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ROE

function
frds.measures.corporate.roe(data, use_lagged_ceq=False)

ROE

Income before extraordinary items scaled by common equity

ROE_{i,t} = \frac{IB_{i,t}}{CEQ_{i,t}}

where IB and CEQ are from Compustat Fundamentals Annual WRDS.COMP.FUNDA.

If data is a Fundamentals Quarterly dataset:

ROE_{i,t} = \frac{IBQ_{i,t}}{CEQQ_{i,t}}
Parameters
  • data (Union[Funda, Fundq]) Input dataset
  • use_lagged_ceq (bool, optional) Use lagged common equity. Defaults to False.
Returns (Union[pd.Series, None])

ROE

Examples
>>> from frds.data.wrds.comp import Funda
>>> from frds.io.wrds import load
>>> from frds.measures.corporate import roe
>>> FUNDA = load(Funda)
>>> roe(FUNDA)
GVKEY   DATADATE
001000  1961-12-31         NaN
        1962-12-31    0.217391
        1963-12-31    0.005425
        1964-12-31    0.064250
        1965-12-31   -0.401222
                        ...
001004  1982-05-31    0.028876
        1983-05-31    0.064662
        1984-05-31    0.055337
        1985-05-31    0.103805
        1986-05-31    0.120632
Name: ROE, Length: 100, dtype: float64
See Also
  • ROA - Return on assets

Last update: June 3, 2021
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