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Returns volatility

This analysis-support dataset measures annual equity-return volatility from CRSP monthly returns.

flowchart LR
    returns[(CRSP monthly returns)] --> aggregate[Compute annual standard deviation]
    aggregate --> output[(Returns volatility)]

    classDef source fill:#e8eef7,stroke:#52739e
    classDef process fill:#fff0cc,stroke:#a66b00
    classDef data fill:#eee5f5,stroke:#76528c
    class returns source
    class aggregate process
    class output data

Grain and key: permno, calendar year
Location: /data/full/analyses/returns_volatility.parquet
Builder: analyses/modules/build_returns_volatility.R

The active builder computes the standard deviation of valid monthly returns and retains security-years with at least six observations. The table 8/9 data entry point builds this file only when it is missing.

Rscript pipelines/run_build_table89_dataset.R \
  --config config/config_tables89_full.yaml

The output is currently consumed only by the public-firm analysis dataset; it is not a canonical processed CRSP panel.