what is the best academic dataset for returns of European stocks? what are their identifiers? I know Factset. is there other datasets?
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1$\begingroup$ What's the difference between an academic dataset and other datasets of stocks? $\endgroup$– AKdemyCommented Dec 8 at 17:33
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1$\begingroup$ Perhaps "high quality" would be a better description than academic. Although in the US the highest quality stock price ds is in fact an academic ds. Some desirable features: unique identifiers, a long time frame, careful attention to mergers and delistings, etc. Most commercial ds emphasize coverage of the hot stocks of today rather than the accuracy of long term stock market performance. $\endgroup$– nbbo2Commented Dec 9 at 11:03
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$\begingroup$ The "DMS dataset" from Dimson Marsh Staunton at London Business Schools is available from globalfinancialdata.com $\endgroup$– nbbo2Commented 2 days ago
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My understanding if you want a very clean stock returns, it is better to calculate that from commercial data.
and this also depends on what return you want to calculate - such as price return, total return, cumulative return or log returns. Academic papers sometimes might have a different way to calculate returns to satisfy their own needs.
