|Financial Databases and Research|
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:
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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