Introduction to Compustat North America Database
Explore the features of Compustat North America database covering financial data from over 35,000 public companies in the U.S. and Canada. Learn about its coverage, components, and significance for empirical research.
Download Presentation
Please find below an Image/Link to download the presentation.
The content on the website is provided AS IS for your information and personal use only. It may not be sold, licensed, or shared on other websites without obtaining consent from the author. If you encounter any issues during the download, it is possible that the publisher has removed the file from their server.
You are allowed to download the files provided on this website for personal or commercial use, subject to the condition that they are used lawfully. All files are the property of their respective owners.
The content on the website is provided AS IS for your information and personal use only. It may not be sold, licensed, or shared on other websites without obtaining consent from the author.
E N D
Presentation Transcript
Introduction to Compustat North America - 1 April 2020 Qingyi (Freda) Song Drechsler, Ph.D.
Compustat North America 1 What is Compustat? 2 Compustat Coverage 3 Important Compustat Component 2 Wharton Research Data Services
Compustat - NA Fundamental database BS, IS and CF Draws data from companies SEC filings (10-K, 10-Q) Reports data items on Annual and Quarterly basis Covers both Industry and Financial companies: Standardized to allow for better comparison across industries Carries companies that are both active and delisted Survivor bias free
Pillar of Empirical Research 4 Wharton Research Data Services
Compustat North America 1 What is Compustat? 2 Compustat Coverage 3 Important Compustat Component 5 Wharton Research Data Services
Coverage Region: U.S. and Canada 35,000+ active and inactive public companies, covering major indices such as S&P and Russell. Frequency: Fundamental Annual (10-K) Fundamental Quarterly (10-Q) 6 Name of Initiative
Coverage Compustat North-America Annual 1950 - present Fundamental Date Range Quarterly 1962 - present Monthly 1962 - present Security Date Range 1983 - present Daily 7 Wharton Research Data Services
Compustat North America 1 What is Compustat? 2 Compustat Coverage 3 Important Compustat Component 8 Wharton Research Data Services
Compustat Data Family COMP Executive Compensation North America Global Snapshot Annual/Quarterly Fundamental Market Data Additional Info Accounting and Financial Items Daily / Monthly Security Data Segment Index Cst / Price / Fundamental S&P Credit Ratings Xpress 9 Wharton Research Data Services
Important Components Fundamental Annual/Quarterly Data: Extracted from companies Balance Sheet, Income Statement and Cash Flow Statement E.g.: Total Assets (AT / ATQ) Total Assets 700000 600000 500000 400000 300000 200000 100000 0 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 10 Apple Microsoft Wharton Research Data Services
Important Components Security Daily/Monthly Pricing data as an alterative to CRSP E.g. Closing Price (PRCCD/PRCCM), Adjustment Factor, Shares traded, etc. Apple Cumulative Returns 600 500 400 300 200 100 0 19840103 19840828 19850425 19851220 19860819 19870415 19871210 19880808 19890405 19891129 19900727 19910325 19911118 19920716 19930312 19931105 19940706 19950302 19951026 19960624 19970219 19971015 19980615 19990210 19991007 20000605 20010131 20011003 20020603 20030129 20030925 20040524 20050120 20050916 20060516 20070112 20070911 20080508 20090105 20090901 20100430 20101227 20110823 20120420 20121218 20130816 20140415 20141210 20150810 20160407 20161201 20170801 COMP_Returns CRSP_Returns 11 Wharton Research Data Services
Important Components Index Constituents: Provides historical major index constituents (comp.idxcst_hst) E.g.: Companies that made up S&P500 Index during the subprime crisis 12 Name of Initiative
