Stock Returns CRSP or COMPUSTAT?
Posted: 24 December 2014 02:57 PM   [ Ignore ]
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Hi Joost and folks!

I am a beginner in wrds. My question is:

When we want to calculate abnormal returns, (market model) we use raw return and market return. I think raw returns are provided by CRSP. Which variable should I use, equal weighted return including distributions or not including? And can I use daily total return factor(from compustat) to calculate raw return as well?

Second, should I calculate market returns by myself or is it already calculated in databases?

Thnxs.

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Posted: 30 December 2014 07:29 PM   [ Ignore ]   [ # 1 ]
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hi Boost,

A typical thing to do is to compute several variations, and report the main method in the tables, and footnote/include in sensitivity test the other ways. Normally, the results shouldn’t be sensitive to variations in the method used.

I’m afraid I don’t understand this part of your question: “And can I use daily total return factor(from compustat) to calculate raw return as well?”

Raw returns are found in dsf/msf. As far as I know, these do not need further adjustments. Market returns are in dsix/msix.

best regards,

Joost

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