Shumway (1997) highlights that stock returns in cross-sectional portfolio analysis have to be adjusted for firm delistings.

The CRSP database maintains a monthly delisting file (msedelist) with further information on why a stock is delisted in the field DLSTCD. This field decodes a lot of several delisting reasons (see here) which are needed for an appropriate adjustment of this stocks return in the delisting month.

Is there an equivalent to CRSPs DLSTCD field on why a stock is delisted available in Thomson Reuters Datastream or any other data source?


1 Answer 1


If you have access to Thomson Reuters customer zone, log in and look for GCODE Database. There is a type for delisting, but not very granular.

If you don't have access to customer zone, see user guide, page 137: https://developers.thomsonreuters.com/sites/default/files/DSS_11_2_User_Guide.pdf


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