Shortselling data – Supplemental

In the previous post I mentioned two databases that have data on Short Interest shares. The Compustat part database offered data but the search through the WRDS platform could crash because of an error. The error occurred when you selected items (at search step 3) like CIK codes, etc. This problem has now been fixed and the data can now be downloaded as per usual with all selected variables.

I have also had another look at the searches in Datastream for Short Interest data and I noticed the following: you need to be careful when select a download frequency. Usually the SID data is made available every few months or once a year. The report frequency of the data has been changing the last year. If you choose the Yearly frequency in Datastream you will not get data for every year. Only when you select the frequency Monthly do you see data appear for each year.

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