| Measure | Estimate | Features set (covariates) |
|---|---|---|
| L1 | Linear | Features set 1 |
| L2 | Linear | Features set 2 |
| L1y | Linear by fiscal year | Features set 1 |
| L2y | Linear by fiscal year | Features set 2 |
| MLC1_mean | Average of 100 Neural Network models | Features set 1 |
| MLC2_mean | Average of 100 Neural Network models | Features set 2 |
| MLC1y_mean | Average of 100 Neural Network models | Features set 1 and years fixed effects |
| MLC2y_mean | Average of 100 Neural Network models | Features set 2 and years fixed effects |
| MLC1 | Neural Network trained on MLC1_mean | Features set 1 |
| MLC2 | Neural Network trained on MLC2_mean | Features set 2 |
| MLC1y | Neural Network trained on MLC1y_mean | Features set 1 and years fixed effects |
| MLC2y | Neural Network trained on MLC2y_mean | Features set 2 and years fixed effects |
Features set 1 includes Size, Market-to-Book ratio (M/B), Leverage and features set 2 adds Non-Operating Accruals, Cashflow from Operating Activities, Investment Cycle, Firm Age.
You can use the following utility to compute the C score in your browser.
Note: This utility uses your own compuer ressources to compute the C score and is limited in the size of the file it accepts. We suggest that you only provide a file with the columns necessary to compute the C score.
Select a CSV file containing the variables detailed in the table below (formulas use COMPUSTAT and CRSP variables names):
{{message_data}}
Select columns for
| Variable | Description | Formula / Note | |
|---|---|---|---|
| Identifiers | Typically gvkey/permno and fiscal year. | Use 'Ctrl' to select multiple identifiers. | |
| Size | Natural logarithm of the market value of equity corrected for inflation. | $\log(\frac{prcc\_f \times csho}{gdpdef})$ | |
| M/B ratio | Ratio of market value of equity to book value of equity. | $\frac{prcc\_f \times csho}{ceq}$ | |
| Financial Leverage | Long-term debt plus short term debt deflated by market value of equity. | $\frac{dltt + dlc}{prcc\_f \times csho}$ | |
| Non-Operating Accruals | Non-Operating Accruals scaled by lagged assets. | $\frac{(ib+dp)-cfo-oacc}{at_{-1}}$ | |
| CFOA | Cash Flow from operating activities. | $\frac{oancf}{at_{-1}}$ if $fyear \ge 1987$, $\frac{fopt-oacc}{at_{-1}}$ if $fyear<1987$. | |
| Investment Cycle | Depreciation expenses deflated by lagged assets. | Standard deviation of $\frac{capx}{at}$ over the past 5 years (3 years minimum). | |
| Age | Age of the firm in years. | Number of years with return history on CRSP or number of years in Compustat if not available. | |
| Volatility | Standard deviation of daily returns over the past year. | $std(ret_d)$ where $ret_d$ is the series of daily returns over the past 253 trading days. |
NOTE: Processing can take some time for large files. Please do not lose faith ...
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