Basic information on financial databases: cook books, tips and tricks & economic news

This blog contains schematic easy to grasp - hands on - help in performing searches in economic databases, making work sets and making them inter-exchangeable between the databases.

* Disclaimer. I am not a finance professional. Most posts are the result of personal findings.

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Calculating return with Excel

In one of my posts, a couple of years ago, I told something about Return, expected return and abnormal return.: This post
In this post I am going to focus on caes where return can't be downloaed, but (stock) prices can.
In Excel you can calculate the return yourself.

Today's stock prices minus yesterday's stock price, divided by yesterday's stock price

(Px-Px-1)/ Px-1 = return or

(Px-Px-1)  = return

Working from a table with stock, this is what you do:

Price day in i.e. cell B8 minis price in cell B7 divided by the price in cell B7
See pic

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Now double click the + in the right bottom of the screen

Now what if we want to compare this to the returns of AEX?
After downloading the Index prices simply copy the column with the Ahold returns next to the AEX returns. It will keep the formula but calculates the AEX returns. Neat.

Databases with returns data

Datastream (see examples above)

Compustat North America: Security daily > TRFD > Total return factor Daily (TRFD is monthly in the monthly securieties datbase)
Not in the other N. Am. databases.

CRSP - Daily Extract with Time Window does provide event studies with return data. (PERMNO codes only, which have to be drawn from other datasets through CRSP/Compustat merged, making it possible to work with ticker, Cusip, CIK and sector indicators like SIC and NAICS)

Compustat Global does not not, so method above mentioned might come in handy. 
Download the price data in the security daily database

Note: I am going to explore this subject further.

Also see Blog item Return, expected return and abnormal return

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