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Posts Tagged ‘LSPD’

Historical stock prices

There are several possible sources; see The University of Manchester Library’s Share Price Information Guide.

Subscription specialist financial databases

ThomsonONE.com (online, mainly active companies):

  1. In the yellow top-left area Symbol/Name, search for the company by name or ticker.
  2. In the main horizontal menu, choose Company Views > Price Chart.
  3. Specify the desired time period and frequency. Add any other criteria such as another company or index.
  4. Click Go to redraw the chart.
  5. To download the data, click the Excel icon at the top.
  6. Alternatively, you can use the Thomson Reuters Spreadsheet Link Excel add-in, available at the Library Finance Zone.

Datastream:

  • Time series request, default datatype for equities(stocks) P(adjusted closing price), others e.g. UP (unadjusted price) also available.

Bloomberg:

  1. Select company: search by name and select or type company Bloomberg ticker and hit EQUITY key (e.g. MSFT US [EQUITY] for Microsoft).
  2. Type HP and hit Go for Historical Prices.
  3. OR type GP and hit Go for Graph Prices and then copy and paste data into Excel.

Global Financial Database

Market specific sources

  • CRSP for US stocks, available through WRDS
  • LSPD (London Share Price Database) monthly prices for London Stock Exchange

Online sources

Often only active companies and less flexible than subscription databases.

  • Yahoo Finance Enter your stock symbol and select historical prices

Further Information

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.

WRDS-LSPD lookup for Granada

WRDS-LSPD lookup for Granada

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

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).

LSPD-T-bill

As previously, it is best to download the LSPD manual for the definitions of the these variables.

Categories: company information Tags: ,

WRDS – available databases update

21 March 2014 1 comment

WRDS-iconUniversity of Manchester researchers now have access to additional databases on WRDS (Wharton Research Data Services) following a recent review of the data needed to support current and planned research. These changes are not always easy to see in the menu of “Current Subscriptions” on the left side when you login with a WRDS username and password.

University of Manchester (UoM) main WRDS subscriptions (we don’t subscribe to everything) are:

WRDS University of Manchester subscriptions (click to expand)

WRDS University of Manchester subscriptions (click to expand)

  • Bureau van Dijk – Amadeus (European companies) and Bankscope (banks worldwide)
  • COMPUSTAT (North America) – “S&P Capital IQ’s Compustat North America is a database of U.S. and Canadian fundamental and market information on active and inactive publicly held companies”.
  • COMPUSTAT Execucomp – Executive Compensation for North American companies
  • CRSP – US Stocks and Indices (annual update) – “The Center for Research in Security Prices (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets.”
  • CRSP/Compustat MergedCCM – “The gold standard in academic research, The CRSP/COMPUSTAT Merged Database allows for concurrent database access to CRSP’s stock data and Compustat’s fundamental data.”
  • CSMAR – “The China Stock Market & Accounting Research Database is designed and developed by GTA Information Technology – one of major providers of China data. The CSMAR Databases offer data on the China stock markets and the financial statements of China’s listed companies. “
  • EVENTUS – “Eventus performs event studies using data read directly from CRSP stock databases or pre-extracted from any source.”
  • IBES – I/B/E/S from Thomson Reuters – “I/B/E/S International Inc. created their Academic Research Program over 30 years ago to provide both summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations.”
WRDS Not in UoM subscription (click to expand)

WRDS Not in UoM subscription (click to expand)

  • LSPD –  “The London Share Price Database (LSPD) is a unique, comprehensive database of UK stock returns covering over 9,000 UK shares from 1955 to date.”
  • Mergent FISD – The Mergent Fixed Income Securities Database (FISD) is a comprehensive database of publicly-offered U.S. bonds.
  • Option Metrics  – “Ivy DB OptionMetrics is a comprehensive source of historical price and implied volatility data for the US equity and index options markets”
  • Risk Metrics – “RiskMetrics (through ISS Governance Services) is a leader in corporate governance data. IRRC was initially the data provider for WRDS. IRRC, however, was acquired by ISS in 2005.”
  • TAQ -“The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues.”
  • Thomson Reuters ownership ( 13F, Insiders, Mutual Funds ) – “Thomson-Reuters Institutional Holdings (13F) Database provides Institutional Common Stock Holdings and Transactions, as reported on Form 13F filed with the SEC.”
  • Thomson Reuters Dealscan or WRDS-Thomson Reuters LPC DealScan – “WRDS-Thomson Reuters LPC DealScan is the world’s pre-eminent source for extensive and reliable information on the global syndicated bank loan market. It provides users with access to Thomson Reuters LPC’s robust database of detailed terms and conditions on over 240,000 loan transactions. These transactions finance M&A activity, working capital needs and other general corporate purposes for loan participants world-wide.”

