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F.A.Q.

Last modification: August 18, 2015

General information (access, content...)
How can one access EUROFIDAI databases?
Is it possible to get a trial account?
Is it possible to change the password?
Is all of EUROFIDAI’s data readily accessible via our website?
Does EUROFIDAI provide personalized services?

Technical information (extraction, EUROFIDAI code...)
How does one extract data?
What is a EUROFIDAI code?
How to get the corresponding EUROFIDAI codes from a list of ISIN codes?
Why is your EUROFIDAI code rounded?
What is the file size limit to search for codes or extract data?
How is the results file formatted?

Data information (types of data, indexes construction...)

– General questions
Where can one find the list of all available instruments for each database provided by EUROFIDAI?
How can one get the list of all available instruments for each database according to certain criteria?
How can one know the length of availability period for each instrument?
How does one get specific information about an instrument from its ISIN code or its name?
Why some ISINs (isin_code variable) takes the value "COPYRIGHT"?

– Stocks
How are bid-ask spreads calculated in NYSE Euronext daily data?
Do you also have preferred stocks and bonds or just common stocks?
What is a principal trading line? What is it for?
Is it possible to know whether a stock is eligible for SRD (Deferred Settlement Service) at Euronext Paris?
Why the start date is not the same in monthly than in daily database?

– Exchange rates
What is the inverted exchange rate?
Which pairs of currencies are in the exchange rates database?
What is the selected EUROFIDAI codes in the exchange rates database?

– Corporate events
What is the “Corporate events – overview”?
Which types of corporate events are available in the EUROFIDAI database?
I’m interested in the full coverage file for the European corporate events. Is it possible to retrieve all the variables as defined in the EUROFIDAI Corporate events database guide?

– Mutual funds
What is the data frequency for NAV?
What is the primary code for “further information” about mutual funds?
What information on mutual funds is proposed in our database (excluding variables related to prices or net asset value)?
What is the difference between the funds characteristics presented in the “Codes research” part and variables grouped under the heading “General Characteristics” (available in the “Further information” tab)?
Do you provide historical data on additional information like management fees, benchmark in the EUROFIDAI mutual funds database?

– Indices
What are “other indices”?
How is the EUROFIDAI index calculated?
What is the composition of EUROFIDAI benchmark indices?
How are general and sector EUROFIDAI indices defined?
How is sector classification defined?
How are factors and specific EUROFIDAI indices defined?
How are smallcap, midcap and bigcap portfolios defined?
How are Value, Neutral, Growth and negative book-to-market portfolios defined?
How are low, medium and high momentum portfolios defined?
How is the size factor defined?
How is the book-to-market factor defined?
How is the momentum factor defined?

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General information

How can one access EUROFIDAI databases? top

First you have to fill out the contact form, indicating your contact information, your institution and the databases you are interested in getting an access to. EUROFIDAI staff will then send you the access conditions. Contribution fees are required to get access to the data, the amount is defined depending on the number of databases and the number of years subscribed.
Also, EUROFIDAI offers researchers technical assistance, in order to shorten the time required for these steps. Experienced with the content and functioning of our own databases, we can provide an ad hoc service, tailored to specific needs.

Is it possible to get a trial account? top

A trial account for a limited duration and with a limited access to the databases can be set up on demand. With a trial account, you can consult the extraction results but the download is not permitted.

Is it possible to change the password? top

It is not possible to change the password in the website. Also it is not possible to choose your own password. In order to generate an over password please follow the “I forgot my password” process by clicking to the link below : https://www.eurofidai.org/en/logforget.html

Is all of EUROFIDAI’s data readily accessible via our website? top

Not all of EUROFIDAI's data is readily accessible via the internet. If you are looking for specific data, do not hesitate to contact us: Daily stocks and EUROFIDAI benchmark indices for the Asia/Pacific/Middle-East area, Subscription rights, Interest rates, Forward exchange rates, Securities listed in other countries (e.g. European securities listed in the USA), Valuation of mutual funds by all European suppliers, Warrants, And more

Does EUROFIDAI provide personalized services? top

In order to shorten the time required for research, EUROFIDAI offers researchers technical assistance and ad hoc service, tailored to specific needs.

