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I am doing a Quantitative Finance PhD and would like some insight on data collection. I'm looking for open market share repurchase data (UK) over the past 2-3 decades. Simultaneously, their bid-ask spread around the repurchase date. I understand that I can calculate liquidity using trading volume method(s) but would initially prefer bid-ask spreads.

I got in touch with a few data vendors and went low on luck. We don't have a bloomberg terminal at the university, and since they don't offer individual subscriptions, they've offered to sell data on an one-off sale. I would like to explore more options before paying for the data. Any suggestions would be helpful.

Best,

Alpha 13

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  • $\begingroup$ Have you checked out Yahoo finance? $\endgroup$ – user13524 Nov 11 '14 at 21:56
  • $\begingroup$ Hey User 13524, I've got YF as a fall back to use for liquidity measuring based on trade volume etc. But they lack specific historic bid-ask information or repurchase information. $\endgroup$ – Alpha 13 Nov 12 '14 at 20:29
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I remember reading a paper a while ago about estimating bid/ask spreads through high/low.

http://www3.nd.edu/~scorwin/papers/high-low_spreads.pdf

That might help, because free NBBO data might be hard to come by.

For repurchase data, S&P 500 buybacks are online, but you have to hunt around for the releases and compile it yourself it seems.

http://us.spindices.com/indices/equity/sp-500

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  • $\begingroup$ Many Thanks @JasonN. The study definitely makes things much easier for me. I've found that all of my data requirements are fulfilled by the SDC Platinum Database. Although I've put a request at my institution to subscribe for it, the use of the model in the said study will add statistical innovation to my research. $\endgroup$ – Alpha 13 Jan 12 '15 at 22:38
  • $\begingroup$ @Alpha13 Do you have a URL I can look for it at? I have an interest in using high/lows to estimate slippage and that is how I can about the paper. $\endgroup$ – JasonN Jan 13 '15 at 0:18
  • $\begingroup$ I'm sorry but I'm not exactly sure which URL your asking for. If it's the SDC Platinum database then here is the link to the product site thomsonreuters.com/sdc-platinum $\endgroup$ – Alpha 13 Jan 14 '15 at 0:47
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Yahoo Finance might be the best source, you have a lot of information available, Date Open High Low close Volume Adj Close*.

https://uk.finance.yahoo.com/q/hp?s=VOD.L

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  • $\begingroup$ Hey MattRZ. Thanks. I've got YF as a fall back to use for liquidity measuring based on trade volume etc. But they lack specific historic bid-ask information or repurchase information. $\endgroup$ – Alpha 13 Nov 12 '14 at 20:29
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FYI, @Alpha13, if you are still following this, Quantopian, a retail algo platform just added share buy-back data to their data catalog. I'm not affiliated with the company, but thought it might help you:

https://www.quantopian.com/posts/sneak-peek-using-a-quantopian-research-notebook-to-analyze-share-buyback-data

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