Class04

Datastream

Overview

• Another important data platform for accounting and finance research

• Useful for international research

• A product offered by Refinitiv (formerly known as Thomson Reuters)

Access

Where to find Eikon terminal

• Terminal in CASIF office

• Bloomberg trading room (LUBS Room 1.30)

How to login

1. Open Excel

2. Click REFINITIV EIKON

3. Click Sign In

4. Online means successful login

5. Click REFINITIV EIKON DATASTREAM

Company list

How to screen company list

Name	DS symbol	CUSIP	ISIN	Primary	Major	Exchange
ALPHABET INC	@GOOGL	02079K305	US02079K3059	P	Y	Nasdaq
ALPHABET INC	D:ABEA	02079K305	US02079K3059	S	Y	Frankfurt
ALPHABET INC	0RIH	02079K305	US02079K3059	S	Y	London
ALPHABET INC	@GOOG	02079K107	US02079K3059	P	N	Nasdaq

Primary = P and Major = Y will keep the firm below:

Name	DS symbol	CUSIP	ISIN	Primary	Major	Exchange
ALPHABET INC	@GOOGL	02079K305	US02079K3059	P	Y	Nasdaq

Primary

ISINID returns either P or S where P indicates that the equity record is the primary one (i.e., the domestic listing of the share or depository receipt or certificate), and where S indicates that the equity record is secondary (i.e., a foreign listing of a share or depository receipt or certificate).

Major

For companies with more than one equity Security MAJOR returns Y (yes) or N (no) to indicate which of the securities is the most significant in terms of market value and liquidity of the primary quotation of that security. Only one security per company is assigned as the major, and all quotations of that security will return a Y value. All quotations of other securities will return N. For Companies with only one equity security, all the quotations of that security will return Y.

Company list from other database

You are able to use your own list if you have firm list from some other databases (for example, you may have a list from Compustat). Acceptable identifiers include:

• CUSIP. Please remember to add leading U, e.g. U02079K305

• ISIN

• IBES ticker

Static data

• Example: company identifiers

Time series data

• Example: stock price

Stock price of Tesco

date	P	P#S
12/20/2021	287.6	287.6
12/21/2021	288.5	288.5
12/22/2021	287.55	287.55
12/23/2021	288.35	288.35
12/24/2021	287.9	287.9
12/27/2021	287.9	NA
12/28/2021	287.9	NA
12/29/2021	291.05	291.05
12/30/2021	291.25	291.25
12/31/2021	289.9	289.9

27 Dec 2021 and 28 Dec 2021 are non-trading days (holidays) in UK. The price will repeat last availabe price on holidays if you choose P to download stock price. You can use P#S to avoid this.

See also

You can read this article to get better understanding of the difference Datastream – Price variables

Data format

• Data from Datastream is not panel data format

• We need to transpose data from wide to long before we analyse the data

Let’s assume we have stock price data for two firms.

Python

• Read firm assets from Datastream

import pandas as pd
import numpy as np

url = 'https://www.dropbox.com/s/3x230qb3fkopij3/datastream_asset.xlsx?dl=1'
asset = pd.read_excel(url, sheet_name='asset')

• Transpose data

asset = pd.melt(asset, id_vars='Code', value_vars=asset.columns[1:],
    value_name='asset')
asset['isin'] = asset['variable'].str[:12]
asset = asset[['isin','Code','asset']]
asset = asset.rename(columns={'Code': 'year'})
asset.head()

	isin	year	asset
0	US0378331005	2000	6803000.0
1	US0378331005	2001	6021000.0
2	US0378331005	2002	6228000.0
3	US0378331005	2003	6755000.0
4	US0378331005	2004	7964000.0

Stata

• Read firm assets from Datastream

/* Import firm total asset */
local data_url "https://www.dropbox.com/s/3x230qb3fkopij3/datastream_asset.xlsx?dl=1"
import excel using "`data_url'", sheet("asset") first clear

/* Rename variables */
rename Code year

rename US* assetUS*

/* Convert data type */
destring, replace ignore("NA")

• Transpose data

/* Reshape wide to long */
reshape long asset, i(year) j(isin) string

/* Extract ISIN */
replace isin = substr(isin, 1, 12)