Definitions of variables
| Variable | Symbol | Description |
|---|---|---|
| Stock price | P | The closing share price at the end of each year |
| Stock return | Ri | The annual stock return calculated as the natural log of two consecutive prices |
| Market return | RM | The index return calculated as the natural log of two consecutive index values |
| Book value | BV | The book value per share |
| Book value to price | BV/P | The book value per share divided by the previous year’s price |
| Earnings per share | EPS | The present value of the infinite series of EPS |
| Delta book value | ΔBV | The change in BV, it reflects the current income or dividend |
| Delta book value per price | ΔBV/P | The change in BV per share, it reflects the current dividend yield (DY). |
| Earnings per share per price | EPS/P | The present value of EPS, it reflects the future (DYs) |
| Abnormal return | AR | The present value of the infinite series of ARs |
| Standard deviation returns | SDRi | The standard deviation of stock returns |
| Standard deviation market | SDMKT | The standard deviation of market return |
| Standard deviation BV | SDBV | The standard deviation of BV |
| Standard deviation AR | SDAR | The standard deviation of AR |
| Standard deviation price | SDP | The standard deviation of stock price |
| Sector | DUMSECTOR | Sector dummy |
| Year | DUMYEAR | Year dummy |
| Variable | Symbol | Description |
|---|---|---|
| Stock price | P | The closing share price at the end of each year |
| Stock return | Ri | The annual stock return calculated as the natural log of two consecutive prices |
| Market return | RM | The index return calculated as the natural log of two consecutive index values |
| Book value | BV | The book value per share |
| Book value to price | BV/P | The book value per share divided by the previous year’s price |
| Earnings per share | EPS | The present value of the infinite series of EPS |
| Delta book value | ΔBV | The change in BV, it reflects the current income or dividend |
| Delta book value per price | ΔBV/P | The change in BV per share, it reflects the current dividend yield (DY). |
| Earnings per share per price | EPS/P | The present value of EPS, it reflects the future (DYs) |
| Abnormal return | AR | The present value of the infinite series of ARs |
| Standard deviation returns | SDRi | The standard deviation of stock returns |
| Standard deviation market | SDMKT | The standard deviation of market return |
| Standard deviation BV | SDBV | The standard deviation of BV |
| Standard deviation AR | SDAR | The standard deviation of AR |
| Standard deviation price | SDP | The standard deviation of stock price |
| Sector | Sector dummy | |
| Year | Year dummy |
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