Question: How do I find stock return in Datastream?
Answer: The return in Datastream is expressed as an index. The base date of the company is 100 and from there on the return evolves per day. The datatype for Return Index is RI. Usually the numbers for RI are very high.
The actual return is a percentual calculation of the differences per day of the RI. You can ask for this percentual return in Datastream as follows:
- Go to Time series request
- Enter a company or a list of companies
- Enter RI in the datatype field
- Click on the Fx button
- Search for the Percentage change, Period
- Leave X as is
- enter 1D or 1M for monthly
- Now you see this in the datatype field: RI,PCH#(X,1D)
The result now will be the index numbers of the return + the percentual change (= stock return)
You can also do this with a based return (= 100 on your start date). To do that you enter this in the datatype field
REB#(X(RI)),PCH#(X,1D)
is this the daily or yearly stock return
This depends on the frequency of your results. If you ask for it on a yearly basis, you can use 1Y in stead of 1D in the formula.
when I want to calculate Beta for a company in the stoxx europe 600 which Datatype do I have to use for the company and which on for the Index?
The code for stoxx europe 600 is DJSTOXX. When you use the L in front of it, you get the 600 companies listed on it. LDJSTOXX.
To get the monthly beta of all these stocks, you can use datatype 897E. Type this number in in the datatype field. This is the underlying formula.
REGB#(LN#(X(LI)/LAG#(X(LI),1M)),LN#(X/LAG#(X,1M)),60M)
Put frequency on monthly.
LDJSTOXX
897E
Is there a method to calculate the abnormal return? I know the formula, but it doesn’t ring a bell.
REGR#(PCH#(X(LI),1D),PCH#(X*1.0000000,1D))
What does the 1.0000000 mean? And how does this compare to the return formula of above?