Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/203194 
Year of Publication: 
2018
Series/Report no.: 
IES Working Paper No. 15/2018
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
We study the role of the choice of a fundamental database on the portfolio returns of a set of 74 fundamental anomalies. We benchmark Compustat by comparing it to Datastream in the US and find systematic differences in the raw financial statements across the databases. These differences only have a small effect on the returns of anomalies when they are constructed on stock-months existing in both databases. Different stock coverage across the databases, however, leads to large statistically and economically significant disparities in the returns. Profitability anomalies yield negative returns on the Datastream universe.
JEL: 
G11
G12
G15
Document Type: 
Working Paper

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