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st: Re: how to create "R2" as a variable

Subject   st: Re: how to create "R2" as a variable
Date   Tue, 15 Nov 2005 20:53:04 -0500

Hi all,

I am trying to construct an earnings quality metric based on the R2 from firm
specific regressions of returns on accounting values. I know how to run the
firm specific regressions. I am wondering if it possible to create a variable
from the R2 values that result from the regressions.

Thanks alot,
Mindy Nitkin

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