| Screen | Description |
|---|---|
| Major stock exchanges only | Only stocks traded on NYSE, NASDAQ |
| Accrual Screen | Remove potential fraudsters and manipulators |
| No companies with less than 5 years of operation | Necessary for calculating 5 Year Average ROIC metric from ERP5 |
| Last month's momentum | While calculating generic momentum, we will skip most recent month's returns due to short-term reversal effect |
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Once the screens were applied:
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There were 138,696 records
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On average, 3.8% of data was missing across 16 variables
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Removed all companies with any missing metrics
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Final dataset consists of 89,588 records (i.e. stock years)
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From 138,696 records that were available after applying the screens, distribution of missing values was as follows:
| Variable Name | Number of Missing Values | Missing % |
|---|---|---|
| Earnings Yield | 2,255 | 1.6% |
| Return on Invested Capital (ROIC) | 4,013 | 2.9% |
| Price-to-Book | 4,736 | 3.4% |
| 5 Year Average ROIC | 1,128 | 0.8% |
| Generic Momentum Measure | 0 | 0% |
| Frog-in-the-Pan (FIP) | 53 | 0.04% |
| Net Profit Margin | 2,557 | 1.8% |
| Long-term Debt/Invested Capital | 2,472 | 1.8% |
| Total Debt/Invested Capital | 2,699 | 1.9% |
| Price/Sales | 2,554 | 1.8% |
| Total Debt/Total Assets | 2,127 | 1.5% |
| Pre-tax Return on Total Earning Assets | 22,317 | 16.1% |
| Long-term Debt/Total Liabilities | 1,907 | 1.4% |
| Enterprise Value Multiple | 2,364 | 1.7% |
| Interest/Average Total Debt | 29,863 | 21.5% |
| Asset Turnover | 2,985 | 2.2% |