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Financial History Databases: Old Data, Old Issues, New Insights?

Author

Listed:
  • Annaert Jan

    (Antwerp Management School, UA - University of Antwerp)

  • Buelens Frans

    (UA - University of Antwerp)

  • Angelo Riva

    (PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, IREBS - Institut de recherche de l'European Business School - EBS Paris - European Business School Paris)

Abstract

In this chapter, we draw attention to the potential flaws historical financial data sets might embed. The way in which historical financial data have been gathered and constructed is even more important than for recent data. For data users, overlooking these potential flaws can affect the reliability of the underlying analysis. For data collectors, considering them can lead to data of better quality. To illustrate, we first discuss the general issues that may affect stock and bond data. Next, we examine in more detail the data items needed to construct equity and bond market indices as well as the consequences of not having these items. An appendix provides an overview of the existing cross-sectional historical datasets.

Suggested Citation

  • Annaert Jan & Buelens Frans & Angelo Riva, 2016. "Financial History Databases: Old Data, Old Issues, New Insights?," PSE-Ecole d'économie de Paris (Postprint) halshs-01509708, HAL.
    • Handle: RePEc:hal:pseptp:halshs-01509708
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    Cited by:

    1. Gram, Dennis & Karapanagiotis, Pantelis & Krzyzanowski, Jan & Liebald, Marius & Walz, Uwe, 2021. "An extensible model for historical financial data with an application to German company and stock market data," SAFE Working Paper Series 300, Leibniz Institute for Financial Research SAFE.
    2. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.

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    Keywords

    flaws historical financial data sets;

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