INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!

Journal of Financial Research - Tập 29 Số 4 - Trang 463-479 - 2006
Ozgur Ince1, R. Burt Porter2
1Virginia Polytechnic Institute and State University
2Iowa State University

Tóm tắt

AbstractWe compare individual U.S. equity return data from Thomson Datastream (TDS) with similar data from the Center for Research in Security Prices (CRSP) to evaluate TDS for use in studies involving large numbers of individual equities in markets outside the United States. We document important issues of coverage, classification, and data integrity and find that naive use of TDS data can have a large impact on economic inferences. We show that after careful screening of the TDS data, inferences drawn from TDS data are similar to those drawn from CRSP. We illustrate the importance of the screens we develop using U.S. TDS data by applying the screens to TDS data from four European equity markets.

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Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Journal of Financial Research

Tập 29 Số 4

463-479

Thông tin tác giả