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Financial data processing caveats:

  1. Match monthly data $\rightarrow$ use year-month combination, in stead of start/end of month;

  2. Mind the unit. Many returns are denominated in percentage.
    1. Returns must have matched frequency. E.g., CAPM, monthly equity returns to monthly factors, annual to annual.
    2. Remember to annualize the return if the data is monthly in order to get comparable return results.
  3. Missing values
    1. choose samples with a threshold length, such that individuals with too few observations are removed.

  4. Cross validate data from multiple data sources if not sure whether your data process is correct. Use common sense.

    For instance, a monthly return is unlikely to be 20%, annual return of 20% makes more sense.

    If you see a monthly return 1.73, it is likely that it is pct-based, i.e., 1.73%, rather than 1.73 times.

Security Identifiers

ID Definition
CUSIP CUSIP is the latest eight-character CUSIP identifier for the security through the end of the file. CUSIP identifiers are supplied to CRSP by the CUSIP Service Bureau, Standard & Poor’s, a division of McGraw-Hill, Inc., American Bankers Associate database.
ticker The combination of ticker, exchange, and date uniquely identifies a security.
A ticker may be one to three characters for NYSE and AMEX securities or four or five characters for Nasdaq securities.
gvkey Global Company Key
ISIN International Security Identification Number
SEDOL Stock Exchange Daily Official List. Primarily used in the UK, assigned by the London Stock Exchange.
MIC Market Identifier Code identifies a unique securities trading exchange, regulated and non-regulated trading market.

One company with multiple ISIN’s, e.g., Schibsted A shares and B shares.

https://schibsted.com/ir/faq/

The ticker symbol of the A share is “SCHA” and of the B share “SCHB”.

B-shares are created during a share split in May 2015. The B-shares are ordinary, fully- paid shares carrying equal rights with the A-shares in all respects except that the B-shares are low-voting shares with only one vote per share while the A-shares have 10 votes per share. Reference.

  • Takeaway point: use ISIN to identify equities.

    • An ISIN is a 12-digit alphanumeric code that uniquely identifies a specific security.

    • The numbers are allocated by a country’s respective national numbering agency (NNA).
    • An ISIN is not the same as the ticker symbol, which identifies the stock at the exchange level. The ISIN is a unique number assigned to a security that is universally recognizable.
      • For example, according to ISIN Organization, IBM common stock is traded on close to 25 trading exchanges and platforms, and its stock has a different ticker symbol depending on where it is traded. However, IBM stock has only one ISIN for each security.

Two industry classification systems that are widely used in equity analysis are

  • the Global Industry Classification System (GICS) sponsored by Standard & Poor’s and MSCI Barra

    The GICS structure assigns each company to one of 154 subindustries, an industry (68 in total), an industry group (24 in total), and an economic sector (10 in total: consumer discretionary, consumer staples, energy, financials, health care, industrials, information tech- nology, materials, telecommunication services, and utilities).

  • the Industrial Classification Benchmark (ICB) developed by Dow Jones and FTSE, which in 2006 replaced the FTSE Global Classification System.

    The ICB, like GICS, has four levels, but the terminology of ICB uses the terms sector and industry in nearly opposite senses. At the bottom of the four levels are 114 subsectors, each of which belongs to one of 41 sectors; each sector belongs to one of 19 supersectors; and each supersector belongs to one of 10 industries at the highest level of classification.

    The 10 industries are oil and gas, basic materials, industrials, consumer goods, health care, consumer services, telecommunications, utilities, financials, and technology.

CRSP

price quotes for US and Canada companies

Var Definition
comnam Company Name
permco CRSP Permanent Company Number
siccd SIC Code
tsymbol Trading Symbol. A lot like Ticker, but not the same.
primexch Primary Exchange
N: NYSE; A: AMEX; Q: NASDAQ; X: Other Exchange; R: ARCA
exchcd Exchange code indicating the exchange on which a security is listed. Normal exchange codes are respectively 1,2, and 3 for NYSE, AMEX and the Nasdaq Stock MarketSM. An exchange code of zero indicates that a security is either trading on an unknown exchange, or is temporarily not trading at all.
hexcd Header Exchange Code (hexcd)
Valid hexcd’s are 1, 2, or 3, which correspond to the NYSE, AMEX, and Nasdaq respectively. Other exchange codes are not included in hexcd.
prc Price or Bid/Ask Average (prc).
If the closing price is not available on any given trading day, the number in the price field has a negative sign to indicate that it is a bid/ask average and not an actual closing price. Please note that in this field the negative sign is a symbol and that the value of the bid/ask average is not negative.
If neither closing price nor bid/ask average is available on a date, prc is set to zero.
shrout Number of Shares Outstanding, recorded in thousands.
facpr Factor to Adjust Price (facpr)
cfacpr Cumulative Factor to Adjust Price (cfacpr)
facshr Factor to Adjust Shares (facshr)
cfacshr Cumulative Factor to Adjust Shares (cfacshr)
divamt Dividend Cash Amount

Note that CRSP stock prices are unadjusted prices.

Adjusted Price

Facpr is used to adjust stock prices after a distribution so that a comparison can be made on an equivalent basis between prices before and after the distribution. facpr equals facshr for most distribution events. There are three types of distributions where this is the case:

  1. Cash dividends, facpr is set to zero;

  2. Cases of mergers, total liquidations, or exchanges where the security disappeared, facpr is set to negative one by convention;

  3. For stock dividends and splits, facpr is the number of additional shares per old share issued: \(\text{facpr} = \frac{S_t-S_{t-1}}{S_{t-1}}\) $S_t$ is the # shares outstanding on the date after or on the ex-div date for the split. $S_{t-1}$ is the date before the split.

facshr is an adjustment for shares outstanding.

