Individual Equity Return Data from Thomson Datastream: Handle with Care!

By O. Ince, R. Porter. 2004

813 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4617d2ae51999d420dd8772338780b17c55ae6e3

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Citations in the corpus

The Illiquidity Premium: International Evidence (2015, positive): “He finds that two illiquidity measures perform best, those of Lesmond et al. (1999) and of Amihud (2002).”
Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, methodology): “ITb Recommended by 500 BOND DEFER DEP DEPY ELKS ETF FUND FD IDX INDEX LP MIPS Ince and Porter (2006) MITS MITT MPS NIKKEI NOTE PERQS PINES PRTF PTNS PTSHP QUIBS QUIDS RATE RCPTS RECEIPTS REIT RETUR SCORE SPDR STRYPES TOPRS UNIT UNT UTS WTS XXXXX YIELD YLD Expired securities EXPIRED EXPD EXPIRY EXPY ”
Are extreme returns priced in the stock market? European evidence. (2013, positive): “Two corrections are applied to correct for errors that occasionally occur in the TDS database, inspired by Ince and Porter (2006) and Schmidt et al. (2011). First, we need to think about decimal errors.”
Integrating sustainability risks in asset management: the role of ESG exposures and ESG ratings (2019, neutral): “Concerning stock returns, we apply usual corrections following Ince and Porter (2006).”
Bribes and Firm Value (2017, positive): “14 I follow Ince and Porter (2006) in “cleaning” daily return data.”
Climate risks and market efficiency (2017, positive): “We apply the following sequence of filters that are derived from the extensive data investigations by Ince and Porter (2006), Griffin, Kelly, and Nardari (2010) and Hou, Karolyi, and”
What Are the Best Liquidity Proxies for Global Research (2017, methodology): “Second, for Datastream we follow the recommendation of Ince and Porter (2006) to example, French stocks prior to 1999 were traded in French franc but reported in euro in Datastream.”
Board Reforms and Firm Value: Worldwide Evidence (2017, neutral): “We begin with the stocks in DataStream country lists (including delisted stocks) and apply various filters recommended in prior studies to include only common stocks in our final sample (Ince and Porter, 2006; and Griffin et al., 2010).”
Preferred Risk Habitat of Individual Investors (2010, neutral): “The use of Datastream for stock returns raises a number of methodological concerns (Ince and Porter (2005) elaborate on this point).”
Why do some banks contribute more to global systemic risk? (2018, methodology): “As a measure for an individual stock’s liquidity, we use a variant of the Amihud measure as proposed by Karolyi et al. (2012). They adjust the Amihud measure of illiquidity by adding a constant and taking the natural logarithm of the original Amihud measure to minimize the effect of outliers.”
Culture and R 2 (2014, positive): “To prevent outliers from driving the results, we follow Ince and Porter (2006) and delete an observation if the stock return is above 300% and reverses in the following week.”
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World (2015, positive): “We also adopt the data filter that Ince and Porter (2006) advocate when we use daily return data from Datastream.”