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10/23/2017

Return data and market value in Compustat

Many researchers are puzzled by the apparent lack of common data like return or market value in Compustat databases.

RETURN

Compustat North America
Fundamentals annual No

PRCC_C -- Price Close - Annual - Calendar
PRCC_F -- Price Close - Annual - Fiscal
AJEX
But no TRFD

Security daily No
Use
Needed data types PRCCD, AJEXDI, TRFD
((PRCCD / AJEXDI) * TRFD)t) /  ((PRCCD / AJEXDI) * TRFD)t-1) * 100


Source  WRDS: ((prccd/ ajexdi )* trfd )[ current ] /( prccd/ ajexdi )* trfd ))[ prior time period ]-1)*100)


Compustat Global
Fundamentals annual. No

Security daily
Price:Yes
Needed data types PRCCD, AJEXDI, TRFD
((PRCCD / AJEXDI) * TRFD)t) /  ((PRCCD / AJEXDI) * TRFD)t-1) * 100



source WRDS: ((prccd/ ajexdi )* trfd )[ current ] /( prccd/ ajexdi )* trfd ))[ prior time period ]-1)*100) 


CRSP
Stock/ security files > 

Monthly stock file 
No total return
This is what looking for return provides:













Daily Stock File
Looking for returns results in similar downloadables.

Conclusion: CRSP is not a good medium for return data

CRSP/ Compustat Merged
Fundamentals annual: No

Security daily: Yes
Needed data types PRCCD, AJEXDI, TRFD
((PRCCD / AJEXDI) * TRFD)t) /  ((PRCCD / AJEXDI) * TRFD)t-1) * 100

MARKET VALUE


Compustat North America
Fundamentals annual: Yes
MKVALT
Security daily: No.
Use PRCCD * CSHOC = Price Closing daily * Common shares outstanding

Compustat Global
Fundamentals annual: No
No price data either
Security daily: No
Use PRCCD * CSHOC  = Price Closing daily * Common shares outstanding

CRSP
Monthly stock file: No
Use Price * Number of Shares Outstanding =  PRC * SHROUT

Daily Stock File: No.
Use Price * Number of Shares Outstanding =  PRC * SHROUT


CRSP/ Compustat Merged

Fundamentals annual Yes
MKVALT -- Market Value - Total - Fiscal
Or 
Price close
PRCC_C -- Price Close - Annual - Calendar
PRCC_F -- Price Close - Annual - Fiscal
CSHO -- Common Shares Outstanding
Market value: Price * Shares outstanding

Security daily: no
Use PRCCD * CSHOC  = Price Closing daily * Common shares outstanding

2/15/2017

International Stock exchange codes



International stock exchange codes



  


