Publication detail

Does the Source of Fundamental Data Matter?

Author(s): Mgr. Martin Hronec , Ondrej Tobek
Type: IES Working Papers
Year: 2018
Number: 15
ISSN / ISBN:
Published in: IES Working Papers 15/2018
Publishing place: Prague
Keywords:
JEL codes: G11, G12, G15
Suggested Citation: Tobek O. and Hronec M. (2018): "Does the Source of Fundamental Data Matter?" IES Working Papers 15/2018. IES FSV. Charles University.
Abstract: 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.
Downloadable: wp_2018_15_tobek

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