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Michael R. Roberts Data & Code |
Data
and code may be used for non-commercial purposes free of charge.
Covenant Violation Data:
This dataset
contains all covenant violations reported in 10-K and 10-Q filings during the
period 1996 to 2007 for publicly traded firms in the
"Control
Rights and Capital Structure: An Empirical Investigation," with Amir Sufi, forthcoming Journal of Finance
Quarterly Covenant Violation Data: Excel File (Not yet ready for distribution.)
Dealscan-Compustat Link Data:
This dataset
contains links between company names in LPC-Reuter's Dealscan database and
Standard and Poor's Computstat database during the period 1983 to August 2008,
enabling reserachers to merge the two datasets.
The construction of this link file has been an ongoing process since 2002. The
last two years,
Wharton Research Data Services (WRDS)
has been involved with the
expansion and verification of the links. To use this dataset,
please reference the following paper which contains details on the construction
and usage of the data.
"How does Financing Impact
Investment? The Role of Debt Covenants," with Sudheer Chava, Journal of Finance
2008, 63, 2085 - 2121
(formerly entitled "Is Financial
Contracting Costly? An Empirical Analysis of Debt Covenant Violations")
Dealscan-Compustat Link Data: Excel File (Please email me for details: mrrobert@wharton.upenn.edu)
Payout and Net Payout Time Series Data:
This dataset
contains annual and monthly time series for aggregate corporate payout
(dividends plus equity repurchases) and net payout (dividends plus equity
repurchases less equity issuances). To use this datasets, please reference the
following paper which contains details on the construction and usage of the
data.
"On the Importance of Measuring
Payout Yield: Implications for Empirical Asset Pricing," with Jacob Boudoukh, Roni Michaely,
and Matthew Richardson, Journal of Finance,
2007, 62, 877 - 915
Payout and
Net Payout Time Series Data: Excel File