我需要找到控制变量 ABACC-1,它被定义为可支配应计利润绝对值的滞后,其中可支配应计利润是根据修正的琼斯模型估计的,以解释股价崩盘风险。我有一个包含年净收入、经营净现金流和总资产的数据集,可以让我在运行琼斯模型之前计算总应计利润。我尝试在 R:
中使用这段代码data <- na.omit(data)
library(lubridate)
data <- data %>%
mutate(Year = year(as.Date(`Data Date`)),
Total_Accruals = `Net Income (Loss)` - `Operating Activities - Net Cash Flow`,
Total_Assets = `Assets - Total`)
jones_model <- lm(Total_Accruals ~ `Net Income (Loss)` + Total_Assets, data = data)
data <- data %>%
mutate(Predicted_Total_Accruals = predict(jones_model),
Discretionary_Accruals = Total_Accruals - Predicted_Total_Accruals)
abacc_data <- data %>%
mutate(ABACC_C = abs(Discretionary_Accruals)) %>%
group_by(Year, `Global Company Key`) %>%
reframe(ABACC_1 = lag(ABACC_C, default = first(ABACC_C)), .groups = "drop")
但是,当我运行它时,它会给我 ABACC-1 值,范围从 ~250-1000,这当然是这样。有谁知道用于正确计算 ABACC-1 的正确代码?
谢谢!