ret // Holding Period ReturnMonthly Holding Period Return (with dividend)
Monthly holding-period return inclusive of cash distributions
| 数据集 | crsp_msf · CRSP Monthly Stock File |
| 类型 | continuous |
| 角色 | dv,iv |
| 数据文件 | msf |
| 关键词 | returnholding period |
| 数据集 | 变量名 | 标签 | 类型 |
|---|---|---|---|
| resset_finance | ret | 个股收益率 | continuous |
| wind_financial_terminal | daily_return | 日收益率 | continuous |
| wind_financial_terminal | s_dq_pctchange | 涨跌幅 | continuous |
| Size effect on monthly returns | dv |
| Cross-sectional momentum (Jegadeesh-Titman) | dv |
| Cross-sectional momentum (Jegadeesh-Titman) | iv |