Data from the paper “Default Risk in Equity Returns,” (with Yuhang Xing), Journal of Finance, 2004, LIX(2): 831-68
Firm Level Data
This file contains the firm-level data. The variables reported are the “Year”, “Month”, “Permno”, “Default Probability”, “Log Value of Assets”, and “Volatility of Assets”. The column entitled “Permno” refers to the permanent number of the firm in the CRSP database.
This is the aggregate default measure used as a risk factor in the asset pricing tests of the paper. For details about its construction, please refer to the text of the paper.