Stock Return
Posted: 16 February 2016 03:19 PM   [ Ignore ]
Newbie
Rank
Total Posts:  5
Joined  2016-02-16

Hi,

I’m currently working with a WRDS Compustat data set and need the stock return (more precisely: ex-dividend stock return for Fiscal Year t), but I cannot find any suitable item in my dataset.

I’ve been searching for a while now without any success. Hence, I wanted to ask if some of you experts know an item for stock return or a way to calculate it with other Compustat items.

Thank you!

Profile
 
 
Posted: 19 February 2016 05:12 PM   [ Ignore ]   [ # 1 ]
Newbie
Rank
Total Posts:  5
Joined  2016-02-16

Hello again,

now that some time has passed I came across a solution in this forum:

((Prcc_f+DVPSX)/AJEX)/Lagged((Prcc_f+DVPSX)/AJEX)-1 or in actual cash amount: (Prcc_f/AJEX-Lagged(Prcc_f/AJEX))+DVPSX

Does anyone have an opinion on this solution?

Based on this measue, I have a new question:

Now I need to generate an aggregate stock return with annual compounding, but I’m not sure how to achieve this with a Compustat data set. Anyone has experience in this area and may help me?

Thank you!

Profile
 
 
Posted: 20 February 2016 06:29 AM   [ Ignore ]   [ # 2 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

Do you mean to calculate multi-year returns (like 2 or 3 year return)? First compute yearly return and then compound these (1 + percentageRetyear1) * (1 + percentageRetyear2) etc.

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: 20 February 2016 12:58 PM   [ Ignore ]   [ # 3 ]
Newbie
Rank
Total Posts:  5
Joined  2016-02-16

Thank you Joost, that seems the most intuitive solution to me. Yes, I want to calculate aggregate stock return in Year t+1 to t+3.

Profile