Notes

The WRDS current subscriptions list also include databases that are free to all WRDS subscribers. A list of these is available on the “What is WRDS?” page. More detailed information on WRDS datasets is available to all on their Our Datasets page (no subscription required)

Most of our WRDS subscriptions are US (North America) only – exceptions include Amadeus (European companies), Bankscope (banks worldwide), CSMAR (China), LSPD (UK) and IBES. (IBES is split into a US file (the default) and an International file.)

WRDS subscriptions are complicated as many providers have multiple databases and the University of Manchester may only subscribe to some. For example, for CRSP we subscribe to US stocks and indices, CRSP/Compustat merged, treasuries and mutual funds, but not to the CRSP Ziman REIT database.

  • CRSP Treasuries – “The CRSP US Treasury and Inflation Series contain returns and index levels on the US Government Bond Fixed Term Index Series, and the Risk Free Rates File.”
  • CRSP Mutual Funds – “As the provider of the only complete database of both active and inactive mutual funds, CRSP leads the way in mutual fund research.”

WRDS does provide some online help for selecting appropriate databases for different types of data, but this help does not take account of our subscriptions. An alternative view of UoM subscriptions is given on the MyWRDS tab and Products page.

Related Posts

US company data on WRDS (posted March 2012)

S&P 500 (Standard and Poor’s 500 Index) (posted December 2011)

WRDS – Wharton Research Data Services (posted March 2011)

References

Wharton Research Data Services (WRDS). (2014) WRDS Database overview desciptions. [Online]. Available at: WRDS  http://wrds-web.wharton.upenn.edu/wrds/ (Accessed: 21 March 2014)

[This reference is adequate since it is probably enough for readers to get access to the information quoted in this post. It does not include the specific page for each quote or cope well with different pages which WRDS being accessed at different dates. However, the alternative of having a whole list of references (WRDS, 2014a), (WRDS, 2014b), (WRDS, 2014c) … looks a worse choice using far more words to give the reader only a little more information.]

LSPD now available on WRDS

28 June 2013 4 comments

London Share Price Data (LSPD) is now available through WRDS (Wharton Research Data Services).

LSPD on WRDS (click to expand)

LSPD on WRDS (click to expand)

Previously the University of Manchester only had access to LSPD as a local MS Access database or a set of .csv files.

LSPD is firmly aimed at researchers: it does not have the variety of data available in other databases, for example Thomson Reuters Datastream or Bloomberg, but concentrates on its historic coverage and the quality of its returns data. We have found LSPD has particular strengths in several areas

  • good representative coverage 1955-1974, full coverage 1975 to date
  • full historic details of company name changes and Stock Exchange Daily Official List (SEDOL) code changes – see Finding UK companies – try LSPD (posted Jan 2011)
  • details of dividend announcement dates, as well as ex-dividend and payment dates
  • data on reasons for company death (delisting)

For brief details of LSPD you can expand the screenshot above, or goto the LSPD page on the London Business School website. For full details there is an excellent manual – recommended reading for anyone thinking of using LSPD.

The University of Manchester subscription is to the LSPD monthly price and returns data (not the daily equivalent).

LSPD does not provide ‘”up to date” data. LSPD on WRDS is updated quarterly with the data released about six week after the end of the quarter. Previously LSPD was released as an annual update, e.g. the 2013 version with monthly data up to the end of 2012 was issued around April 2013. (Our subscription to the CRSP database on WRDS is similar – CRSP provides daily data but we only subscribe to the annual update.)

Other LSPD tips (posts in this blog mentioning LPSD).

All UK listed companies (part 3)

11 June 2013 9 comments

Thomson ReutersIn part 2 we used Thomson Reuters Datastream to move from all currently listed UK companies (part 1) to including delisted/dead companies. It became surprisingly complicated so a review seems appropriate.

Three possible ways to get a list of all listed UK companies:

  1. Datastream Search for all equities on the London Stock Exchange, major security and primary quote. (TYPE = ‘EQ’ and EXDSCD = ‘LN’ and MAJOR = ‘Y’ and ISINID = ‘P’) DS-LN-EQ-MP  (No of securities/companies 7428 – 4 June 2013)
  2. Datastream constituent lists FBRIT (UK active cos) and DEADUK (UK dead cos) FBRIT + DEADUK (No of securities/companies 10208 – 28 May 2013)
  3. Datastream constituent list WSCOPEUK (UK companies in Worldscope) WSCOPEUK (No of securities/companies 5015 – 28 May 2013)

Comparing the results of these three lists.

Overlap of lists on UK companies

Overlap of lists on UK companies

Many companies in DS-LN-EQ-MP and FBRIT+DEADUK are not in WSCOPEUK because it does not cover pre-1985 and coverage for the late 1980s looks incomplete.

The Datastream consituent lists FBRIT + DEADUK  include investment trusts, and companies on other exchanges e.g. ICAP Sec & Der.E  (formerly UK Plus), that are excluded from DS-LN-EQ-MP.

The 755 companies only in WSCOPEUK includes over 600 investment trusts, and companies on other exchanges.

