Historical Return Database
The Historical return database has verified total returns with any adjustments necessary for capital changes such as spinoffs, distributions or mergers. Also included are the final returns of companies which were terminated in the quarter.
o Quarterly Returns:
- Beta adjusted excess returns
- Size adjusted returns
- Size adjusted raw returns
- Size effect
o Monthly returns
o 11 Month historical returns for relative strength calculations for point-in-time stocks
o BUY and HOLD returns database for Portfolio building with index substitution for disappearing stocks and a 17-quarter time horizon.
Commerce Clearing House records were used and calculations confirmed by tax expert for the capital changes and tax basis of mergers and acquisitions, spinoffs, carveouts to identify the true return to the investor.
Convertible Historical Database
This database contains all convertibles issued by U.S. corporations starting with 1986Q1. Includes Convertible Coupon Bonds, Convertible Zero-Coupon Bonds, and Convertible Preferred Stocks.
Convertible New Issue Database
This database contains all convertibles issued and currently outstanding by U.S. corporations. Includes Convertible Coupon Bonds, Convertible Zero-Coupon Bonds, and Convertible Preferred Stocks.
Identification Link Database
This is extremely valuable tool for researchers to eliminate errors of identification and missing companies arising from ticker and name changes. You can go forward or backward through time with current or historical CUSIPs and tickers. Much of the work has been done using Commerce Clearing House records to sort out takeovers and mergers where the acquiring company adopts the target's ticker and/or name, but keeps its original stock or in case of merger a new combined stock.
Variable Rank Database
The database contains ranks of all ZPR tracked variables (all quintile and some also decile ranks) back to 1986Q1.