LSPD on WRDS (three tips)
London Share Price Database (LSPD) is a unique, comprehensive database of UK stock returns covering over 9,000 UK shares available to University of Manchester researchers through our WRDS (Wharton Research Data Services) subscription.
LSPD is firmly aimed at researchers: it only covers UK shares and does not have the variety of data available in Thomson Reuters Datastream or Bloomberg. It concentrates on its historic coverage (from 1955 to date) and the quality of its returns data. The following three items illustrate LSPD strengths.
1) Historic company names
Finding companies by their previous names can be a headache for researchers, especially if a company is dead or inactive. LSPD uses its own unique company number (G1 in the excellent manual) so that it can trace historic names. You can search by name or company number using the WRDS-LSPD company lookup facility. The screenshot below shows the names for Granada (LSPD_STOCK_ID (G1) is 2222) from 1959 onwards.
It can be useful to first lookup by name, e.g. “Granada”, and then by the LSPD_STOCK_ID (G1) number where there has been a major name change, e.g. “Granada plc” to “ITV plc”.
Previous posts that demonstrate the problems name changes can cause
- Finding UK listed companies – try LSPD (posted January 2011)
- Finding inactive/dead companies on Datastream (posted February 2012)
- Datastream – coping with name changes (posted October 2012)
An alternative approach to find historical company names is to download the “st_names” dataset and use the find/selection options in your chosen analysis software (Excel/SPSS/Stata/SAS).
2) Main or AIM market
UK companies listed on the London Stock Exchange can be on either the Main Market or the AIM (Alternative Investment Market). LSPD can be used to identify AIM listed companies, including dead/inactive ones.
You can used the LSPD “Stock Annual query” – search the entire database with condition G16 (SEDOL Group) is 95 (Alternative Investment Market).
A recent test gave 2667 AIM listed companies, of which 1092 were active. Of the inactive/dead AIM companies the most popular reasons (from G10 Type of Death) were:
- G10 = 5 – Acquisition/takeover/merger (approx 600 companies)
- G10 = 14 – Quotation cancelled for reason unknown. No dealings under rule 163(2) or (3) (approx 400)
- G10 = 20 – In Administration/Administrative receivership (approx 200)
3) UK monthly risk free rate
Finally LSPD Index 3 is Treasury Bill Rate (90 Day) so you can also get a UK risk free rate from LSPD.
One advantage of the LSPD Index Monthly query is that you get both the annual yield (I10) and the monthly log return (R22) (Screenshot below).
As previously, it is best to download the LSPD manual for the definitions of the these variables.