Does the Source of Fundamental Data Matter?

78 Pages Posted: 1 Apr 2018 Last revised: 3 Aug 2018

See all articles by Ondrej Tobek

Ondrej Tobek

University of Cambridge - Faculty of Economics

Martin Hronec

Charles University in Prague - Institute of Economic Studies

Date Written: July 1, 2018

Abstract

We study the role of the choice of a fundamental database on the portfolio returns of a set of 74 fundamental anomalies. We benchmark Compustat by comparing it to Datastream in the US and find systematic differences in the raw financial statements across the databases. These differences only have a small effect on the returns of anomalies when they are constructed on stock-months existing in both databases. Different stock coverage across the databases, however, leads to large statistically and economically significant disparities in the returns. Profitability anomalies yield negative returns on the Datastream universe.

Keywords: Anomalies, Datastream, Fundamental data

JEL Classification: G11, G12, G15

Suggested Citation

Tobek, Ondrej and Hronec, Martin, Does the Source of Fundamental Data Matter? (July 1, 2018). Available at SSRN: https://ssrn.com/abstract=3150654 or http://dx.doi.org/10.2139/ssrn.3150654

Ondrej Tobek (Contact Author)

University of Cambridge - Faculty of Economics ( email )

Sidgwick Avenue
Cambridge, CB3 9DD
United Kingdom

Martin Hronec

Charles University in Prague - Institute of Economic Studies ( email )

Opletalova 26
Praha 1, 11000
Czech Republic

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