This document is intended to provide background information for those who want to use Datastream data in financial research projects.
Datastream is a comprehensive on-line historical database service provided by Thomson Financial that encompasses a broad range of financial entities and instruments with global geographical coverage. For example, Datastream includes daily prices, trading volumes, and return indices, updated at the end of every trading day, for over 100,000 equities in nearly 200 countries around the world.* Datastream also includes data on bonds, options and other derivatives, mutual funds (unit trusts), market indices, exchange rates, macroeconomic variables, and corporate financial data.**
The terms of the Datastream database license maintain that the data may be used only for academic research. Commercial use and republication of the data are prohibited without permission. The following citation should be given when DATASTREAM data are used in academic research:
Source: Datastream, Thomson Financial.
Datastream data are accessible through dedicated computers in the Financial Databases Room of Baker Library, and in Computer Research Services and Baker Library Research Services. These are the only desktop computers on the HBS campus that are permitted by the vendor to have access to the Datastream data servers. The principal interface with Datastream data is through an Excel add-in, so data can be downloaded directly into Excel. The proprietary DSWindows application, available on the same PCs, also provides access to the database.
Given the comprehensive and global scope of Datastream data, it is impossible to provide a detailed list of the available data briefly and quickly. We can say that Datastream includes data series covering:
- Individual equities and equity indices, including market and industry indices
- Individual bonds and bond indices
- Interest rates, including rates on benchmark corporate and sovereign debt
- Corporate financials (company accounts), including Worldscope data items
- Currencies and exchange rates
- Macroeconomic indicators
- Commodity prices
- Derivatives, including futures, warrants, and options
- Mutual funds (investment trusts and unit trusts)
- Over 200 national and regional markets
Three caveats should be kept in mind when using Datastream.
First, because Datastream originated in the United Kingdom and covers a wide variety of national markets, terminology can be unfamiliar to us in the United State. For example, mutual fund data is found under unit trusts.
Second, coverage, both in terms of history and extent of the market, can differ significantly across countries and content. In particular, coverage of companies in the United Kingdom and Europe is generally longer and broader than that of companies in emerging markets.
Third, the academic license with Datastream limits use to only one person at a time from a particular location (Baker Library (Financial Databases Room), Baker Research Services, Computer Research Services).
Balanced against these warnings, however, is the fact that Datastream is often the only practical and reliable source for much of this type of information.
The on-line code lookup facility in Datastream provides:
- Datastream Code
The principal entity identifier in Datastream is the six-character alphanumeric Datastream Code. As a proprietary identifier, this code is unique to Datastream and is not shared with any other common financial databases. For example, the Datastream codes for IBM, Microsoft, and Abbey National are 906187, 719643, and 900489 respectively. These bear no particular relationship to the following.
- Mnemonic (Datastream Ticker)
For most equities, a so-called mnemonic code can often be used instead of the Datastream code. Often, this mnemonic is a combination of an exchange identifier and a common ticker symbol. For example, the Datastream mnemonic for IBM (U.S.) is U:IBM and the mnemonic for Microsoft is @MSFT. The "U:" prefix in the former indicates that the stock is traded primarily on the NYSE, while the "@" prefix on the latter indicates that the stock is traded primarily on NASDAQ. There are approximately fifty of these country-specific mnemonic prefixes including, for example: C: (Canada), D: (Germany), F: (France), J: (Japan), and K: (Hong Kong). As a rule, no prefix is used for stocks trading in the United Kingdom or Ireland. Thus, the mnemonic for Abbey National Bank is simply ANL.
European, rather than U.S., conventions are often used when specifying dates for Datastream downloads. That is, a daily date is represented in dd/mm/yyyy format. For example, 04/06/2003 represents June 4, 2003.
The Datastream variables GEOGC and GEOGN identify national affiliation by abbreviated code and by full name, respectively.
- Datastream Code
- Data items
- As a comprehensive financial database that covers a broad range of entities and asset types, Datastream maintains a similarly wide variety of different types of data that apply with varying degrees of generality. Price, for example, can apply to equities, bonds, options, and futures, while operating income applies only to financial accounts. It is impossible to provide a list of all.
* Because some companies have multiple issues and trade on multiple exchanges, the number of companies covered within Datastream will be less than the number of equities.
** The extent of Datastream coverage, in terms of entities, variables, and time, varies considerably, and it is difficult to know before looking whether any specific data item will be available for any particular entity for any specific time.