UK cross-sectional equity data: The case for robust investability filters

Francesco Rossi ()

European Economic Letters, 2012, vol. 1, issue 1, 6-13

Abstract: We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the UK market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would surely invalidate statistical inferences, and that are not addressed by commonly used filters. We show the benefits and need for a supplementary data source. We then develop robust investability filters to ensure statistical results from cross-sectional analysis are economically meaningful, an issue overlooked by most studies on cross-sectional equity risk pricing.

Keywords: Liquidity; Turnover; Volume; Investability; Datastream (search for similar items in EconPapers)
JEL-codes: C89 G11 G12 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Working Paper: U.K. cross-sectional equity data: The case for robust investability filters (2012)
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