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

Posted: 17 Oct 2005 Last revised: 5 Sep 2015

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

Abstract

We compare individual U.S. equity return data from Thomson Datastream (TDS) with similar data from the Center for Research in Security Prices (CRSP). Our purpose is 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.

JEL Classification: F30, G15

Suggested Citation

Ince, Ozgur S. and Porter, R. Burt, Individual Equity Return Data from Thomson Datastream: Handle with Care!. Journal of Financial Research, Vol. 29, No. 4, 2006. Available at SSRN: https://ssrn.com/abstract=819305

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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