Price and dividend data are adjusted with the calculation: \(AP_t = \frac{P_t}{\text{cfacpr}_t}\) Share and volume data are adjusted with the calculation: \(\text{Ashrout}_t = \text{shrout}_t \times \text{cfacshr}_t\)

Compustat

Provides data for global companies, also index constituents.

Document: https://tevgeniou.github.io/EquityRiskFactors/CompustatManualChpt5.pdf

  • Adjusted close price = $\frac{\text{PRCCD}}{\text{AJEXDI}}$

    • PRCCD: close price daily.

    • AJEXDI: adjustment factor, (Issue)-Cumulative by Ex-Date (ajexdi)

  • To compute returns, you will need to apply a DAILY RETURN FACTOR (variable TRFD) to the close price. That is, multiplying the current adjusted close price (PRCCD/AJEXDI) by the current total return factor (TRFD) and dividing the result by the product of the adjusted close price of the prior period multiplied by the Total Return Factor of the prior period.

    \[\frac{\frac{\text{PRCCD}_t}{\text{AJEXDI}_t}\times \text{TRFD}_t}{\frac{\text{PRCCD}_{t-1}}{\text{AJEXDI}_{t-1}}\times \text{TRFD}_{t-1}} -1\]

    TRFD includes Cash Equivalent Distributions + reinvestment of dividends and the compounding effect of dividends paid on reinvested dividends.

    If you are looking for a price only return, do NOT use the total return factor.

Fama-French data library

http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Norway

Oslo operates two EU regulated markets, Oslo Børs (XOSL) and Euronext Expand (XOAS).

Euronext and Euronext Growth

  • Euronext lists larger, established companies with substantial financing depth.
  • Euronext Growth is suited to small- and mid-sized companies (SMEs) that want to raise funds to finance their growth.
    • Euronext Growth Oslo listing MIC: MERK
    • Not a regulated market.

Titlon

https://uit.no/forskning/forskningsgrupper/sub?sub_id=417205&p_document_id=352767

https://titlon.uit.no/tabledefs.php

  • Table equity
Field name Type Description
Date date(3) Date
SecurityId bigint(8) Security id
CompanyId bigint(8) Company id
Symbol varchar(16) Symbol
ISIN varchar(24) ISIN
Name varchar(50) of associated equity
BestBidPrice float(8) Best bid price
BestAskPrice float(8) Best ask price
Open float(8) Open price
High float(8) Higest observed price during trading day
Low float(8) Lowest observed price during trading day
Close float(8) Closing price
OfficialNumberOfTrades float(8) Official number of trades
OfficialVolume float(8) Official volume
UnofficialNumberOfTrades float(8) Unofficial number of trades
UnofficialVolume float(8) Unofficial volume
VolumeWeightedAveragePrice float(8) Volume weighted average price
Price float(8) Same as closing price
AdjustedPrice float(8) Adjusted price for dividend, split, etc.
Dividends float(8) Last payed dividend
LDividends float(8) Lagged dividend
CorpAdj float(8) Corp adjustments (splits etc.)
DividendAdj float(8) Dividend adjustment factor
Currency varchar(3) Currency. Currently allways NOK
Description varchar(40) Description
CountryCode varchar(10) Country code
SumAnnualDividends float(8) Sum annual dividends
NumberOfShares float(8) Number of shares issued (not free float adjusted)
CompanyOwnedShares float(8) Company owned shares
OutstandingShares float(8) Outstanding shares
Exchange varchar(3) Exchange
NOKPerForex float(8) Exchange rate. Currently allways 1.
mktcap float(8) Market capitalization
OSEBXmktshare_prevmnth float(8) Prevoius month market share in OSEBX index
OSEBXAlpha_prevmnth float(8) Prevoius month alpha relative to OSEBX index
OSEBXBeta_prevmnth float(8) Prevoius month beta relative to OSEBX index
SMB float(8) SMB Fama-French factor
HML float(8) HML Fama french factor
MOM float(8) MOM Fama-French factor
LIQ float(8) LIQ Pastor-Stambaugh factor
DividendPriceRatio float(8) Dividend price ratio
lnDeltaP float(8) log return of the adjusted price (CorpAdj and DividendAdj)
MY Note: seems to be the closing price, in stead of adjusted price.
lnDeltaOSEBX float(8) log return of the OSEBX index
lnDeltaOBX float(8) log return of the OBX index
NOWA_DayLnrate float(8) Log difference of Norwegian Overnight Weighted Average rate from the norwegian central bank after 2013. NIBOR before that.
bills_3month_Lnrate float(8) 3 months Norwegian Goverment Bills, from the bondindex table, CloseYield field.
Sector varchar(50) Sector
IN_OSEBX int(4) True if the stock is in the OSEBX index at the moment
Equity float(8) Amount of Equity
Debt float(8) Amount of Debt
Earnings float(8) Total earnings
debt_ratio float(8) Debt ratio
PE float(8) Price/Earnings

Risk free rate (RFR)

Financial service companies publish surveys about financial data. For instance, PwC Norge.

Asset Pricing data at OSE

https://ba-odegaard.no/financial_data/ose_asset_pricing_data/index.html