(click to expand)

(click to expand)

The 193 companies in WSCOPEUK and DS-LN-EQ-MP but not FBRIT+DEADUK appear to be mostly unquoted but with accounting data in Worldscope. Most don’t have a SEDOL code.

The 690 companies only in DS-LN-EQ-MP also appear to be mostly unquoted, but without accounting data in Worldscope. Only 56 have a SEDOL code.

Using Thomson Reuters Datastream to get all listed UK companies there are the expected problems of how to deal with foreign companies listing in the UK and investment trusts. If accounting data is needed then the historic data available is less than for the price (financial market) data. This review also shows that there is a problem with unquoted companies. These are included in Datastream, and Worldscope, probably because they are traded over the counter (OTC).

The best alternative to Thomson Reuters Datastream for getting a historical listing of companies listed on the London Stock Exchange the London Share Price Database (LSPD). This is a specialist research database (programming required) and only includes monthly price data. For more details see Jan 2011 post Finding UK listed companies – try LSPD.

 

UK companies with a diamond pedigree

Following a diamond jubilee theme we describe how you might find UK companies that have been publicly listed for 60 years.

This illustrates how it can be difficult to find just the data you want even if you use several databases.

Using FAME we can search for UK companies that are active and listed (quoted on the london stock exchange). To restrict my result set I added a constraint that the companies should have an incorporation date between 21/04/1916 and 21/04/1936. This gave a total of 68 companies. (See previous post How to research UK company data for more on FAME)

The problem with this list is that it includes companies that are currently listed, while I want to find out companies that have been listed since June 1952. Ideally, I would just go to Thomson Reuters  Datastream and get the UK companies with a base date (BDATE) around June 1952. Unfortunately, Datastream only has data from December 1964. Its earliest BDATE for UK companies is 30/12/1964 as this is when Datastream starts its coverage of the UK market.

Getting the ISIN identifier from FAME I can use a Datastream static request to get the BDATE, NAME (just to check) etc. for my companies. This eliminates some:

  • SAINSBURY (J) [or J Sainsbury PLC in FAME] incorporated 10/Nov/1922 but only listed in 1973
  • INVENSYS [Invensys PLC] incorporated 01/Apr/1920 but only listed in 1972
  • THORNTONS [Thorntons PLC] incorporated 13/May/1921 but only listed in 1988

To go back further than Dec 1964, I can go to the specialist research database LSDP (London Share Price Database). In fact this only goes back to Jan 1955 – not quite June 1952 but a lot closer than Dec 1964. LSPD does not have a web interface so without programming I have to lookup companies indivdually. (See earlier post Finding UK listed companies – try LSPD)

This highlights the number of long-lived companies that have changed their names, sometimes as a result of mergers.

  • ASSOCIATED BRIT.FOODS was originally Allied Bakeries (1955 – 1960)
  • REXAM was originally Bowater Corp. (1955 – 1984)
  • COOKSON GROUP was originally Goodlass Wall and Lead Industries (1955 – 1967)
  • DAILY MAIL ‘A’  is  Daily Mail & General Trust (1955 – ) in LSPD 

The different names are a reminder that different databases can use slightly different names for the same company. This along with name changes is why company and financial databases use a company identifier (company id) to uniquely identify company information.

To progress further I would have to decide how to handle companies that had merged during their 60+ years as public companies. To use LSPD more I would have to brush up on my programming skills, or I could revise my ambition and decide that going back to 1965 and using Datastream is sufficient.

Categories: Business Databases Tags: , ,

Finding UK listed companies – try LSPD

7 January 2011 6 comments

If you are looking for an active company (one currently listed on the London Stock Exchange) then your only problem is getting the name right. For example Royal Dutch Shell rather than just Shell. If you can find a SEDOL or ISIN code for the company you can use this to double-check.

Looking for a dead /inactive company, perhaps one that has been taken over in a merger, then things are more tricky.

  • Thomson One Banker will not give you data on dead companies (unless it was active recently)
  • Datastream will give you data. You need to know the last name of the company, and to remember that the default settings of Datastream Navigator are to only to search for active companies.
  • LSPD (London Share Price Database) has details on the name changes of active and inactive UK listed companies, and is therefore a useful resource if you are having problems.

Take the Halifax Building society, which demutualised and floated on the LSE in 1997.  If you search for Halifax in Datastream you will have no luck. However, searching the LSPD names file (lspdN.csv) will give a history of the companies name changes.

LSPD database - names example

This extract from lspdN.csv shows that Halifax plc listed in June 1997 (N1 – 61997), changed its name to Halixfax Group plc, then to HBOS plc, and was taken over (N7 – 5) in Jan 2009 (N2 – 12009) by the company with SEDOL 870612 (N8).  Searching lspdN.csv, or Datastream, will confirm that this is the SEDOL code for Lloyds Banking Group. [ Full details of the columns N1, N2 … are in the LSDP manual. You can also find this information in the LSPD master index file, lspdM.csv. ]

Categories: Business Databases Tags: