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A Granular Approach to International Equity Data from Thomson Datastream

2018; RELX Group (Netherlands); Linguagem: Inglês

10.2139/ssrn.3225371

1556-5068

Conrad Landis, Spyros Skouras,

Stock Market Forecasting Methods

We provide detailed guidelines and code to derive high quality international equity data fromThomson Reuters Datastream (TDS) data. Our approach increases stock and country coverage(to 91 countries), improves data accuracy, filters problematic data and reduces survivorshipbias and data staleness. We validate our approach by demonstrating that our U.S. TDS factorsare statistically and economically indistinguishable to standard Fama-French CRSP factors.On the other hand, when we compare our international factors to other publicly availableinternational factors, differences are significant so we justify and detail every aspect of ourproposed guidelines. Our guidelines and accompanying code and data should be especiallyuseful for international research focused on wide coverage, equal weighted portfolios, smallstocks and countries with a limited number of stocks and for researchers wishing to analyze theUS market with access to only TDS but not CRSP-Compustat data.