Detail publikace

Does the Source of Fundamental Data Matter?

Autor: Mgr. Martin Hronec , Ondrej Tobek
Typ: IES Working Papers
Rok: 2018
Číslo: 15
ISSN / ISBN:
Publikováno v: IES Working Papers 15/2018
Místo vydání: Prague
Klíčová slova:
JEL kódy: G11, G12, G15
Citace: Tobek O. and Hronec M. (2018): "Does the Source of Fundamental Data Matter?" IES Working Papers 15/2018. IES FSV. Charles University.
Abstrakt: We study the role of the choice of a fundamental database on the portfolio returns of a set of 74 fundamental anomalies. We benchmark Compustat by comparing it to Datastream in the US and find systematic differences in the raw financial statements across the databases. These differences only have a small effect on the returns of anomalies when they are constructed on stock-months existing in both databases. Different stock coverage across the databases, however, leads to large statistically and economically significant disparities in the returns. Profitability anomalies yield negative returns on the Datastream universe.
Ke stažení: wp_2018_15_tobek

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