Datastream searching for book to market
A query this morning uncovered a situation where some care is needed when searching in Thomson Reuters Datastream.
We were looking for the “book to market” value for a company. It turns out that Datastream does not have this datatype. It does have Market To Book Value (MTBV), but even this can be difficult to find.
- If you search for name contains “book” you get 618 results – rather a lot to scroll through
- If you search for name contains “market” you get 205 results – still a lot to scroll through
- If you search for name contains “book market” you get 0 (zero) results –
- Using both search boxes for name contains “book” AND name contains “market” will give you Market To Book Value (MTBV)
Datastream MTBV is defined as the market value divided by the book value (check definition if you want full details). The Fama-French model uses book-to-market which is defined as the book value divided by the market value – see ken.french/Data_Library/variable_definitions.html for details. So a company with a market value of £500million and a book value of £250million will have MTBV of 2, and book to market of 0.5.
After finding Market To Book Value (MTBV) you can get “book to market”:
- the inverse – book to market = 1/MTBV
- use constituents and calculate – book to market = WC03501/MV (ordinary (common) equity / market value)
- use constituents and Datastream expression
Datastream, Worldscope and Units (August 2011, updated April 2013)
Worldscope accounting data – finding data tips (July 2011)