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

Conrad Landis and Spyros Skouras

Journal of Banking & Finance, 2021, vol. 130, issue C

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 (search for similar items in EconPapers)
JEL-codes: C89 G12 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621000868

DOI: 10.1016/j.jbankfin.2021.106128

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