revenue, unearned premiums, acceptances outstanding, and loans payable on derivatives), according to Compustat.
IP_t	income taxes payable at end of year t (txp).
DTX_t	deferred tax liability at the end of year t (txdb).
ONCL_t	other noncurrent liabilities at the end of year t (lt – lct – dltt –dclo – txdb – mib). It consists of pension liabilities, contingent liabilities, accounts payable due after one year, assigned accounts receivable, customer deposits, negative goodwill, reserves, foreign exchange losses, facility realignment and relocation, reserves for self-insurance, and investment tax credits, according to Compustat.
LTD_t	long-term debt at the end of year t (dltt).
CapL_t	capital leases at the end of year t (dclo).
TL_t	total liabilities at the end of year t (lt-mib)
PS_t	preferred stock at the end of year t (pstk).
PSR_t	redeemable preferred stock at the end of year t (pstkr).
PSNR_t	nonredeemable preferred stock at the end of t (pstkn).
PSC_t	convertible preferred stock at the end of year t (pstkc).
PSNC_t	non-convertible preferred stock at the end of year t (pstk – pstkc).
STD_ROA_t	The standard deviation of ROA for years t, t-1, and t-2. ROA is equal to net income before interest and income taxes (oiadp) scaled by total assets.
BID_ASK_t	The bid-ask spread equal to (Ask_i,t – Bid_i,t)/M_i,t; where Ask_i,t is the ask price of stock i on day t, Bid_i,t is the bid price of stock i on day t, and M_i,t is the mean of Ask_i,t and Bid_i,t. We use the bid-ask spread three months after the fiscal year ends, consistent with the return window for computing idiosyncratic risk.
IND_DUMMIES	dummy variables based on Fama and French (1997) 48 industries.
SIZE_DUMMIES	dummy variables based on size deciles using break-points from the market value of NYSE stocks on the 1^st trading date of July in each year.
BM_DUMMIES	dummy variables based on book-to-market ratio deciles. Each firm-year’s book-to-market ratio is calculated as the calendar year-end market value divided by the fiscal year-end book equity value.
YEAR_DUMMIES	dummy variables based on calendar year.
ALTMAN_t	Altman (1968) bankruptcy prediction z-score for year t, computed as: 1.2X₁+ 1.4X₂+ 3.3X₃+ 0.6X₄+ 0.999X₅; where X₁ = working capital (act-lct)/total assets (at), X₂ = retained earnings (re)/total assets, X₃ = earnings before interest and tax (ebit)/total assets, X₄= market value of equity (cshoprcc_f + pstk)/total liabilities (lt), and X₅ = sales (sale*)/total assets.

IRISK_t	idiosyncratic risk - the standard deviation of the residual (multiplied by 10) from regressing the daily stock return (ret) on the CRSP value-weighted return (vwretd) for the one-year period from the beginning of the fourth month of fiscal year t until the end of the third month of year t+1.
IRISK_t3	idiosyncratic risk - the standard deviation of the residual (multiplied by 10) from regressing the daily stock return (ret) on the CRSP value-weighted return (vwretd) for the three-year period from the beginning of the fourth month of fiscal year t-2 until the end of the third month of year t+1.
IRISK_t5	idiosyncratic risk - the standard deviation of the residual (multiplied by 10) from regressing the daily stock return (ret) on the CRSP value-weighted return (vwretd) for the five-year period from the beginning of the fourth month of fiscal year t-4 until the end of the third month of year t+1.
CE_t	the market value of common equity at the end of year t (csho*prcc_f).
CL_t	current liabilities at the end of year t (lct).
NCL_t	noncurrent liabilities at the end of year t (lt – lct – mib).
TOL_t	total operating liabilities at the end of year t (lt – dlc – dltt – dclo – mib).
TFL_t	total financial liabilities at the end of year t (dlc + dltt + dclo).
COL_t	current operating liabilities at the end of year t (lct – dlc).
NCOL_t	noncurrent operating liabilities at the end of year t (TOL_t – COL_t).
STD_t	current financial liabilities (short-term debt) at the end of year t (dlc). STD includes short-term notes payable and the current portion of long-term debt.
NCFL_t	noncurrent financial liabilities at the end of year t (dltt + dclo).
COLx_t	current operating liabilities (excluding taxes payable) at the end of year t (lct-txp-dlc). COLx includes accounts payable, accrued expenses, and other current liabilities (current portion of deferred taxes, unearned revenue, unearned premiums, acceptances outstanding, and loans payable on derivatives), according to Compustat.
IP_t	income taxes payable at end of year t (txp).
DTX_t	deferred tax liability at the end of year t (txdb).
ONCL_t	other noncurrent liabilities at the end of year t (lt – lct – dltt –dclo – txdb – mib). It consists of pension liabilities, contingent liabilities, accounts payable due after one year, assigned accounts receivable, customer deposits, negative goodwill, reserves, foreign exchange losses, facility realignment and relocation, reserves for self-insurance, and investment tax credits, according to Compustat.
LTD_t	long-term debt at the end of year t (dltt).
CapL_t	capital leases at the end of year t (dclo).
TL_t	total liabilities at the end of year t (lt-mib)
PS_t	preferred stock at the end of year t (pstk).
PSR_t	redeemable preferred stock at the end of year t (pstkr).
PSNR_t	nonredeemable preferred stock at the end of t (pstkn).
PSC_t	convertible preferred stock at the end of year t (pstkc).
PSNC_t	non-convertible preferred stock at the end of year t (pstk – pstkc).
STD_ROA_t	The standard deviation of ROA for years t, t-1, and t-2. ROA is equal to net income before interest and income taxes (oiadp) scaled by total assets.
BID_ASK_t	The bid-ask spread equal to (Ask_i,t – Bid_i,t)/M_i,t; where Ask_i,t is the ask price of stock i on day t, Bid_i,t is the bid price of stock i on day t, and M_i,t is the mean of Ask_i,t and Bid_i,t. We use the bid-ask spread three months after the fiscal year ends, consistent with the return window for computing idiosyncratic risk.
IND_DUMMIES	dummy variables based on Fama and French (1997) 48 industries.
SIZE_DUMMIES	dummy variables based on size deciles using break-points from the market value of NYSE stocks on the 1^st trading date of July in each year.
BM_DUMMIES	dummy variables based on book-to-market ratio deciles. Each firm-year’s book-to-market ratio is calculated as the calendar year-end market value divided by the fiscal year-end book equity value.
YEAR_DUMMIES	dummy variables based on calendar year.
ALTMAN_t	Altman (1968) bankruptcy prediction z-score for year t, computed as: 1.2X₁+ 1.4X₂+ 3.3X₃+ 0.6X₄+ 0.999X₅; where X₁ = working capital (act-lct)/total assets (at), X₂ = retained earnings (re)/total assets, X₃ = earnings before interest and tax (ebit)/total assets, X₄= market value of equity (csho*prcc_f + pstk)/total liabilities (lt), and X₅ = sales (sale)/total assets.

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