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London Business School
London Share Price DataLSPD 1999
Reference Manual
Copyright 2000
Version 12.0
Printed 24 May 2023
For more information, contact Patricia RowhamLondon Business School, Regent's Park, London NW1 4SA
Tel: +44 (0) 20 7262 5050Email: [email protected]
1
LSPD 1999 Table of Contents
1. INTRODUCTION..................................................................................................................... 3
2. RECENT MODIFICATIONS.................................................................................................4
3. SOURCE FILE........................................................................................................................ 5
3.1 SOURCE FILE: G RECORDS (GENERAL DESCRIPTIVE)..............................................................123.2 SOURCE FILE: C RECORDS (CAPITAL CHANGES)....................................................................203.3 SOURCE FILE: D RECORDS (DIVIDENDS)................................................................................243.4 SOURCE FILE: U RECORDS (UNITS).......................................................................................263.5 SOURCE FILE: P RECORDS (PRICES).......................................................................................273.6 SOURCE FILE: S RECORDS (SHARE CAPITAL).........................................................................293.7 SOURCE FILE: N RECORDS (NAMES & SEDOL NUMBERS).....................................................30
4. MASTER INDEX FILE......................................................................................................... 32
5. RETURNS FILE.................................................................................................................... 34
6. ARCHIVE FILE.................................................................................................................... 38
7. INDICES FILE...................................................................................................................... 42
8. APPENDIX A1: SE INDUSTRY CODES (1979-1993).........................................................45
9. APPENDIX A2: FTSEA INDUSTRY CODES (1994-MAR 1999)........................................48
10. APPENDIX A3: FTSEA INDUSTRY CODES (APR 1999 -)...........................................50
11. APPENDIX B1: FTA INDICES AND INDUSTRY CODES (TO DEC 1993)..................53
12. APPENDIX B2: FTSEA INDICES AND INDUSTRY CODES (JAN 1994 -)..................55
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1. IntroductionThe London Business School Financial Database Project was set up in October 1972 with a grant from SSRC. The SSRC funding terminated in September 1978, since which date the project has been supported directly by the Institute of Finance and Accounting at London Business School.
The primary objective of the project was to establish a share price database that would be generally available for British academic research. The London Share Price Database (LSPD) is now used for both research and teaching by many academic institutions.
In addition, the database is used to provide the source data for the Risk Measurement Service. Active use of the database for both research and commercial purposes maintains a constant pressure for data accuracy and timeliness.
This document describes in detail the structure, technical specifications and data content of the LSPD for external users, with a view to helping them derive the maximum benefit from the database.
The LSPD consists predominantly of company-specific information since January 1955, with snapshot header information supplemented with regular and irregular historic observations. The header information, a snapshot as at the end of 1999, is contained in the G records from the Source file and the first line from the Returns file. There are annual regular observations of share capital (the S records from the Source file). The other regular historic observations are monthly: prices (the P records from the Source file), returns (the Returns file) and archive data such as risk measures and industry classification (the Archive file, commencing in January 1979). The irregular historic observations are from the Source file (capital changes, units, dividends and names) and from the Master Index file.
The data on indices consists of snapshot header information together with historic monthly index levels.
3
2. Recent Modifications
The new LSPD1999 Data includes an additional file (the Archive File) with a monthly time series of risk measures and other variables for all LPSD companies since January 1979.
The CD contains the 5 data files (SRCE1999, MNDX1999, RETS1999, ARCH1999 and INDX1999) as well as a Word 95 file (LSPD1999.DOC) for the manual.
I have tried to revise the manual so that it is now more file-centred. Information on each file is now grouped together and I have provided sample illustrations of the actual files and their layout using a format that gives equal space to each character.
Although most current users will have their own subroutines to access individual company data within each file, the ASCII files themselves can also be loaded in their entirety using text editors such asTextpad. FORTRAN routines to sub-divide the Source file into its component sections (all capital change records or all dividend records) are available. Current users should revise their existing routines to allow for the minor modifications in format with this year's data.
In the appendices I have tried to give historic information describing the changes in industry codes and names to suplement the current information.
Please feel free to contact me with any comments, suggestions for possible improvements (such as data delivery by ftp and additional file formats) and questions on the data.
Mike Staunton
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3. Source FileThe Source File contains the raw data for approximately 6,750 companies, supplemented by the inclusion of a small number of samples. As well as a random sample of 33% of the companies quoted on the London Stock Exchange between 1955 and 1974, and samples containing the largest companies quoted in 1955 and 1972, there is a complete history for all UK companies quoted in London since 1975, including those companies traded on the USM and AIM.
The Source File contains monthly share prices going back to 1955, and share related data such as share capital, capital changes and dividend payments. The data is collected from a number of recognised sources, including the Stock Exchange Daily Official List, the Financial Times and Extel’s EXSHARE service. Where possible, data is taken from more than one independent source to provide checks on its accuracy.
