Total Return Index / Include Dividends
Posted: 19 December 2013 02:32 PM   [ Ignore ]
Newbie
Rank
Total Posts:  6
Joined  2013-11-26

Okay, this question will definitely reveal that I am pretty new to the database—but I just don’t find a clear solution searching the internet.

Which is the easiest way to include dividends to obtain (economically reasonable) daily stock price returns?

In empirical papers I found sth like this:

(PRCCM*TRFM)/AJEXM

i.e.

(P*Total Return Factor)/Adjustment Factor

No matter what I tried I get different returns compared to other databases…

Any suggestions?

Thanks for any help!

Profile
 
 
Posted: 19 December 2013 04:42 PM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi,

Are you using Merged Global Security Daily File (G_SECD), or the ‘regular’ CRSP data for US firms?

G_SECD does indeed need to be corrected for dividends, but also (I believe) for stock splits. CRSP’s RET variable does not need any adjustments.

It is probably best to start computing the returns for one company (preferably one that had stock splits), and compare your returns with returns on Yahoo finance, or another source.

I have tried using G_SECD once, but I gave up on it (same problem you have: could not get the returns to match those in another database).

Hope this helps,

Joost

 Signature 

To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

Profile
 
 
Posted: 19 December 2013 04:57 PM   [ Ignore ]   [ # 2 ]
Newbie
Rank
Total Posts:  6
Joined  2013-11-26
Joost Impink - 19 December 2013 04:42 PM

hi,

Are you using Merged Global Security Daily File (G_SECD), or the ‘regular’ CRSP data for US firms?

G_SECD does indeed need to be corrected for dividends, but also (I believe) for stock splits. CRSP’s RET variable does not need any adjustments.

It is probably best to start computing the returns for one company (preferably one that had stock splits), and compare your returns with returns on Yahoo finance, or another source.

I have tried using G_SECD once, but I gave up on it (same problem you have: could not get the returns to match those in another database).

Hope this helps,

Joost

Thanks for your quick help - much appreciated!
Yes, I am using G_SECD—it’s just showing stock prices you would find in newspapers; and I guess also on Yahoo finance and so on.
Compared to dividend corrected data they are very different. This would not pose a problem if it only affected the level of prices. For Compustat Global, however, returns (change) are not comparable to other databases as well.
This is really sad regarding the brilliant user-interface and data formats WRDS offers.
I am really surprised that researchers don’t seem to use Compustat Global for security prices more often and that tutorials and documentation
are rather hard to find. Retrieving stock prices from e.g. Datastream is so slow and not user-friendly compared to WRDS.

 

Profile
 
 
Posted: 20 December 2013 07:26 AM   [ Ignore ]   [ # 3 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi,

Yes, I totally agree. I am using the SAS remote submit to connect to WRDS (no mouse clicking at all) which I like even better than the web interface.

I think WRDS could spend some time testing/cleaning/documenting that g_secd data.

best regards,

Joost

 

 

 Signature 

To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

Profile