We would like to thank Ralf Elsas, Mark Flannery, Ufuk Ince, and an anonymous referee for their many helpful comments. We are responsible for any remaining errors.
INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!
Article first published online: 1 NOV 2006
Journal of Financial Research
Volume 29, Issue 4, pages 463–479, Winter 2006
How to Cite
Ince, O. S. and Porter, R. B. (2006), INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!. Journal of Financial Research, 29: 463–479. doi: 10.1111/j.1475-6803.2006.00189.x
- Issue published online: 1 NOV 2006
- Article first published online: 1 NOV 2006
We 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.