The data for each company in the Source file is stored as a block. Within each block there are seven different sections of records:
General Descriptive (G records)Capital Changes (C records)Dividends (D records)Units (U records)Prices (P records)Share Capital (S records)Names & SEDOL Numbers (N records)
There is only one General Descriptive section (containing 60 records) for each stock. In addition to general background information on the company, it contains various key items of data necessary to interpret the number of records contained in the other sections.
For example, item G6, the base year, indicates the first year for which data is available for a company. The number of years of data for the company is stored in item G5.
Unlike the General Descriptive Data section the remaining sections each contain a varying number of records, dependent on the period covered for that particular company.
There are two different structures of record for these sections:
Those sections with regular observations.
Prices Share Capital
Share Capital observations are annual and there will be a record for each observation, starting at the base year (G6) and continuing for the number of years (G5). Price observations are collected monthly and there will be a record for each month the security has been on the database.
Those sections with event-driven observations.
Capital Changes Units Dividends Names
These records are stored in chronologically sequenced lists. The number of records in each of the event-driven section is stored in items G2, G3, G4, and G53.
5
Source File Format
The data for each company is laid out as a number of records each of fixed length 54 bytes. Most records are shorter than this and the extra space is blank filled. However, the General Descriptive Data section is longer and consequently has to be split up into a number of 54 byte sections. The current file has 1,333,367 lines.
Before each company there is a marker record (starting with –1), indicating the number of each type of record following.
"Marker record"-1 2 0 4 33 1 218 19 0 3"G records" 2 4 33 11975 901501119 5 5276 1117 16 0 1100 32253 0 0 0 0 0 0 0 0 0 5 0 0 0AAAAI U A B Electronic Prods Grp 19000 19000 19000 19000 0 0 0 0 0 0 5 3 28548 0 0 0 -110 0"C records" 11182 96614 00 1 4 0 0 345 415 0 121283 333 1 00 2 1 0 0 0 0 0 290384 95014 00 1 3 0 0 400 500 0 210987 96314 00 1 5 0 0 350 451 0"D records" 70475 50675 105 56 0 75 1 1000260375 61075251175 305 164 0 75 9 1000230975 50476280576 105 56 0 76 1 1000230376 41076231176 346 187 0 76 9 1000270976 120477270577 150 77 0 77 1 1000290377 31077241177 354 182 0 77 9 1000270977 170478 80678 200 98 1 78 1 1000 0 21078291178 363 179 1 78 9 1000 0 90479 60679 250 107 1 79 1 1000 0 81079281179 450 193 1 79 9 1000 0 140480 30680 300 129 1 80 1 1000 0 290980 11280 450 193 1 80 9 1000 0 300381 20681 50 21 1 81 1 1000 0 121081231181 350 150 1 81 9 1000 0 190482280582 250 107 1 82 1 1000 0 11182131282 500 214 1 82 9 1000 0 110483 60683 300 129 1 83 1 1000 0 171083 51283 900 386 1 83 9 1000 0 90484 40684 150 64 1 84 1 1000 0 291084 31284 450 193 1 84 9 1000 0 150485 30685 200 86 1 85 1 1000 0 300985251185 600 257 1 85 9 1000 0 10486280586 200 82 1 86 1 1000 0 131086111286 800 327 1 86 9 1000 0 60487270587 200 74 1 87 1 1000 0 280987 21287 1050 388 1 87 9 1000 0 110488250588 300 100 1 88 1 1000 0 171088 51288 1200 400 1 88 9 1000 0 170489310589 400 133 1 89 1 1000 0 180989291189 1350 450 1 89 9 1000 0 90490300590 400 133 1 90 1 1000 0 240990301190 1350 450 1 90 9 1000 0 281091211191 10 3 0 91 9 1000 0"U records" 175 0 25
6