0
Subsidiary/Private
Canada
0
Subsidiary/Private
United States
1
Non-traded Company or Security
Canada
1
Non-traded Company or Security
Germany
1
Non-traded Company or Security
Switzerland
1
Non-traded Company or Security
Taiwan
1
Non-traded Company or Security
United States
2
Consolidated Parent or Tracking Stock Company
United States
3
Leveraged Buyout
United States
4
Additional Company Record-PreSFAS 94, ProForma, PreAmended
United States
7
Toronto Stock Exchange
Canada
8
Montreal Stock Exchange
Canada
9
TSX Venture Exchange
Canada
10
Alberta Stock Exchange
Canada
11
New York Stock Exchange
United States
12
NYSE Amex
United States
13
OTC Bulletin Board
United States
14
NASDAQ-NMS Stock Market
United States
15
NASDAQ OMX BX
United States
16
Midwest Exchange (Chicago)
United States
17
NYSE Arca
United States
18
Philadelphia Exchange
United States
19
Other-OTC
United States
20
Unlisted Evaluated Equity
United States
100
Accra
Ghana
101
Adelaide
Australia
102
Alien Market
Korea
103
Amman
Jordan
104
NYSE Euronext Amsterdam
Netherlands
105
Antwerp
Belgium
106
Australian Stock Exchange
Australia
107
Athens
Greece
108
Auckland
New Zealand
109
Autoquote
United Kingdom
110
Bangkok
Thailand
111
Bangkok Alien Market
Thailand
112
Barcelona
Spain
113
Basel
Switzerland
114
Beirut
Lebanon
115
Berlin
Germany
116
Berne
Switzerland
117
Bilbao
Spain
118
Bogota
Colombia
119
Bologna
Italy
120
Bombay
India
121
Bordeaux
France
122
Bratislava
Slovakia
123
Bremen
Germany
126
Brisbane
Australia
132
NYSE Euronext Brussels
Belgium
133
Bucharest
Romania
134
Budapest
Hungary
135
Buenos Aires
Argentina
136
Cairo
Egypt
137
Calcutta
India
138
Caracas
Venezuela
139
Casablanca
Morocco
141
CLOB Intl - Alien Market
Singapore
142
Colombo
Sri Lanka
144
Copenhagen
Denmark
145
Cordoba
Argentina
147
Delhi
India
148
Deutsche Terminborse (DTB)
Germany
149
Dusseldorf
Germany
151
SWX Swiss Exchange
Israel
151
SWX Swiss Exchange
Switzerland
152
Florence
Italy
153
Foreign Section
Japan
154
Frankfurt
Germany
156
Fukuoka
Japan
158
Gaborone
Botswana
159
Geneva
Switzerland
160
Genoa
Italy
161
Ghent
Belgium
162
Granville
United Kingdom
163
Hamburg
Germany
164
Hamilton
Bermuda
165
Hanover
Germany
166
Harare
Zimbabwe
167
Helsinki
Finland
169
Hobart
Australia
170
Hong Kong
Hong Kong
171
IBIS
Germany
172
Irish
Ireland
173
Smaller Companies Market
Ireland
174
Istanbul
Turkey
175
Indonesia Stock Exchange
Indonesia
176
Jakarta Alien Market
Indonesia
177
Johannesburg
South Africa
178
Karachi
Pakistan
179
Kiev
Ukraine
180
Kingston
Jamaica
181
Bursa Malaysia
Malaysia
183
Kyoto
Japan
184
La Paz
Bolivia
185
Lagos
Nigeria
186
Lausanne
Switzerland
187
Liberia
Liberia
188
Liege
Belgium
189
LIFFE/Options
United Kingdom
190
Lille
France
191
Lima
Peru
192
Lisbon
Portugal
193
Ljubljana
Slovenia
194
London
United Kingdom
197
Lusaka
Zambia
198
Luxembourg
Luxembourg
199
Lyon
France
200
Madras
India
201
Madrid
Spain
202
Makita
Philippines
203
Manila
Philippines
204
Marrakech
Morocco
205
Marseille
France
206
Matif
France
207
Melbourne
Australia
208
Mexico City Stock Exchange
Mexico
209
Milan
Italy
210
Montevideo
Uruguay
211
Moscow
Russia
212
Munich
Germany
213
Nagoya
Japan
214
Nairobi
Kenya
216
Nancy
France
217
Nantes
France
218
Naples
Italy
219
National Market
India
220
Neuchatel
Switzerland
221
Nicosia
Cyprus
224
Novosibirsk
Russia
225
NZSE National Market
New Zealand
226
OFEX
United Kingdom
227
Osaka
Japan
228
Oslo
Norway
230
Palermo
Italy
231
Paris
France
232
Perth
Australia
233
Port Louis
Mauritius
234
Porto
Portugal
235
Prague
Czech Republic
236
Riga
Latvia
237
Reykjavik
Iceland
238
Rio de Janeiro
Brazil
240
Rome
Italy
241
Russian Trading System
Russia
242
Santiago
Chile
243
BM and F Bovespa
Brazil
244
Sapporo
Japan
245
GreTai Securities Market
Taiwan
246
SEAQ International
United Kingdom
247
SEATS
United Kingdom
248
Seoul
South Korea
249
Shanghai
China
250
Shenzhen
China
251
Singapore
Singapore
252
Singapore Alien Market
Singapore
253
Sofia
Bulgaria
254
St. Gallen
Switzerland
255
St Petersburg
Russia
256
Stockholm
Sweden
257
Stuttgart
Germany
258
Surabaya
Indonesia
260
Taipei
Taiwan
261
Tallinn
Estonia
262
Tel Aviv
Israel
263
Third Market
United Kingdom
264
Tokyo
Japan
265
Trieste
Italy
266
Tunis
Tunisia
267
Turin
Italy
269
Unlisted Securities Market
Ireland
269
Unlisted Securities Market
United Kingdom
270
Valencia
Spain
271
Valletta
Malta
272
Venice
Italy
273
Vienna
Austria
274
Vilnius
Lithuania
275
Vladivostok
Russia
276
Warsaw
Poland
277
Wellington
New Zealand
278
Zagreb
Croatia
280
Zurich
Switzerland
282
International(London)
United Kingdom
283
Fund Manager
United Kingdom
283
Fund Manager
Luxembourg
285
Euro NM
Belgium
286
NYSE Euronext Paris
Finland
286
NYSE Euronext Paris
France
286
NYSE Euronext Paris
Israel
286
NYSE Euronext Paris
Italy
286
NYSE Euronext Paris
Netherlands
286
NYSE Euronext Paris
Norway
286
NYSE Euronext Paris
Spain
287
Neuer Markt
Germany
289
Nouveau Marche
France
290
Hors-Cote (OTC)
France
291
European Options Market
Luxembourg
292
NMAX (Nieuwe Markt)
Netherlands
293
Jasdaq
Japan
294
Euronext (Obsolete)
Belgium
294
Euronext (Obsolete)
France
294
Euronext (Obsolete)
Netherlands
295
RASDAQ
Romania
296
Nasdaq Japan
Japan
298
KOSDAQ
South Korea
299
Alexandria
Egypt
300
Kuwait
Kuwait
301
Muscat
Oman
303
TAISDAQ
Taiwan
304
MESDAQ
Malaysia
305
NOREX
Denmark
305
NOREX
Iceland
305
NOREX
Sweden
306
Riyadh
Saudi Arabia
307
Manama
Bahrain
308
Chittagong
Bangladesh
309
Abidjan
Cote d'Ivoire
310
Tehran
Iran
311
Windhoek
Namibia
312
Quito
Ecuador
313
Guayaquil
Ecuador
314
Dacca
Bangladesh
315
Doha
Qatar
316
Yaounde
Cameroon
317
Bourse Regionale Des Valeurs Mobilieres (BRVM)
Senegal
318
Abu Dhabi
United Arab Emirates
320
Unquoted Security
Morocco
322
Bermuda
United Kingdom
323
Dubai Financial Market
United Arab Emirates
325
Port of Spain
Trinidad and Tobago
326
OTOB Clearing Bank
Austria
327
Ho Chi Minh City
Vietnam
328
Hanoi Securities Trading Center
Vietnam
329
Almaty
Kazakhstan
330
WAEMU West African Economics MU
Ivory Coast
331
Nasdaq Dubai
United Arab Emirates
332
Moscow Interbank Currency Exchange
Russia
333
Belgrade Stock Exchange
Serbia
334
Ukrainian Stock Exchange
Ukraine
** This is a pseudo-exchange created by Standard & Poor's to represent non-trading companies.


(source: WRDS expressfeed)

 

Country codes country abbreviations  (ISO) :

http://www.nationsonline.org/oneworld/country_code_list.htm