Technical information

How does one extract data?  top

For stocks, mutual funds, other indices than EUROFIDAI BENCHMARK INDICES and exchange rates: you must first obtain the EUROFIDAI code associated with the wanted instrument (from the “Codes research” tab). You then use the EUROFIDAI code to extract data (from the “Data extraction” tab). Please consult the user guide for each databases to proceed.
For EUROFIDAI benchmark Indices: the extraction method for data is different than for stocks, mutual funds, other indices or exchange rates. It isn’t useful to have a EUROFIDAI code to extract data. You just have to check the box corresponding to the EUROFIDAI indices you want (refer to the “Indices extraction” tab for general and sector indices and the “Factors extraction” tab for factors and specific indices). As with stocks, the EUROFIDAI indices database distinguishes between France and other European countries.
For corporate events, data extraction is done from the issuer code and not from the EUROFIDAI code. The issuer code enables data extraction for corporate events.

What is a EUROFIDAI code? top

A EUROFIDAI code is a unique identifier associated with an instrument and a trading place that enables following the instrument during its trading history. The EUROFIDAI code is built according to a homogeneous structure for all instruments.
On the one hand, a EUROFIDAI code tracks the whole transaction history of the security, regardless of whether the security has experienced a delisting, reorganization or change of ISIN code, etc. On the other hand, it provides information on the security’s trading places, not only the principal trading place, but the secondary trading places as well.

THE CONSTRUCTION OF EUROFIDAI CODE

Whatever the instrument, the EUROFIDAI code is made up of fifteen numeric digits, the first number characterizes the instrument type (1 for stocks, 2 for mutual funds, 3 for other indices and EUROFIDAI indices and 5 for exchange rates). The last five numbers correspond to the stock exchange, the data provider, the country or the geographical area depending on the instrument type.
For stocks, other indices, EUROFIDAI indices and mutual funds, the structure of the EUROFIDAI code is identical. More precisely, the first three numbers of the code correspond to the instrument nature: 110 for a stock, 120 for a subscription right, 200 for a mutual fund, 300 for a traditional index, 301 for an equally-weighted EUROFIDAI index (general or sector), 302 for a value-weighted EUROFIDAI index (general or sector), 311 for the size factor, 312 for the book-to-market factor, 313 for the momentum factor, 321 for the smallcap portfolio, 322 for the midcap portfolio, 323 for the bigcap portfolio, 331 for the Value portfolio, 332 for the Neutral portfolio, 333 for the Growth portfolio, 334 for the negative book-to-market portfolio, 341 for the low momentum portfolio, 342 for the medium momentum portfolio and 343 for the high momentum portfolio.

General Structure of EUROFIDAI Code

The last five numbers of the EUROFIDAI code correspond: for stocks to the stock exchange, for traditional indices to the stock exchange or the provider, for EUROFIDAI indices to the country or the geographical area and for mutual funds to the stock exchange, the provider or the currency in which the net asset value is expressed.
For stocks, mutual funds and traditional indices, the seven intermediate numbers of the EUROFIDAI code correspond to a unique identifier. For EUROFIDAI indices, these seven numbers are “0000000”, except for sector indices where they represent the associated sector.
For exchange rates, the structure of the EUROFIDAI code is as follows: the first number is 5000, the next six digits represent the codes of base currency and counter currency and finally, the last five ones correspond to the exchange rate provider.

Exchange Rate: Structure of EUROFIDAI Code

How to get the corresponding EUROFIDAI codes from a list of ISIN codes?  top

On the “Codes Research” tab, enter your codes list by clicking on the “List of ISIN Codes (submit a file)" button, then click on the “Search” button.