"P records" 310175 32 42 36 0 1 280275 34 44 37 0 1 270375 34 44 38 0 1 300475 30 40 35290475 1 300575 28 38 33 0 1 300675 28 38 31 0 1 310775 26 36 31300775 1 290875 26 36 33280875 1 300975 40 50 45 0 1 311075 37 47 41301075 1 281175 54 64 57271175 1 311275 52 62 57 0 1 300176 60 70 65 0 1 270276 62 72 68180276 1 310376 56 66 61 0 1 300476 55 65 61 0 1 280576 62 72 66 0 1 300676 62 72 67280676 1 300776 62 72 67290776 1 310876 55 65 57 0 1 300976 52 62 60280976 1 291076 42 52 48271076 1 301176 46 56 51251176 1 311276 48 58 55231276 1 310177 62 72 68 0 1 280277 66 76 70 0 1 310377 77 87 82300377 1 290477 87 97 91 0 1 310577 100 110 107 0 1 300677 115 125 118290677 1 290777 98 108 105280777 1 310877 125 135 129 0 1 300977 125 135 130 0 1 311077 110 120 114 0 1 301177 100 110 105 0 1 301277 108 118 111291277 1 310178 103 104 103 0 2 280278 91 92 95240278 2 310378 95 96 96300378 2 280478 90 91 88190478 2 310578 123 122 118300578 2 300678 115 115 114270678 2 310778 127 127 126 0 2 310878 125 120 127240878 2 290978 115 116 119270978 2 311078 127 129 128271078 2 301178 143 142 143 0 2 291278 160 158 158 0 2 310179 155 152 154 0 2 280279 170 177 174 0 2 300379 210 206 210 0 2 300479 238 236 236 0 2 310579 205 206 206300579 2 290679 189 186 190280679 2 310779 187 184 193270779 3 310879 200 200 199230879 2 280979 195 194 194 0 2 311079 155 152 153301079 2 301179 155 154 158271179 2
7
311279 137 134 137181279 2 310180 157 154 152240180 2 290280 163 159 162270280 2 310380 140 138 142260380 2 300480 157 158 156290480 2 300580 150 148 153230580 2 300680 165 163 166270680 2 310780 187 186 188300780 2 290880 185 185 192280880 2 300980 173 170 172 0 2 311080 195 194 200291080 2 281180 170 174 170271180 2 311280 120 124 110231280 2 300181 110 105 102280181 2 270281 108 102 97250281 2 310381 110 118 117300381 2 300481 100 104 100 0 2 290581 100 102 102 0 2 300681 114 120 117 0 2 310781 144 148 147300781 2 280881 135 136 134260881 2 300981 107 92 98 0 2 301081 102 104 102291081 2 301181 122 123 118 0 2 311281 118 121 117231281 2 290182 130 133 130 0 2 260282 126 120 118 0 2 310382 140 138 133 0 2 300482 165 168 162 0 2 280582 168 170 168 0 2 300682 200 198 198 0 2 300782 255 255 256 0 2 310882 253 253 250 0 2 300982 350 370 361 0 2 291082 415 425 419 0 2 301182 500 500 475 0 2 311282 480 480 480 0 3 310183 555 558 550 0 2 280283 585 575 585 0 2 310383 670 672 668 0 2 290483 675 680 670 0 2 310583 775 768 765 0 2 300683 805 808 805 0 2 290783 837 838 830 0 2 310883 840 833 835 0 2 300983 820 833 822 0 2 311083 750 750 750 0 2 301183 825 840 838 0 2 301283 390 390 385 0 3 310184 422 422 422 0 2 290284 470 470 470200284 2 300384 500 505 510 0 2 300484 510 510 508 0 2 310584 445 438 450 0 2 290684 445 445 442 0 2 310784 415 415 415 0 2 310884 500 505 500 0 2 280984 520 517 510 0 2 311084 470 471 470 0 2 301184 520 512 515 0 2
8
311284 535 537 533 0 2 310185 475 474 475 0 2 280285 415 415 417 0 2 290385 445 440 435 0 2 300485 428 428 428290485 2 310585 395 388 385 0 2 280685 285 285 280 0 2 310785 265 268 268 0 2 300885 288 288 286 0 2 300985 255 255 260 0 2 311085 235 225 245 0 2 291185 205 208 193 0 2 311285 185 180 192 0 2 310186 240 243 244 0 2 280286 317 315 315 0 2 270386 270 275 268 0 2 300486 330 323 323 0 2 300586 338 338 337 0 2 300686 395 385 392 0 2 310786 350 348 353 0 2 290886 323 325 320 0 2 300986 335 335 330 0 2 311086 298 298 295 0 2 281186 331 330 328 0 2 311286 334 334 334 0 2 300187 380 380 382 0 2 270287 405 406 402 0 2 310387 430 423 427 0 2 300487 360 360 353 0 2 290587 383 383 380 0 2 300687 375 375 377 0 2 310787 407 407 403 0 2 280887 404 403 396 0 2 300987 481 481 475 0 2 301087 349 349 342 0 2 301187 285 285 280 0 2 311287 363 360 357 0 2 290188 354 354 355 0 2 290288 369 369 360 0 2 310388 405 405 408 0 2 290488 418 418 410 0 2 310588 413 413 410 0 2 300688 420 420 413 0 2 290788 443 443 438 0 4042 310888 406 406 405 0 2 300988 465 465 462 0 3 311088 464 464 460 0 3042 301188 431 431 425 0 2 301288 368 368 361 0 2 310189 429 429 425 0 2 280289 429 434 432 0 1002 310389 444 444 437 0 2 280489 408 408 403 0 3032 310589 382 382 380 0 2 300689 373 373 370 0 2 310789 384 384 377 0 2 310889 395 395 392 0 6062 290989 385 385 380 0 2 311089 305 305 290 0 2 301189 274 274 273 0 2
