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In this paper we conduct an out-of-sample test on gross profitability and investment in the same manner as Davis, Fama, and French (2000) for the pre-Compustat period (1926-1955). We hand-collect

In this paper we conduct an out-of-sample test on gross profitability and investment in the same manner as Davis, Fama, and French (2000) for the pre-Compustat period (1926-1955). We hand-collect financial statement data from Moodys Industrial Manuals using the company PERMNO list first created by DFF. In total, we collect data from 1,291 firms, largely industrial firms but with some utilities.

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Date Created
  • 2016-05
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  • Text
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