Updated stock index and market seasonals (SIMS) 3.0 data base includes two international control measures

Anthony J. Cataldo

Research in Accounting Regulation, 2009, vol. 21, issue 2, 107-110

Abstract: This article provides updated information related to a database that regulators have found useful. Previous versions of the SIMS database were discussed in [Cataldo, A. J. (1998). The stock index and market seasonals (SIMS) data base. Research in Accounting Regulation, 12, 201–221; Cataldo, A. J. (1999). UPDATE – The stock index and market seasonals (SIMS 2.0). Research in Accounting Regulation, 13, 179–180; Cataldo, A. J. (2006). SIMS 2.0 includes controls for NYSE special closings, small firm effects and liquidity. Research in Accounting Regulation, 18, 223–234]. New to the database are BBA LIBOR measures (1997 through September 2007) and Shanghai Composite (SSE) Index measures (2000 through September 2007). BBA LIBOR measures complement the 30-day commercial paper rates provided in SIMS 2.0, as it represents the prevalent measure associated with both debt and equity markets, as impacted by sub-prime loans. The SSE Index was the Asian index most responsive to rumors of the imposition of a capital gains tax in China in late February 2007. The significance of these additional, international debt and equity control variables may require control by capital markets researchers and is the motivation for their inclusion in this description of the expanded SIMS 3.0 data base.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reacre:v:21:y:2009:i:2:p:107-110

DOI: 10.1016/j.racreg.2009.06.004

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