9
291289 278 278 284 0 1012 310190 281 281 278 0 2 280290 286 286 280 0 5052 300390 265 265 260 0 1012 300490 246 246 242 0 3032 310590 251 251 247300590 2 290690 264 264 260 0 2 310790 262 262 257300790 2 310890 204 204 204 0 3032 280990 160 160 165 0 2022 311090 126 126 130 0 6062 301190 95 95 92 0 2 311290 93 93 96 0 3032 310191 92 92 90 0 3032 280291 116 116 112 0 2 280391 139 139 135 0 2 300491 151 151 149 0 1012 310591 139 139 142 0 14142 280691 133 133 134 0 3032 310791 113 113 110300791 2 300891 99 99 99 0 2022 300991 101 101 100 0 2 311091 94 94 97 0 1012 291191 89 89 85281191 2022 311291 76 76 71 0 2 310192 71 71 68300192 16162 280292 69 69 70 0 3032 310392 59 59 58 0 2 300492 79 79 80 0 1012 290592 92 92 90 0 2 300692 77 77 77 0 5052 310792 70 70 71 0 2022 280892 59 59 60 0 2 300992 57 57 55 0 6062 301092 56 56 54 0 2 301192 56 56 54 0 11112 311292 60 60 62 0 1012 290193 66 66 64 0 10102 260293 66 66 64 0 32322"S records" 1975 3327 1976 3327 1977 3320 1978 3320 1979 3460 1980 3800 1981 3830 1982 3880 1983 4860 1984 14640 1985 19530 1986 20200 1987 20346 1988 20976 1989 25143 1990 25376 1991 28548 1992 28548 1993 28548"N records"
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1651267 1073252 0 1 1100A.B. METAL PRODUCTS12671277 110032 1 107 1 1100A.B. Electronic Compnts1277 393 110032 1 1100 5871176A B Electronic Prods Grp
SUBROUTINE GETCOM(STR,COMP, DESC, CAP, DIV, U, PRI, SHCP, EPS, NAM, * NDESC, NCAP, NDIV, NU, NPRI, NSHCP, NEPS, NNAM,*)C*************************************************************C ROUTINE TO READ IN A COMPANY RECORD
C STR = TAPE INPUT STREAMC COMP = COMPANY REFERENCE NUMBERC DESC = ARRAY FOR DESCRIPTIVE DATAC CAP = ARRAY FOR CAPITAL CHANGESC DIV = ARRAY FOR DIVIDENDSC U = ARRAY FOR UNITSC PRI = ARRAY FOR PRICESC SHCP = ARRAY FOR SHARE CAPITALC EPS = EARNINGS PER SHAREC NAM = ARRAY FOR NAMESC NDESC= NUMBER OF DESCRIPTIVE RECORDSC NCAP = NUMBER OF CAPITAL CHANGE RECORDSC NDIV = NUMBER OF DIVIDENDS RECORDSC NU = NUMBER OF UNITS RECORDSC NPRI = NUMBER OF PRICES RECORDSC NSHCP= NUMBER OF SHARE CAPITAL RECORDSC NNAM = NUMBER OF NAMES RECORDSC * = END OF FILEC*********************************************************
IMPLICIT INTEGER(A-Y) DIMENSION DESC(60),CAP(12,50),DIV(9,200),U(3,50),PRI(6,600), * SHCP(2,50),EPS(4,50),NAM(16,40) DATA FIRST/0/,SEQ/0/
C READ IN NO OF RECORDS READ (STR,1000,END=70)MIN,COMP,NDESC,NCAP,NDIV,NU,NPRI,NSHCP,NEPS, * NNAM WRITE (6,1002) MIN,COMP,NDESC,NCAP,NDIV,NU,NPRI,NSHCP,NEPS,NNAM IF(MIN.NE.-1) GOTO 80
C DESCRIPTIVE DATA READ (STR,1005)(DESC(J),J=1,60)C CAPITAL CHANGES IF(NCAP.GT.0)READ(STR,1006)((CAP(I,J),I=1,12),J=1,NCAP)C DIVIDENDS IF(NDIV.GT.0)READ(STR,1007)((DIV(I,J),I=1,9),J=1,NDIVC UNITS IF(NU.GT.0)READ(STR,1008)((U(I,J),I=1,3),J=1,NU)C PRICES IF(NPRI.GT.0)READ(STR,1009)((PRI(I,J),I=1,6),J=1,NPRI)C SHARE CAPITAL IF(NSHCP.GT.0)READ(STR,1010)((SHCP(I,J),I=1,2),J=1,NSHCP)C NAME AND SEDOL NUMBER RECORDS DO 60 J=1,NNAM IF(NNAM.GT.0)READ(STR,1012)(NAM(I,J),I=1,16) 60 CONTINUE SEQ = SEQ+1 RETURN 70 CONTINUE RETURN 1 80 WRITE(6,1013)SEQ STOP
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1000 FORMAT (I2,I5,8I4)1002 FORMAT (I3,I5,8I4)1005 FORMAT (I5,3I3,2I2,2(I4,I2),2I5,I7,I6/,I8, F 3I3,6I4,I8/,I8,I3,2I6,I2,2A4,6A4/, F 3A4,4I9,5I2/3I2,5I8,2I2)1006 FORMAT (2I6,2I2,I1,I6,6I5)1007 FORMAT (4I6,3I3,I5,I6)1008 FORMAT (I6,I2,I6)1009 FORMAT (6I6)1010 FORMAT (I2,I8)1011 FORMAT (I2,3I5)1012 FORMAT (2I4,I6,I2,2(I2,I6)/,8A4)1013 FORMAT (//,1X,'*** DATA CORRUPTED AFTER READING',I5,'COMPANY', F ' RECORDS -- RUN ABANDONED ***'///) END
Note that since the C6 record is skipped in the source data file, the above 1006 format statement will read in records C1-C5, then records C7-C12 followed by a blank field.
