Important Characteristics, Weaknesses and Errors in German Equity Data from Thomson Reuters Datastream and Their Implications for the Size Effect

39 Pages Posted: 6 Apr 2013

See all articles by Roman Brückner

Roman Brückner

Humboldt University of Berlin - School of Business and Economics

Date Written: April 2, 2013

Abstract

We examine the characteristics and the quality of equity data from Thomson Reuters Datastream (Datastream) to evaluate, whether Datastream can be used as the primary data source for academic studies on the German stock market. We document market coverage issues in Datastream before 1990. Additionally, Datastream’s coverage of dividends is sufficient for standard academic use only from 1990 onwards. After 1990 systematic data errors are rare in Datastream. However, we find errors in Datastream’s total return indices that are mainly caused by price differences and incorrect adjustments for dividends and corporate actions. One of the important weaknesses is that Datastream does not provide time series information about the market segment in which a stock is listed. As a consequence the standard procedure of using portfolio breakpoints from the top market segment cannot be followed. We show that this has important implications when studying the size effect in Germany. To sum it up, we cannot recommend Datastream as the primary data source before 1990. Equity data for the time period after 1990 should be handled with care.

Keywords: German Stock Market, Datastream, Data Quality, Size Effect

JEL Classification: C89, G12

Suggested Citation

Brückner, Roman, Important Characteristics, Weaknesses and Errors in German Equity Data from Thomson Reuters Datastream and Their Implications for the Size Effect (April 2, 2013). Available at SSRN: https://ssrn.com/abstract=2243816 or http://dx.doi.org/10.2139/ssrn.2243816

Roman Brückner (Contact Author)

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany

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