Why is your EUROFIDAI code rounded? top

For code research or data extraction, the results file is downloaded in .csv format. However, when you open the results file in Excel, it makes assumptions about the data type based on the cell content: the default number format that Excel applies for large numbers is the scientific format. The EUROFIDAI code is a fifteen digit number. The scientific format can cause damage: the EUROFIDAI code is rounded and will become inconsistent and unusable for the purposes of data extraction. The scientific format displays a number in exponential notation. For example, a 4-decimal scientific format displays 500081433320251 as 5,0008E+14, which is 5,0008 times 10 to the 14th power.
In general, there is not an easy way to control the format Excel applies when opening a .csv file. When applying corrections to the results file you may damage the EUROFIDAI code. If you want to make corrections, you must format this code (in the Excel “number” format expressed as a whole number without decimal places).
However, every time you save and close the file, Excel applies the scientific format. Therefore, remember to correct the format code whenever you modify and close the file. It’s very important to respect this point.
This formatting operation has to be applied to all variables containing EUROFIDAI codes. The results file can have several variables containing EUROFIDAI codes. In particular, you may be confronted with this problem for stocks (permanent code for the principal trading line) and for spot exchange rates (the EUROFIDAI code of initial exchange rate and the inverted exchange rate).
This kind of problem will not occur if you open the results file in text editor (for example in Notepad, Notepad++ or Wordpad) or in another spreadsheet such as Calc (for LibreOffice or OpenOffice).

What is the file size limit to search for codes or extract data?

There is no limit in the file size to search a EUROFIDAI code or extract data.

How is the results file formatted?

The results file is a text file (more precisely, in “.csv” format). As this file is in “.csv” format, you can open it in Excel. This remark applies to all EUROFIDAI databases, except for corporate events where a detailed extraction will be in “.txt” format.

Data information

General questions

Where can one find the list of all available instruments for each database provided by EUROFIDAI?  top

You can find this list in the presentation page of the database under consideration; it gives you an overview of the database content. This file includes the list of all available instruments in our database, and specific information associated with them (name, source or stock exchange, the number of available observations and the availability period).

How can one get the list of all available instruments for each database according to certain criteria?  top

Selection of stocks depending on the stock exchange and/or sector: to get this instrument list, you must select the stock exchange and/or sector in the “Codes research” part for the French or European stocks database.
Selection of other indices depending on provider and/or index type: to get this instrument list, you must select the provider and/or the index type in the “Codes research” part for the other indices database.
Selection of mutual funds negotiated on the over-the-counter market depending on issuer domicile and/or investment type: to get this instrument list, you must select the issuer domicile and/or the investment type in the “Codes research” part for the database of mutual funds negotiated on the over the counter market.
Selection of mutual funds quoted on official markets depending on stock exchange and/or issuer domicile and/or investment type: to get this instrument list, you must select the stock exchange and/or the issuer domicile in the “Codes Research” part for the database of mutual funds quoted on official markets.
Selection of exchange rates depending on base currency and/or counter currency: to get this instrument list, you must select the base currency and/or the counter currency in the “Codes research” part for the exchange rates database. Selection of corporate events depending on issuer domicile and/or corporate events type: to get this instrument list, you must select the issuer domicile and/or the corporate events type in the “Codes research” part for the corporate events database.

How can one know the length of availability period for each instrument?  top

You should refer to the file listing all the instruments where this information is proposed. This file is available on the presentation tab of each database.

How does one get specific information about an instrument from its ISIN code or its name? top

On the “Codes Research” tab, enter the ISIN code or the instrument name, then select the information you want. Finally, click on the “Search” button.

Why some ISINs (isin_code variable) takes the value "COPYRIGHT"? top

Note that some ISIN codes are copyrighted, particularly those with the prefix “AN”, “BM”, “BS”, “CA”, “KY “US” or “VG”)

Stock

How are bid-ask spreads calculated in NYSE Euronext daily data? top

The daily bid-ask spread is computed as the time-weighted average of intraday big-ask spreads observed during a trading day. The following formula is used by NYSE Euronext to calculate the daily bid-ask spread where time is expressed in number of seconds and the number of bid-ask updates.