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3.1 Source File: G records (General Descriptive)G1 Company Number
A unique identification number, allocated by us in a sequence from 1, for all British registered companies quoted on the London Stock Exchange since 1955. This number was allocated to overcome the problem of changing (and sometimes re-used) SEDOL numbers.
The companies are stored in ascending sequence of company numbers although this sequence has no particular properties e.g. alphabetic or industrial groupings.
G2 Number of Capital Changes
Number of records (type-2) in the Capital Changes section.
G3 Number of Dividends
Number of records (type-3) in the Dividends section.
G4 Number of Units
Number of records (type-4) in the Units section.
G5 Number of Years for Prices, Share Capital, Earnings
Number of records in the Prices, Share Capital and Earnings sections i.e. the number of calendar years for which this data is recorded. There may be some missing data during this period due to suspensions.
G6 First Year of Data
First calendar year for which data is recorded.
Format YY e.g. 1955 = 55 1985 = 85
G7 Date First Entered Database
The month number when the company’s ordinary share was first included in the database, where January 1900=1.
e.g. March 1980 = 963
G8 Type of Birth
This information is regularly collected from Extel cards or the Capital Gains Tax Book (C.G.T. book). An indication of the reason why the security first came into the database and/or was first quoted in SEDOL, where:
50 Company came into the database on the entry of a new sample51 New company eligible for entry to the database52 Data collected prior to company entering database53 Placing54 Offer for sale/Offer to public55 Tender
13
56 Subscription57 Re-introduction/Restoration of listing58 Merger/Securities issued in Acquisition59 Issue of new securities by way of scrip or rights issue to existing shareholders60 Introduction to Stock Exchange/Introduction of shares/Issue to public61 London quotation granted. Previously listed on Provincial Stock Exchange62 Conversion (Ord converted in Dfd, Ord redesignated “B” Ord, Ord converted into
different shares…)63 Private placing64 Demerger65 IPO Spinoff69 Type of birth not known either because no date was recorded in the Extel cards or
C.G.T. book, or because the actual birth date was long before we started collecting data70 Management Buy-out71 Placing combined with an open offer to shareholders72 Placing combined with an intermediaries offer73 Placing combined with offer to public74 Issued under scheme/proposal to common holders or ordinary holders75 Spinoff from another company76 Exchange offer (usually Investment Trust company)77 Issued against split of units78 Issued in acquisition79 Acquisition combined with placing80 Issued in capital reorganisation81 Exchange offer combined with offer for sale82 Placing combined with rollover from another trust83 Rollover combined with other offer84 Scrip issue combined with placing and other offer85 Placing combined with other offer and rollover86 Demutualisation combined with other offer87 Placing combined with rights issue or open offer
G9 Date Last Quoted
The month number when the security was last quoted in SEDOL, where January 1900 = 1.e.g. December 1984 = 1020
If the security is currently quoted at the end of the period covered by the database then the month number = 2000.
IMPORTANT see also G12
G10 Type of Death
An indication of the reason why the security ceased to be quoted in the SEDOL.
