Table 11 Variable definition
Variable | Explanation | Definition (annual data item in Compustat) |
|---|---|---|
∆Cash | The increase or decrease in cash and cash equivalents scaled by total asset | CHECH/AT |
Age | The number of years listed on Compustat | |
Aqc | Acquisition expenditure to total asset | AQC/AT |
BM | The book to market ratio of firm equity | |
CapEx | Capital expenditure scaled by total asset | CAPX/AT |
CashFlow | Earnings before extraordinary items and discontinued operations plus depreciation expenditure over total asset | (IB + XDP)AT |
Debt issuance | Total change in current debt plus long-term debt issuance minus long-term debt reduction scaled by total asset | (DLTIS + DLCCH − DLTR)/AT |
Dividend | Total cash dividend paid over total asset | DV/AT |
Dollar volume | The total annual dollar option volume as Roll et al. (2009) | OptionMetrics database |
Equity issuance | Total sale of common and preferred stocks over total asset | SSTK/AT |
High trading dummy | A dummy variable which equals to one if a firm belongs to high option trading group, zero otherwise | |
IO | The percentage of common share held by institutional investors | Thomson Financial’s Institutional 13(f) filings |
Momentum | The cumulative monthly returns between t-7 to t-12 | CRSP database |
Num | The average numbers of analyst following | I/B/E/S database |
Open interest | The average number of outstanding contracts held by market participants | OptionMetrics database |
Option moneyness | The ratio between stock price and option strike price | OptionMetrics database |
Option volume | The average of the number of option trading in each day of each quarter across all trading days and all options listed on the stock | OptionMetrics database |
R&D | R&D expenditure over total assets | XRD/AT |
Payout | The summation of dividend payout and share repurchase | |
Repurchase | Purchase of common and preferred stock over total asset | PRSTKC/AT |
ROA | Net income over total assets | NI /AT |
Size | The log value of total capitalization at the end of year | Log(MV) |
Total issuance | The summation of equity financing and debt financing | |
Total investment | The summation of CapEx, AdEx, R&D, and Aqc |