Dear community,
I would like to perform an event study on ESG Combined Score changes and their potential impact on stock prices in the S&P1500 for 2018-2021 and am facing a problem regarding data consistency of separate queries in Excel Datastream.
To perform the event study, my first step was to retrieve the event dates when the ESG combined score changed per company. I retrieved daily ESG combined score data for every company using the following query:
=@DSGRID('0_RIC S&P 1500'!$A$2:$A$1726;"TRESGCS";"2017-12-27";"2021-12-31";"D";"RowHeader=true;ColHeader=true;Heading=true;Code=true;DispSeriesDescription=false;YearlyTSFormat=false;QuarterlyTSFormat=false;Sym=RIC;AutoRefresh=false;Autoresize=true";"")
And I used this data to get the dates where a score changed by retrieving the days when a score is not the same as the day before by an Excel formula.
Afterwards, I tried to doublecheck the scores for the event dates from step 1 using the following query for the event date (t=0) and the day before (t=-1):
Event date (date where change is observed):
=@DSGRID($B2;"ENSCORE;CGSCORE;SOSCORE;TRESGCCS;TRESGS;TRESGCS";$AT2;"";"";"SDateCellRef=true;Sym=RIC;AutoRefresh=false";"")
Day before event date:
=@DSGRID($B2;"ENSCORE;CGSCORE;SOSCORE;TRESGCCS;TRESGS;TRESGCS";$AS2;"";"";"SDateCellRef=true;Sym=RIC;AutoRefresh=false";"")
with $B2 = RIC of respective company, $AT2 ($AS2) = respective date t=0 (t=-1)
These second and third queries (for each of the two dates t=0 and t=-1 separately) theoretically should show the same values like the first query which is unfortunately not the case for 1066 of 4452 retrieved change events in the first place.
For example:
ESGC score results of 1. query for RIC WRLD.OQ:
April 1st, 2018 = 40.79
April 2nd, 2018 = 37.71
ESGC score results of 2. and 3. query for RIC WRLD.OQ:
April 1st, 2018 = 40.79
April 2nd, 2018 = 40.79
Does anyone have a proper explanation for the data difference for the same RIC and date and could help me with these issues?
Thank you very much in advance for your help!