Equation bid ask spread Euronext

Do you also have preferred stocks and bonds or just common stocks?  top

Basically, we only provide information for common stocks. For other instruments such as preferred stocks and bonds, the data types are not ready to use for the moment but we can offer a personalized extraction.

What is a principal trading line? What is it for? top

We have classified the trading lines of a security as “principal” or “secondary”.

A security in EUROFIDAI’s stock database can have more than one trading line if it is traded on more than one markets or has temporary alternatives (e.g. secondary stocks). The principal trading line, by definition, is the most traded one in the domicile country of the issuer. Accordingly, the permanent EUROFIDAI code is a unique security identification number assigned to the principal trading line of the security.
(Stocks User guide page 19)

Is it possible to know whether a stock is eligible for SRD (Deferred Settlement Service) at Euronext Paris? top

The information about stock eligibility for SRD is not available in our online database. EUROFIDAI can provide these data upon request. The variable is available since 2000 and indicates whether the stock is eligible for SRD, for SRD long only, or whether it is not eligible for SRD. To obtain these data, please contact us using the contact form.

Why the start date is not the same in monthly than in daily database? top

In the stocks user guide on page 21 we specify that "The daily holding returns are calculated only when we have an observation for the adjusted price."
The holding returns are not calculated if the date gap between two adjusted prices exceeds 10 days.
It is possible that the data density is low early in the database, the monthly returns were only calculated once the data density became better.

Exchanges rates

What is the inverted exchange rate? top

The inverted spot exchange rate of one base currency against one counter currency is calculated by EUROFIDAI as the inverse of the spot exchange rate proposed by our data provider for which the base currency corresponds to the counter currency of the inverted exchange rate and the counter currency corresponds to the base currency of the inverted exchange rate.

Which pairs of currencies are in the exchange rates database? top

The list of currencies and currency pairs available in our exchange rates databases (spot or forward) is accessible on the Exchange rates database description guide p12. The list is also available using the codes Research tab. You can click on “List” in order to select the base currency and the counter currency.

What is the selected EUROFIDAI codes in the exchange rates database? top

This option gives a simplified result, providing one single code selected by EUROFIDAI and on single quotation (per say and per exchange rate type) instead of listing all codes and/or quotations from different contributors (suppliers or places).

Corporate events

What is the “Corporate events – overview”?  top

This category created by EUROFIDAI can be a useful tool for the user in the preliminary step of data extraction. It is a short summary of our database content: for each requested instrument, the results file presents corporate event types available for this instrument and information dates. It is useful because corporate event research is done (in the “data extraction” part) based on the issuer code and the corporate event type.

Which types of corporate events are available in the EUROFIDAI database? top

Change of name, class action, issue/change of capital structure, split/reverse split/consolidation, securities assimilation, company reorganization, and redenomination of nominal currency, debtor change, purchase/repurchase/exchange, listing/delisting/suspension, liquidation/bankruptcy, settlement proceedings, meeting/general meeting, dividend payment and other events.

I am interested in the full coverage file for the European corporate events. Is it possible to retrieve all the variables as defined in the EUROFIDAI Corporate events database guide? top

Note that corporate events contained in the EUROFIDAI European Corporate events Database are classified into 51 subclasses. The number of available variables (for example, information date, effective date, capital type etc.) depends on the subclass of the event of interest. It means that a specific variable may not be consultable for some subclasses as a variable that is informative for one subclass of events may be meaningless for another.
Here is an example of the general class "Change of Capital Structure (404)" for the Issuer Name Rallye SA. The subclasses with which the events are associated are shown in "Corporate event subclass": Rallye SA Example
Please note that when a variable has a missing value, we discard it instead of assigning a default value, for instance, "." or "NA".

