Individual Equity Return Data from Thomson Datastream: Handle with Care!

37 Pages Posted: 16 Jan 2004

See all articles by Ozgur Ince

Ozgur Ince

University of South Carolina - Moore School of Business

R. Burt Porter

Iowa State University

Multiple version iconThere are 2 versions of this paper

Date Written: March 2004

Abstract

We compare individual equity return data from Thomson Datastream (TDS) for one large national equity market, the United States, to the source most often used by academics, the Center for Research in Security Prices (CRSP) for the period 1975-2002. Our purpose is not to advocate for the use of a particular source of U.S. equity data but to evaluate the suitability of TDS for use in studies involving large numbers of individual equities in markets outside the U.S. We discover important issues of coverage, classification, and data integrity and find that naive use of TDS data can have a large impact on economic inferences, particularly earlier in the period of coverage and among smaller stocks. We show that after careful screening of the TDS data that although differences still remain, inferences drawn from TDS data are similar to those drawn from CRSP. We also apply our screens to a sample of four European equity markets and show that screening the data has a measurable impact on the time series of country portfolio returns.

JEL Classification: F30, G15

Suggested Citation

Ince, Ozgur S. and Porter, R. Burt, Individual Equity Return Data from Thomson Datastream: Handle with Care! (March 2004). Available at SSRN: https://ssrn.com/abstract=486523 or http://dx.doi.org/10.2139/ssrn.486523

Ozgur S. Ince

University of South Carolina - Moore School of Business ( email )

1014 Greene Street
Columbia, SC 29208
United States
(803) 777-4905 (Phone)

R. Burt Porter (Contact Author)

Iowa State University ( email )

College of Business
3345 Gerdin Business Bldg
Ames, IA 50011-2063
United States
515-294-2612 (Phone)

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