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Financial Databases and Research - Abnormal return formula for Datastream
Financial Databases and Research

Abnormal return formula for Datastream

Posted in Datastream

 

The abnormal return is a term used to describe the returns generated by a given security or portfolio over a period of time that is different from the expected rate of return. The rate of return for equities is usually estimated by analysists based on asset pricing models, using a long run historical average or multiple valuation. Abnormal returns can be caused by events like mergers or earnings announcements.

According to the Thomson Financial helpdesk the formula for downloading the abnormal return in Datastream is as follows:


REGR#(PCH#(X(LI),1D),PCH#(X*1.0000000,1D))

 

Using the Excel Datastream AFO (macro/add-inn) you can look up the equities and in the field/box for the Data Type you can copy this formula to download the abnormal return for the selected equities. In the formula X stands for one or more equities (depends on your selection).

 

 

The LI stands for the comparison Local Market Index. If you want to know which Local Market Index is used for each stock/equity, you can do a static request for these equities using the data type LI#MNEM or LI#NAME.

 

 

Investopdia definition: Abnormal Return

Wikipedia website: Abnormal Return

Background Information: On Financial Databases Blog

 

Author information: LinkedIn

 

12:51 AM - 5 August 2010


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