5 Acquisition/takeover/merger6 Suspension/cancellation with shares acquired later. Meanwhile, may be traded under
rule 163(2)7 Liquidation (usually valueless, but there may be liquidation payments)8 Quotation cancelled (maybe suspended initially) as company becomes a private
company, or there is insufficient trading in the shares. Dealings continue under rule
14
163(2) or (3)9 As for 8, but no dealings under rule 16310 Quotation suspended – if suspended for more than three years, this may lead to
automatic cancellation11 Voluntary liquidation, where value remains and was / is being distributed12 Changed to foreign registration13 Quotation cancelled for reason unknown. Dealings continue under rule 163(2) or (3)14 As for 13, but no dealings under rule 16315 Converted into an alternative security for the same company16 Receiver appointed/liquidation. Probably valueless, but not yet certain17 Unitisation of an investment or financial trust18 Nationalisation19 Enfranchisement20 In Administration/Administrative receivership21 Cancelled and assumed valueless
G11 Acquiring Company Number
If item G10 (type of death) is set to 5 or 6 then the company number (see G1) of the acquiring company is given. If the acquiring company is not currently included in the database as a live company, then this number will be negative.
There are two special cases:
–1 indicates that the company was taken over by a foreign company or a company not in the database, eg by a private company or a management buyout.
–2 indicates that the company has been nationalised.
G12 Death Event Date
The month number, where January 1900 = 1, in which the death event indicated by G10 occurred.
In the case of an acquisition (G10 = 5), this date may be significantly before the date last quoted (G9), if a sufficient number of shares remained unacquired for there still to be a market for them.
In the case of a liquidation (G10 = 7), this date may be much later than the date last quoted, as a company’s listing may be suspended for a considerable time before the company goes into liquidation. In the case of a suspension (G10 = 10), this date will be the month number when the security was last quoted in SEDOL. Item G9 will remain set to 2000, to indicate that although the security is not currently quoted in SEDOL, it is still a live company.
G13 Sample and Index Constituent Indicators
An indication of whether this company is a member of one of the seven historic samples or is an index constituent at the date of the file (eg end 1999). This is a binary field where:
1 (Bit 1) Sample (random) consisting of 33% of companies quoted in January 1955 together with 33% of companies granted quotations in each successive year
2 (Bit 2) Sample of 500 largest companies in 19554 (Bit 3) Sample of 200 largest companies in 1972
15
8 (Bit 4) FTSE-250 Index Companies16 (Bit 5) Sample of all companies quoted on or after 197532 (Bit 6) Sample of 1000 largest companies in 197664 (Bit 7) Sample of quoted companies from “Times Top 1000” 1976128 (Bit 8) FTSE All Share Index Company(see also G18)256 (Bit 9) Secondary shares of existing companies from January 1978512 (Bit 10) Irish, Scottish and odd companies quoted in SEDOL from Jan 19781024 (Bit 11) FTO 30 Index Companies2048 (Bit 12) Odd foreign mining and banking shares4096 (Bit 13) Unlisted Securities Market (USM)8192 (Bit 14) FTSE 100 Index Companies16384 (Bit 15) Third market companies32768 (Bit 16) O.T.C. companies65536 (Bit 17) Split Trusts131072 (Bit 18) Sample of Brewery Industry from 1955-1974262144 (Bit 19) Hoare Govett Smaller Companies Index524288 (Bit 20) FTSE-Fledgling1048576 (Bit 21) Alternative Investment Market2097152 (Bit 22) OFEX
Note: A company may be in more than one sample or index, e.g. a company in the Random sample and an FTSE All Share Index constituent would have a value of 129.
To test if a company is a FTSE All Share constituent, the following FORTRAN statement may be used:IF (MOD(G13/128,2).EQ.1)
The equivalent test in Excel would be = IF (MOD(INT(G13/128),2)=1,1,0)
G14 Internal use only
G15 Latest SEDOL Number
The current or last SEDOL number of the company as at the date of the file where the final digit is a check digit (for recent data). If a SEDOL number is reused, then the SEDOL number for the “dead” company will be negative.
The key to the check digit is 31739 modulo 10.
e.g. 286509 = > 2*3+8*1+6*7+5*3+0*9 = > 71 modulo 10 = > 10-1 = > 9.
G16 SEDOL Group
The SEDOL group for current companies will be one of the following:
0 Information not available32 Commercial and Industrial37 Investment Trust95 Alternative Investment Market
The SEDOL group for non-current companies will be one of the following:
0 Information not available
16
29 Banks30 Breweries31 Building Societies32 Commercial & Industrial33 Electric & Power34 Financial Trust35 Gas36 Insurance37 Investment Trust38 Unit Trust39 Iron, Coal & Steel40 Mines – Australian41 Mines – Miscellaneous42 Mines – Rhodesian & East African43 Mines – South African44 Mines – West African45 Mines – Diamond46 Nitrate47 Oil48 Property49 Plantations50 Railways51 Railways52 Telegraphs53 Tramways54 Shipping57 Utilities58 Water Works97 Third Market98 Unlisted Securities Market99 Other unlisted securities. This classification was created by the Stock Exchange
for brokers wishing to deal in this type of securities under rule 535. The securities are not quoted, and the price figuring in the left column represents the brokers dealings. Because the dealings are occasional, companies are not obliged to report any changes (i.e. capital changes)
G17 Stock Exchange Industrial Classification
The current or last industrial classification as previously recorded in SEDOL and in the back of the Stock Exchange Year Book.
