New: historical index constituents of non-American indices in CompuStat Global

Great news! It’s now possible to use CompuStat Global to find historical index constituents of non-American indices, like the AEX, Bovespa or CAC40. It’s much more user friendly then using Datastream to get this information: the output looks better, it’s less work and you don’t need a computer with a Datastream connection (with a VPN-connection and a WRDS day pass to get access from home) .

In WRDS go to CompuStat Global and choose Index Constituents.

• At step 1 you have to enter the time frame
• At step 2 you have to enter the TIC or GVKEYX of the index, use the link Code Lookup to find this identifier
• At step 3: mark everything
• At step 4: choose the output format, like Excel.

The output can look like this (in the example the constituents of the Bovespa between 2000 and 2010 were requested):

CompuStat Global gives you the SEDOL- and ISIN-codes of the companies in the index. Effective From Data is the date the company was added to the index; Effective Thru Date the date the company was deleted. When you see . the company is still part of the index.

More information is available in the manual Index Constituents on our website.

FAQ: risk free interest rates

It can be difficult to find risk free interest rates. You can’t find them under that name in Datastream, so what do you have to choose?

Datastream offers an overview of the instruments they recommend for the main markets, including the Datastream code . This overview is available on the Extranet of Datastream, this is the link. When you have to login use the username and password of Datastream Navigator.

Please note: these series are recommended by Datastream, for your own research purpose you might have to choose other series.

FAQ: How can I find how a deal was paid? In cash or stocks?

When you search for M&A’s in ThomsonOne, information about the payment can be difficult to find, because you need to know the term used in ThomsonOne. This database calles this ‘Consideration’ (according to the Oxford English Dictionary one of its meanings is “Something given in payment; a reward, remuneration; a compensation, equivalent”).

If you want to use the consideration to limit your search results, go in the Item List to Deal Info > Consideration. Under Consideration sought you can for example limit the results to ‘cash only’ deals. You can also go to the Item Search and enter Consideration as a search term, then you get more options.

In your report with the details about the deals you can add these items as well. If you want to know the percentage paid in cash, stocks, other and unknown, type behind Search Criteria Percentage to get these 4 data items.

More information about searching for M&A deals: http://www.eur.nl/edsc/english/get_started/mergers_and_acquisitions/

Comparing industry codes

Most financial databases assign industry codes to companies, for example based on the Standard Industry Classification (SIC) or the Industry Classification Benchmark (ICB). This helps you find companies in a particular industry.

Orbis offers a ‘Industry Codes Conversion’ tool: you enter for example a SIC code and you can get the NAICS code for the same industry.

You can find this tool in Orbis, under the Help button. Click Tools and select the tool.

First select the industry classification you want to use and enter the code(s) used in that industry classification.

In the next step, choose the industry classification(s) you want to convert to.

The results can look like this (when you click on the picture it will enlarge):

Please note: the ICB classification is not available in this conversion tool.

Enhancements to Datastream Navigator – Options

In the new version of Datastream Navigator one Data Category has changed a lot: the category ‘Options’. From now you can find the mnemonics of the individual option contracts (call or put, with their own expiry dates and exercise prices) in Datastream Navigator. (Previously you could only see them on a computer with a Datastream connection in a small pop-up screen.)

For example:

The number of option contracts can be quite overwhelming, especially when you include dead options to the results. For example: there are 864 live call options for the S&P 500 in Datastream! 

TIP: to make sure you find the options you’re looking for, you can first search the DS Mnemonic of the underlying instrument (the index, commodity, stock etc) and enter this Mnemonic in the search field  ‘Underlying Mnemonic’ of the Advanced Search in  the Option part of Datastream Navigator.

When you want to download data for all option contracts of a certain option, it might be easier to work with lists. These can now be found in the Data Category ‘Index Constituents’. In general, each option has four lists: live call options, live put options, dead call options and dead put options.

With the DS Mnemonic of the list you can download the Static and Time Series information of the underlying option contracts in one request in Datastream.

See our updated manual for more information.

Enhancements to Datastream Navigator – Searching & Finding

Datastream Navigator has been enhanced. Important changes in searching and finding the codes you need to download data from Datastream are:

• The Explorer function that was available for some Data Categories, like Economics, is no longer available. The Explorer is now incorporated in the Search option: you’ll see a small link Explore under the search bar. The Advanced Search, where you can search with particular fields, is still available.
  
• When you use Search to find your series, you can use the column at the left side of the results (under Refine Search) to filter by include or by excluding certain search options. Click the +/- link to get this list.
  
• Interest Rates and Exchange Rates are deleted from the Economics part of the Navigator. Of course these series can still be found in the specific data categories Interest Rates and Exchange Rates.

• In some cases you’ll see a small excel icon at the right side of the grey All results bar. This allows you to quickly download the names and mnemonics of the list of series on your screen.

Rebasing indices in Datastream

Under the Function button in Datastream a lot of useful options are hidden. One of them is the option to rebase an index: you can choose the date this index is rebased to 100.

These are the steps you have to take:

• Open Time Series Request in Datastream
• Enter the code of the index or use Find Series to find the code
• Click behind Datatypes/Expressions the Fx-button
• Search for Rebase
• Use for example REB#(expression,date) and click OK

• Enter the date behind Date (in this format: dd/mm/yyyy)
• Click OK – the function is entered behind Datatypes/Expressions

• Enter your start- and enddate
• Click Submit – the data download starts