use http://fmwww.bc.edu/EC-P/data/pstar.dta
You should set mem 5m when accessing these data. There are 27,566 firm-year observations.
Please contact your GSA for any questions about these datasets.
This is the pstar dataset used in Hall,
Bronwyn H., and Robert E. Hall, "The Value and Performance of U.S.
Corporations," (BPEA 93(1)): 1-50.
Variable definitions:
cusip Committee on Uniform Security Identication Procedures
firm code number, the first 6 digits (CNUM).
year 2-digit year of the data (60-91).
pstar The PDV of dividends received on this firm's common stock in
the future, discounted at the riskfree rate plus an overall
risk premium (about 4 perent).
z0 the first term in the linearized expression for z
(see Appendix A of the paper).
pricef the end of fiscal year actual price of common stock.
divf the dividends paid during the past fiscal year.
rnda rnd to assets ratio.
adva advertising to assets ratio.
fyr the month of the fiscal year close (1-12).
ardsic a 2 1/2 digit sic code, roughly like those in Bound, Cummins,
Griliches, Hall, and Jaffe, "Who Does R&D and Who Patents?,"
in Griliches (ed.), R&D, Patents, and Productivity, University
of Chicago Press, 1984.
exityr the year the firm exited from the sample.
inva investment to assets ratio.
cfa cash flow to assets ratio.
debta long term debt to assets ratio.
sales sales during the year (millions $).
netcap book value of assets = P&E+inventories+other, adjusted
for the effects of inflation on book values a la Brainard,
Shoven and Weiss.
earnsh reported earnings per share.
nyseamex dummy = 1 if firm is traded on NYSE or AMEX.
h0 an instrument like that given in equation B-5 of the paper.
h1 an instrument like that given in equation B-5 of the paper.
vala total market value to assets ratio ("Tobin's Q").
oneper one period rate of return, adjusted for non-diversifiable
discounting.
sharef shares of common stock outstanding (1000s).
All values are nominal and millions of dollars except where otherwise
noted. Stocks are end of year.