This classification has only been officially available since 1970. Prior to this date, all companies have been classified accordingly by ourselves.
A list of the industry codes is given in Appendix A1 (for 1979 to 1993), Appendix A2 (for Jan 1994 to Mar 1999) and Appendix A3 (from Apr 1999). Prior to 1994, the Stock Exchange industrial classification system differed from the Financial Times Actuaries index classification system. Since 1994, the two systems have been unified.
G18 Financial Times Actuaries Index Marker
17
An additional marker for all companies included in the FTA (subsequently FTSEA) Classified Indices. Negative number means company also included in FT30 index.
1 or -1 FTSE 100 Constituent2 or -2 FTSE 250 Constituent3 FTSE Small Cap Constituent
G19 Not used
G20 Extel reference number
G21 – G24 Not used
G25 Internal use only
G26 Primary/Secondary Share Pointer
Where a company has more than one ordinary share, this pointer will give the COMPANY number of the corresponding other share.
G27 Internal use only
G28 Birth Date
When the type of birth is available (G8) the birth date (format DDMMYY) gives the first date the security was offered for sale or for tender, introduced to the Stock Exchange, placed, issued, acquired in the case of a merger, or first quoted.
G29 Issue Price
When the type of birth (G8) and the birth date (G28) are available, the issue price quotes the first price at which the security was offered, when available.
G30 Not used.
G31 - G32 S E Company Issuer Code
A unique code allocated to each company, based on codes used by the Stock Exchange containing six alphabetic characters. A seventh character has been added to all codes to provide a check sum against input errors. This code can be used to sort companies by alphabetical order.
The Issuer Code may be used as a cross-reference to Extel’s EXSTAT and MicroEXSTAT company accounts databases, which use these codes as the key identifiers for individual companies.
G33 - G41 Company Name
Current or last company name (up to 36 characters).
G42 - G45 Internal use only
G46 – G.51 Internal use only
18
G52 Maximum Number of Name Records
Maximum numbers of slots for name records.
G53 Actual Number of Name Records
Actual number of name records for this company.
G54 Current Number of Shares
Number of shares in snapshot month (live companies only) in thousands.
G55 Current Net Dividend
Forecast Net dividend yield in snapshot month (live companies only) as per EXSHARE forecast rules. It is held in the form of a percentage multiplied by 100.
G56 Current Earnings
Net (actual) earnings in snapshot month (live companies only). It is held in the form of pence per share multiplied by 100.
G57 Current Normal Market Size
Normal market size in snapshot month (live companies only). It is held as the value divided by 100.
G58 Not used.
G59 Current Status Marker
Status marker in snapshot month (live companies only). Held as SEAQ Class*10 + Trustree Status
Where: Trustee status marker = 1 for narrow, = 2 for wide definition.
SEAQ Class:
1 Alpha2 Beta3 Gamma4 Delta
Note: SEAQ Class started January 1987, finished September 1991. All current companies are now Alpha.
G60 Not used
19
3.2 Source File: C records (Capital Changes)C1 Ex Date
Date (DDMMYY) when the share went “ex” for a scrip or rights issue.
Note: Due to the structure of the database it is not possible to store two capital changes on the same date. Consequently, where this occurs one of the changes is recorded on the following day. As an indication of this 50 is added to the value of item C3: eg. where the type of capital change = 1, then C3 = 51.
C2 Adjustment Factor
Factor by which old share prices must be adjusted to allow for capital changes. Format = true factor * 1000.
e.g. A scrip issue of 1 for 2.Adjustment factor = .667 * 1000 = 667.
If the factor = 0, then the adjustment factor has not been calculated.
These factors are not recorded cumulatively. To calculate adjusted price series they must be multiplied together.
If there are two capital changes on the same day then the factors should be multiplied together.
Note: In calculating the adjustment factor the fundamental principle is that the value of the company after the capital change is the same as that before. Whenever the ordinary shareholder is given something other than ordinary shares the problem is rather more complex. There are two stages to working out the factor. Firstly, the value of “the something” must be found and secondly, this value must be exchanged back into ordinary shares. At least two prices are necessary, the ex-price of “the something” and the cum-price of the ordinary share.
