Very interesting and useful. thank you
Unknown Professor:
Yes you are right as most of the journal articles i read cite their sources from Compustat and CRSP. But coming from an Australian university, I am more exposed to DataStream. Regarding about the differences between CRSP and Datastream data, I certainly would like to read about it.
Cheers mate
Benkaiser:
In corporate finance, the most common data are financial statement data (i.e from Compustat) and stock return data (from CRSP). You are correct -- these are also available on Datastream. But the CRSP and Compustat datasets show up in research papers much more commonly than does Datastream. It may be simply because more schools subscribe to CRSP & Compustat than Datastream. But there's been at least one paper that shows some differences between the CRSP and Datastream data (don't have a cite offhand, but I can dig it up if it's important).
I guess most of the time the data are stock returns and related variables such as volume. They could be obtained from DataStream as an example.
Where do you get the data for most of your studies? Do you use the same sources most of the time, or is it different depending on the study?
Commenting by HaloScan