Mutual fund

What is the data frequency for NAV? top

The net asset value is presented on a daily basis, if the value changes.

What is the primary code for “further information” about mutual funds? top

Mutual Fund: Structure of EUROFIDAI Code

The primary fund code corresponds to the EUROFIDAI code without the last five digits, which represent the stock exchange or the currency in which the net asset value is expressed. Indeed, a mutual fund can be traded on several stock exchanges or its net asset value can be expressed in different currencies. In this case, the fund has as many EUROFIDAI codes as stock exchanges and currencies. But, additional information associated with the fund isn’t specific to a stock exchange or a currency. Therefore, instead of a EUROFIDAI code, the primary code is proposed in the result files for “further information”.

What information on mutual funds is proposed in our database (excluding variables related to prices or net asset value)? top

EUROFIDAI provides information on mutual funds (name, nature, status, investment type, type of target investors, inception date, expiration date, expiration reason, manager name, manager address, number of observations, availability period), information on fund issuer (name, type, status, legal form, domicile, expiration date, expiration reason, original issuer name, original issuer domicile), minimum amount of subscription for the fund, country in which the fund complies with the legal requirements for being sold, actual and planified fees (management fees, performance fees, custody fees...), investment policy (type of financial assets, countries, sectors or companies in which the fund may invest according to its initial statement), fund asset allocation (type of financial assets, countries, sectors or companies in which the fund invests) and institutions related to the fund issuer (it can be for example a depositary bank, an auditor, an administrator or this institution can have the function of fund management).

What is the difference between the funds characteristics presented in the “Codes research” part and variables grouped under the heading “General Characteristics” (available in the “Further information” tab)?  top

Funds characteristics presented in the “Codes research” part are included in the “Further information” part, but with one difference: the first variables correspond to the most recent information, while the second ones are historical data

Do you provide historical data on additional information like management fees, benchmark in the EUROFIDAI mutual funds database? top

TThe EUROFIDAI mutual funds database contains additional information concerning general characteristics of funds, fund classification, related institution, management fees, minimum amount of subscription, authorized sale country, investment policy, fund asset allocation, benchmark and tax/regulation/reporting.

Indices

What are “other indices”? top

The heading “other indices" covers several types of indices: in particular, equity indices, commodity indices and economic indices. They are provided by an external source or a stock exchange, in contrast with the EUROFIDAI indices, that we build according to criteria outlined in the “EUROFIDAI indices” section

How is the EUROFIDAI index calculated? top

The EUROFIDAI index value is calculated in a standard way: with cumulative daily returns for the daily index and with cumulative holding returns on the holding period. The index value is then corrected, such that the index value at the period end is equal to 100. To do this, we apply a factor multiplying the index value at the period beginning and 100 divided by the index value at the period end.

What is the composition of EUROFIDAI benchmark indices?

What is the composition of EUROFIDAI benchmark indices? top

EUROFIDAI now computes benchmark indices including foreign stocks quoted on local stock exchanges for all the European countries.
The option is available under indices “extraction tab”.

How are general and sector EUROFIDAI indices defined? top

General and sector EUROFIDAI indices are available in the “French EUROFIDAI Indices” or the “European EUROFIDAI Indices” sections. They correspond to the weighted average of common stock returns and are calculated by country (general EUROFIDAI indices) or by country and sector (sector EUROFIDAI indices). For general and sector-based indices, we provide data with value or equal weights. The equally-weighted EUROFIDAI market portfolio weighs each common stock with the same weight. The value-weighted EUROFIDAI market portfolio weighs each common stock by its last market capitalization available at the end of the last year. To have homogeneous indices, equally-weighted and value-weighted indices are calculated from the same sample of securities.

How is sector classification defined? top

The sector classification is divided into ten sectors: Energy, Materials, Industrials, Consumer Discretionary, Consumer Staples, Health Care, Financials, Information Technology, Telecommunication Services and Utilities.

