Dear all,
We found two problems that were causing lots of stocks to be missing from 2000 to 2009 in Europe. The new data is now loaded in beta server. There are about 180 stocks now in Oslo Exchange in 2000. It’s not perfect but much better than 85.
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Most of the problems were due to missing RBICS classification. RBICS is a relatively new product for FactSet, so older dead stocks simply did not get classified. We used a combination of the primary SIC code and the older FactSet industry classification (a two-level classification) to find the best match to RBICS. We feel our method works decently for Sector-SubSector-Industry. The SubIndustry is not reliable before 2009.
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Some of the older European stocks had no ticker, and our logic eliminated stocks with no ticker. We are now using FactSet regional ID when the ticker is missing, (completely unrelated to what the actual ticker was). The FactSet regional ID is 6 characters followed by “-R”. You can screen for these stocks with this rule: Ticker(“-R”). There were about 1000 stocks in 2000 that had no ticker.
Below please find the before and after net result. As you can see, coverage ramps up quickly to around 6000 stocks versus less than 4000 before. From 2005 to 2009, it ramps up again to around 8500 versus 8000 before.
There are still two awkward jumps in coverage. The one in 2018 is due to FactSet since their pricing data suddenly has more stocks. Perhaps they began capturing the data or licensed data they were missing. The one in 2008 is likely when RBICS kicks in with full coverage.
Let us know. Thanks!
