Compustat & missing data

When you are using Compustat to download data for a number of companies you will probably get missing data for some companies even though the variables you selected for the output are relatively common items. There are several reasons why this happens and I will discuss some of these here (for active companies).

One of the reasons may be related to the Accounting Standards that companies use for reporting their financial data and also the interpretation of the accounting rules in different countries. Some variables are simply not required and may therefore be included in reported financial statements for some years and not for others. Also, if companies switch accounting standards changes will occur in reported items. If companies use IFRS that usually means that more standard variables are reported and are comparable.

In addition to changes in companies and the way they report, it is also possible that the reason for missing data lies in the way the Compustat databases evolve/change over time. Some variables for instance are legacy variables that no longer contain data or only have data for the older years in the database. In the WRDS platform there is a file called “List of Entirely Null Variables in Compustat Datasets” in the support section at “Vendor Manuals“.
An example of a variable that (no longer) has data in the Compustat North America part database Fundamentals Annual is Audit Fees: RMUM — Auditors’ Remuneraton.

The final reason why data may be missing can be related to the type of company: Financial or Industrial. Financial sector type companies are usually active in the insurance sector, banking sector, etc. If you use screening filters in a search to limit your selection to Financial or Industrial type companies at Search Step 2 in WRDS you may not get (enough) data. This can be particularly tricky if a company files two types of financial statements and can have two records (filings) for each Fiscal Year in Compustat. One of the statements will show IND for Industrial and the other record FS for Financial to indicate what filing type it is.

An example of this type of variance is the variable “Capital Expenditure” (CAPX = This item represents the funds used for additions to property, plant, and equipment, excluding amounts arising from acquisitions (for example, fixed assets of purchased companies). This item includes property & equipment expenditures.). Industrial companies with Industrial type filings will report the variable. Financial type companies often will not. The exception is, of course, a company that files two types of statements.

N.B.: If you are unsure about missing values or if you wish to find out if the data is really not reported (or available) you could try searching for the same list of companies in a second database and download the same variable there.

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