How are factors and specific EUROFIDAI indices defined? top

We distinguish two types of factors and specific EUROFIDAI indices: factors (size, book-to-market and momentum) on the one hand and, on the other, associated portfolios. For a complete and accurate definition, you can refer to the sections on factors and portfolios respectively

How are smallcap, midcap and bigcap portfolios defined? top

Every year, we compose three terciles for stocks with the last market capitalization of the last year. Three size portfolios are constructed by distinguishing between firm sizes (smallcap, midcap and bigcap). The return of each size portfolio is the value-weighted mean of stock returns.

How are Value, Neutral, Growth and negative book-to-market portfolios defined? top

Four book-to-market portfolios are formed on the book-to-market at the end of December each year. Thus, we construct four portfolios: the first one with negative book-to-market (for bankrupt firms), the second one with the lowest third of positive book-to-market (for “Growth” securities), the third one with the middle third of positive book-to-market (for “Neutral” securities) and the fourth one with the highest third of positive book-to-market (for “Value” securities). The return of each book-to-market portfolio is the value-weighted mean of stock returns.

How are low, medium and high momentum portfolios defined? top

Each month, we split the sample into three terciles according to prior 2-12 returns and build three momentum portfolios. The first momentum portfolio consists of securities with low past returns, the second of stocks with medium past returns and the third of securities with high past returns. The return of each momentum portfolio is the value-weighted mean of stock returns.

How is the size factor defined? top

The size factor (SF) is formed annually and is obtained as follows. Each year we sort firms based on the market capitalization at the end of the preceding year. From the median of market capitalizations, we divide the sample into two classes of firm size. Furthermore, each year we sort firms by the book-to-market available at the end of the current year and split the sample in three terciles. To construct the size factor, we use six value-weighted portfolios. The portfolios are the intersections of two portfolios formed on size and three portfolios formed on book-to-market. The size factor is formed in the same way as the book-to-market factor. The difference between the size factor and the book-to-market factor is from the definition of the factor return. The return of the size factor is the average return on the three small capitalization portfolios minus the average return on the three big capitalization portfolios. In other words,

SF = 1/3 (Small Value + Small Neutral + Small Growth) - 1/3 (Big Value + Big Neutral + Big Growth)

How is the book-to-market factor defined? top

The book-to-market factor (BMF) is formed annually and is obtained as follows. Each year we sort firms based on the market capitalization at the end of the preceding year. From the median of market capitalizations, we divide the sample into two classes of firm size. Furthermore, each year we sort firms by the book-to-market available at the end of the current year and split the sample in three terciles. To construct the book-to-market factor, we use six value-weighted portfolios. The portfolios are the intersections of two portfolios formed on size and three portfolios formed on book-to-market. The book-to-market factor is formed in the same way as the size factor. The difference between the size factor and the book-to-market factor lies in the definition of the factor return. The return of the book-to-market portfolio is the average return on the two Value portfolios minus the average return on the two Growth portfolios. In other words,

BMF = 1/2 (Small Value + Big Value) – 1/2 (Small Growth + Big Growth)

How is the momentum factor defined?  top

The momentum factor (MOM) is formed annually and is obtained as follows. Each year we divide the sample into two classes by firm size based on the firm’s market capitalization at the end of the preceding year. At the same time, we sort firms by the annual return of the previous year and then form three portfolios. The previous annual return breakpoints are the 33rd and 66th percentiles. To construct the momentum factor we use six value-weighted portfolios. The portfolios are the intersections of the two portfolios based on size and the three portfolios based on prior returns. The return of the momentum factor is the average return on the two highest prior returns portfolios minus the average return on the two lowest prior returns portfolios. In other words,

MOM = 1/2 (Small Size High Return + Big Size High Return) - 1/2 (Small Size Low Return + Big Size Low Return)


 

Ask a question

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