This repo contains a monthly stock return data (Year 1995 - Year 2021) and a python class PeerFirm for measuring peer firms R2.
The peer firms regression test is proposed in Bhojraj et al. 2003.
Bhojraj, Sanjeev, Charles MC Lee, and Derek K. Oler. "What's my line? A comparison of industry classification schemes for capital market research." Journal of Accounting Research 41.5 (2003): 745-774.
### load in monthly return data
PeerFirm = PeerFirm('monthly_return.csv')
### different methods find different peers
firm_peers = {'AAPL': ['MSFT', 'TSLA'], 'AAL': ['DAL','UAL'], 'BA':['NOC','RTX']}
year, month = 2018, 10
### how much the focal firm's monthly return can be explained by the peers monthly return
PeerFirm.rsquared_month_based(firm_peers, year, month)
### 0.026711612560105468