Doubt about calculation of "TR.WACCBeta.value" in get_data()

iwasaki
iwasaki Explorer
in Eikon Data APIs

I have a doubt about some values that I got when I run the code below:

ek.get_data('5411.T', fields=["TR.WACCBeta.date","TR.WACCBeta.value"], parameters={'SDate':'2020-03-01', 'EDate':'2020-03-31', 'Frq':'D'})[0]

I found seemingly unreasonable abrupt change in values on 2020-03-15 and 2020-03-16:

5411.T 2020-03-14T00:00:00Z 1.732474

5411.T 2020-03-15T00:00:00Z 1.253408

5411.T 2020-03-16T00:00:00Z 1.161265

5411.T 2020-03-17T00:00:00Z 1.711114

5411.T 2020-03-18T00:00:00Z 1.742852

5411.T 2020-03-19T00:00:00Z 1.798471

I understand that this beta is calculated with the order of preference: 5Y monthly, 3Y weekly, 2Y weekly, 180D daily, 90D daily, and I suspect that it has something to do with these settings of duration and frequency. The thing is that 5411.T has long track record and I'm sure that 5Y monthly data has been always available at least recently. Could somebody look into this sudden level shift followed by come-back on the original track? Thank you!

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Best Answer

  • chavalit-jintamalit
    chavalit-jintamalit admin
    Answer ✓

    Hi @iwasaki

    First of all, I can confirm that the coding you provided is valid and it retrieves the same data on Eikon Excel.

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