BitCoin exchange bankrupt

Today there was big news on one of the oldest BitCoin exchanges, Mt.Gox. A lawyer for Mt.Gox announced that this bitcoin exchange was filing for bankruptcy protection and that it had outstanding debt of about ¥6.5 billion ($63.6 million). The exchange has been in trouble since it stopped bitcoin withdrawals in February citing technical problems that potentially made fraudulent withdrawals possible.

Investing in cryptocurrencies remains ricky, but the bankruptcy of Mt.Gox in no way signifies the end of the BitCoin. More information on other exchanges can be found in an earlier post at this blog. If you want to keep up to date on the main BitCoin developments you can visit the Coindesk website.

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Publication dates of annual reports/earnings

One of the hardest variables to find, is the publication date of the annual report / annual earnings. Not many databases carry a variable listing the dates for one or more years. In the past, the database Factiva had this variable for 5 years but after the database changed this data is no longer available. The only options to get publication dates are:

  • Websites with calendars that list the publication dates of current and previous annual reports for one or more companies. Company websites often list release dates for their reports
  • Press releases from companies that announce the publication of the report. Press releases are available on websites of companies and also in commercial databases like LexisNexis and Factiva.com.

One of the few databases that carries a variable similar to the publication date is the Compustat North America database. Unfortunately the specific publication dates for annual reports are not available. The report dates for specific quarterly earnings are available, however. The reported publication date of the 4th quarter earnings may serve as an alternative for the publication date of the annual earnings result (in an annual report).
The variable “Report Date of Quarterly earnings” is only available in the part database Fundamentals Quarterly (= covers data from quarterly reports).

To get the data for a large number of companies make sure to include the following variables in the output:

  • DATACQTR – Calendar Data Year and Quarter
  • DATAFQTR – Fiscal Data Year and Quarter
  • FQTR – Fiscal Quarter
  • FYEARQ – Fiscal Year

These variables may be used to filter out the 4th fiscal quarter date (in Excel or SPSS) for each year for one or more companies. The variable that lists the necessary earnings report date is:

  • RDQ – Report Date of Quarterly Earnings

Another variable from the Compustat Fundamentals Quarterly database (in theory) might also serve as a proxy for the annual report publication date: the Final Date. This variable gives the specific date on which the data for that quarter has been definitely finalized. However, a PhD student from the Stockholm School of Economics, Peter Aleksziev, in 2015 did some investigation and came to the conclusion that the Final Date cannot serve as a publication date. By crosschecking the data with the publication dates from IBES (using the variable anndats_act) he found that only in less than 1 percent of his dataset of ±16.000 dates did the yearly date match the Final Dates and the match was also very small when looking around a 5 day interval. The Preliminary Date (PDATE) from Compustat (Segment files) much more closely matched the Annual Report end dates from IBES.

The variable Final Date is also available in the Fundamentals Annual part database (= covers data from annual reports) and there it indicates when the Annual data is finalized:

  • Fundamentals Quarterly variable: FDATEQ = Final Date
  • Fundamentals Annual variable: FDATE = Final Date.

The variable Final Date is also available in the Compustat Global Fundamentals Annual and Quarterly databases.

N.B.1: Compustat North America covers financial data on listed North American companies from (mainly) Canada and the United States of America. Compustat Global covers listed companies from other countries (worldwide, including Europe and Asia).

N.B.2: the IBES database is the Institutional Brokers Estimate System database and is available (when licensed) through platforms like Wharton/WRDS and Datastream.

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Risk-Free Rate data sources

The past few years one of the questions I get asked a lot is: what is a good source for the Risk- Free Rate of a country? The definition of Risk-Free Rate or ‘Risk-Free Rate Of Return‘ is: the theoretical rate of return of an investment with zero risk. The risk-free rate represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time (Investopedia).
As there is no risk free investment, the risk-free rate is usually considered to be the rate on government bonds (by way of a proxy) as a measure of the minimum risk you run on any investment (Wikipedia). The risk of default on payment of interest on government bonds is usually considered to be minimal or non-existent. They are also considered a measure of the financial stability of a country. Two types of government bonds are usually referred to for the benchmark interest rate:

One of the databases that can be used to download the Risk-Free Rate is the OECD.Stats Extract database (a license / subscription is required). Just type in interest rate in the search box on the website and you will get the options in the search result on the left side of the screen. See below:

Both the 3 Month rates and 10 Year Bond interest rates are available for many countries. Next to each nation the darkblue round i-button allows you to call up specific details on the source of the data for each country. The information will be presented on the right side of the screen. Using the options above the default table you can change frequencies, time period, etc. The data can be saved to Excel or as Comma Separated Text (CSV).

A second possibility to get data on the Risk-Free Rate is the IMF International Financial Statistics (IFS) database. Both short term and long term interest rate percentages can be downloaded for government bonds. In the start website you first need to select the option “Data Source” or go directly to the dataset IFS:

Next you need to take 4 steps to create a search: Country, Concept, Data Source & Time. When you get to the second search step (Concept) you can use the Quick filter search bar to search for “Interest rate“:

When you are done making a selection the result is presented as a table. The Table can be edited/changed by clicking the option (top left corner): “Back to query builder“. The result can be exported to Excel or as Comma Separated Text (CSV). The result looks as follows:

A third good database with Risk Free Rate data is Datastream. It has much data (depending on the license) on all sorts of bonds, Notes and treasury bills. The learning curve is bigger if you want to use Datastream compared to OECD.Stats and IMF IFS but it has more data. Datastream, for instance, offers the data frequency options of Weekly and Daily where the OECD and IMF sources only offer the data frequencies Annual, Quarterly and Monthly.
Identifying the right Treasury Bills and 10 Year Government bonds in Datastream is a bit more difficult: some series can be found under the Data Category “Bonds & Convertibles” but most of the 10 Year Government bonds are available under the Data Categories Interest Rates or Economics. The reason is, that the 10 Year Government bonds are considered to be key economic indicators. On the Datastream extranet a list is given of Risk free rate series for several countries but it is in no way a complete list. I suggest you determine their usefullness for yourself.
In a previous blog post you can find out more on Datastream and looking up Government Bond data.

N.B.: There are other sources that also have Risk-Free Rate data but the three mentioned above are (in my view) the best and easiest to customize or use. Some of the other databases are: World Bank Open Data, Eurostat & UN Monthly Bulletin of Statistics. See also: FinaBase blog.

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