Price data in Datastream and Compustat

There are sometimes diferences when you download similar type data from databases. For example, depending on which source you choose for regular prices of stocks, the result may be different from what you might expect. In this case I am not talking about the possibility that you might get price data in different currencies in a download. Currencies, may also be a reason for surprising result but by carefully studying the database (and including currency as an item in your download) you may easily avoid falling into this trap as price series with different currencies become identifiable.

I recently downloaded prices from datastream using the default (closing) price, which is variable P. The resulting data looked as follows:

Some of the prices appear to be very high compared to others: see highlighted series. The main reason for this is that the standard default variable Price (P) is an adjusted price in Datastream! This means that stock prices are adjusted for stock splits and many other changes to make every price comparable over time. The second main reason may be the act that the Price (P) is padded. Padded means that on workdays that are bank holidays, prices are repeated from the last trading date until a new trading day/date occurs. In essence, on a workday that is not a trading day, you will still get a price.

For some research it may be necessary to use the original, unadjusted and unpadded price from Datastream. In this case you should use the price UP = Unadjusted Price. In addition to using this price you have to add something to the variable to make sure that No Padding takes place. In Datastream you should add the Hash sign and the letter S. The full variable / data type would look like: UP#S
When you now download the original unpadded data the result will look very different:

If you are using Compustat to get your prices for companies you do not need to worry about choosing a type of Price variable in the Security Daily or Security Monthly part databases. There is only one Closing Price option: PRCCD — Price – Close – Daily.
All price data (closing price or otherwise) from Compustat is unadjusted and unpadded! This means that you do not have to use a trick to get this type of price. However, should you want to adjust the price data (for stock splits etc.) you have to also download and use the adjustment factor variable. When you have downloaded these adjustment factor data too, you can start to recalculate prices yourself: Adjusted Price = (PRCCD / AJEXDI ) where AJEXDI = Cumulative Adjustment Factor (Issue) Ex-Date.

An overview of these adjustment factor variables is available in the Compustat manual “Understanding the Data” on page 91 and on (chapter 6). If you have access to Compustat through Wharton you can find the manual at:
> Support > Compustat manuals and overviews


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