Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream

67 Pages Posted: 16 Aug 2018 Last revised: 20 Mar 2021

See all articles by Conrad Landis

Conrad Landis

Athens University of Economics and Business

Spyros Skouras

Athens University of Economics and Business - Department of International and European Economic Studies

Date Written: August 2, 2018

Abstract

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

Keywords: Stock Market Data, Data Collection, Stock Returns

JEL Classification: G12, G15, C89

Suggested Citation

Landis, Conrad and Skouras, Spyros, Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream (August 2, 2018). Available at SSRN: https://ssrn.com/abstract=3225371 or http://dx.doi.org/10.2139/ssrn.3225371

Conrad Landis

Athens University of Economics and Business ( email )

76 Patission Street
Athens, 104 34
Greece

Spyros Skouras (Contact Author)

Athens University of Economics and Business - Department of International and European Economic Studies ( email )

GR-10434 Athens
Greece

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