market_safety {qmj} | R Documentation |
Collects safety z-scores for companies
Description
Given a data frame of companies (names and tickers), a data frame of financial statements, and a data frame of daily price data, calculates BAB, IVOL, LEV, O, Z, and EVOL, and determines the z-score of overall safety for each company based on the paper Quality Minus Junk (Asness et al.) in Appendix page A2.
Usage
market_safety(
companies = qmj::companies_r3k16,
financials = qmj::financials_r3k16,
prices = qmj::prices_r3k16
)
Arguments
companies |
A data frame of company names and tickers. |
financials |
A data frame containing financial statements for every company. |
prices |
A data frame containing the daily market closing prices and returns. |
Value
data.frame of market safety values
See Also
Examples
# Takes more than 10 secs
market_safety(companies_r3k16[companies_r3k16$ticker %in% c("AAPL"), ])
[Package qmj version 0.2.1 Index]