Does the Source of Fundamental Data Matter?

Onrej Tobek (ot234@cam.ac.uk) and Martin Hronec (martin.hronec@fsv.cuni.cz)
Additional contact information
Onrej Tobek: University of Cambridge, Department of Economics, Austin Robinson Building, Sidgwick Avenue, Cambridge, CB3 9DD, UK
Martin Hronec: Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic

No 2018/15, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

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.

JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Pages: 78 pages
Date: 2018-08, Revised 2018-08
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://ies.fsv.cuni.cz/sci/publication/show/id/5857/lang/cs (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://ies.fsv.cuni.cz/sci/publication/show/id/5857/lang/cs [301 Moved Permanently]--> https://ies.fsv.cuni.cz/sci/publication/show/id/5857/lang/cs)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fau:wpaper:wp2018_15

Access Statistics for this paper

More papers in Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova (teditor.ies@fsv.cuni.cz).