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Τεκμήριο 1. Handling data from Thompson’s DataStream 2. The Cross-Section of European Returns: an application of asset pricing models, anomalies and predictability in a Pan-European frameworkLandis-Conrad, Felix-Michel; Athens University of Economics and Business, Department of International European Economic Studies; Skouras, SpyrosThis paper refers on Handling data from Thompson’s DataStream (TDS). Although DataStream is a rich data source for approximately 50.000 equities from more than 65 markets around the world with more than 25 years of coverage, its data should be handle with care. An extensive research on that subject is already published by Ince and Porter (2006-“Individual Equity Return Data from Thompson DataStream: Handle With Care”). So our paper comes as a supplement to it, providing, though more information especially in the common stock identification processes for European markets and proposing extra screens for unreported errors. At the same time it, jointly describes the methodology we applied to obtain the European sample we used in our tests throughout the paper 2 .