Advanced Search
MyIDEAS: Login to save this article or follow this journal

UK cross-sectional equity data: The case for robust investability filters

Contents:

Author Info

  • Rossi, Francesco

    ()
    (UCD School of Business, University College Dublin, Blackrock, Co. Dublin, Ireland)

Abstract

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the UK market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would surely invalidate statistical inferences, and that are not addressed by commonly used filters. We show the benefits and need for a supplementary data source. We then develop robust investability filters to ensure statistical results from cross-sectional analysis are economically meaningful, an issue overlooked by most studies on cross-sectional equity risk pricing.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://eelet.org.uk/EEL1(1)6-13.pdf
File Function: Full text
Download Restriction: no

Bibliographic Info

Article provided by European Economics Letters Group in its journal European Economic Letters.

Volume (Year): 1 (2012)
Issue (Month): 1 ()
Pages: 6-13

as in new window
Handle: RePEc:ris:eueclt:0002

Contact details of provider:
Postal: Joensuu, Finland
Web page: http://www.eelet.org.uk/

Related research

Keywords: Liquidity; Turnover; Volume; Investability; Datastream;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04.
  2. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2005. "Liquidity and Expected Returns: Lessons From Emerging Markets," NBER Working Papers 11413, National Bureau of Economic Research, Inc.
  3. Eugene F. Fama & Kenneth R. French, 2008. "Dissecting Anomalies," Journal of Finance, American Finance Association, vol. 63(4), pages 1653-1678, 08.
  4. Michael W. Brandt & Alon Brav & John R. Graham & Alok Kumar, 2010. "The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?," Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 863-899, February.
  5. Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
  6. Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009. "High idiosyncratic volatility and low returns: International and further U.S. evidence," Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
  7. Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers 2003-028, Federal Reserve Bank of St. Louis.
  8. K. J. Martijn Cremers & Jianping Mei, 2007. "Turning over Turnover," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1749-1782, November.
  9. Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2010. "Aggregate Idiosyncratic Volatility," CEPR Discussion Papers 8149, C.E.P.R. Discussion Papers.
  10. Yasushi Hamao & Jianping Mei & Yexiao Xu, 2003. "Idiosyncratic Risk and the Creative Destruction in Japan," NBER Working Papers 9642, National Bureau of Economic Research, Inc.
  11. Söhnke M. Bartram & Gregory Brown & René M. Stulz, 2009. "Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?," NBER Working Papers 14931, National Bureau of Economic Research, Inc.
  12. Turan G. Bali & Nusret Cakici & Xuemin (Sterling) Yan & Zhe Zhang, 2005. "Does Idiosyncratic Risk Really Matter?," Journal of Finance, American Finance Association, vol. 60(2), pages 905-929, 04.
  13. Matteo P. Arena & K. Stephen Haggard & Xuemin (Sterling) Yan, 2008. "Price Momentum and Idiosyncratic Volatility," The Financial Review, Eastern Finance Association, vol. 43(2), pages 159-190, 05.
  14. Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
  15. Li, Xiafei & Miffre, Joëlle & Brooks, Chris & O'Sullivan, Niall, 2008. "Momentum profits and time-varying unsystematic risk," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 541-558, April.
  16. Ozgur S. Ince & R. Burt Porter, 2006. "INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 29(4), pages 463-479.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ris:eueclt:0002. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mike taylor).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.