C3 Type of Capital Change
Indication of the type of capital change, where:
1 Scrip issue2 Scrip issue in another share (see C4)3 Scrip issue then consolidation4 Consolidation then scrip issue5 Scrip issue then subdivision6 Subdivision then scrip issue7 Scrip issue in another ord. (see C4) then consolidation8 Scrip issue in another ord. (see C4) then subdivision9 Complex scrip issue10 Consolidation11 Subdivision12 Capital repayment13 Cancel part of nominal value14 Rights issue
20
15 Complex rights issue16 Rights issue in another share (see C4)17 Multiple rights issue18 Spare19 Spinoff (rights in another company)20 Spinoff (rights in foreign company)21 Demerger22 Redenomination of par value into Euro>50 Indicates the capital change occurred on the previous day and the type of capital
change = item C3-50
Extra data (though patchy) may be available for each type of capital change in the following data items:
1 C7 + C82 C4 + C7 + C8 + C9 + C103 C7 + C8 + C9 + C10 + C11 + C124 C7 + C8 + C9 + C10 + C11 + C125 C7 + C8 + C9 + C10 + C11 + C126 C7 + C8 + C9 + C10 + C11 + C127 C4 + C7 + C8 + C9 + C10 + C11 + C128 C4 + C7 + C8 + C9 + C10 + C11 + C1210 C9 + C1011 C9 + C1012 C9 + C10 + C11 + C1213 C9 + C1014 C11 + C1215 C4 + C7 + C8 + C10 + C11 + C1216 C4 + C7 + C8 + C10 + C11 + C1217 C7 + C8 + C10 + C11 + C1219 C7 + C8 + C10 + C11 + C1220 C7 + C8 + C10 + C11 + C1221 C7 + C8 + C10 + C11 + C1222 C7 + C8 + C10 + C11 + C12
C4 Share Type
Other type of share involved in a capital change where C3 = 2, 7, 8, 15 or 16:
1-10 same as for par values (see U2)11 convertible loan stock12 Debenture13 loan stock14 capital loan stock15 income shares16 convertible debenture stock17 convertible unsecured loan stock18 partly convertible loan stock19 preference share20 preferred income shares21 capital stock22 convertible preference
21
23 capital shares24 redeemable preference
C5 Status flag
0 Renouncible1 non renouncible
C6 Price after capital change (record skipped in file)
C7 Variable – 1 New Shares/Amount
Dependent on the type of capital change (C3).
NEW SHARES Number of new shares issued by way of script or rights issue in relation to a specified holding of existing shares (see C8).
AMOUNT Value in £ of shares offered in complex rights issue.
C8 Variable – 2 Old Share
OLD SHARES Number of old shares needed to qualify for new shares issued (C7).
e.g. scrip issue 1 for 2, old shares = 2, new shares = 1
C9 Variable – 3 Old Par Value/Ex Price Ord
Dependent on type of capital change (C3).
OLD PAR VALUE Par (nominal) value of the share, before the capital change, in new pence.
EX-PRICE Ex-price of ordinary share involved in capital changes.
C10 Variable – 4 New Par Value/Premium/Ex-price Other
Dependent on type of capital change (C3).
NEW PAR VALUE Par (nominal) value of the share, after capital change, in new pence.
PREMIUM Premium offered on new shares in complex rights issue, recorded in tenths of a pence/£ unit.
e.g. 7.5p on a £1 unit = 75.
EX-PRICE OTHER Ex-price of the other share involved in the issue.
C11 Variable – 5 Par Value New Shares/Issue Price/Cap.Rep/Am’t Canc
Dependent on capital change type (C3).
P V NEW SHARES Par value of new shares issued (see C7)
22
ISSUE PRICE Issue price of new shares in a rights issue
CAP REP Amount of capital repayment in new pence
AM’T CANC Amount cancelled in new pence
C12 Variable – 6 Par Value Old Shares/Cum Price
Dependent on capital change type (C3).
P V OLD SHARES Par value of old shares held (see C8)
CUM PRICE Cum price of share in new pence on the day before the ex date of a rights issue
C13 Unused
C14 Unused
23
3.3 Source File: D records (Dividends)D1 Ex Dividend Date
Date (DDMMYY or MMYY) when share went "XD".
D2 Pay Date
Date (DDMMYY or MMYY) dividend paid.
D3 Net Dividend
Net Dividend per share in hundredths of a pence.
D4 Tax Credit
Tax credit per share in hundredths of a pence or, 0 if the dividend is not liable for tax.
Thus, the gross dividend is the sum of items D3 and D4.
D5 Special Marker
Marker to indicate the status of the dividend, where:
0 Gross dividend (pre 1978)1 Net of tax2 Subject to tax3 Cash or scrip option4 Non standard period5 Payment on account of next year6 For the year7 For the quarter8 Special date9 Tricky10 Tax free11 Paid in 2 parts12 Cash or scrip option + non standard period13 Dividend restriction + non standard period14 Payment on account of next year + non standard period15 Dividend rights waived or part of dividend waived16 Government freeze of dividend restriction17 Net + non standard period18 Payment on account of next year + nett19 Net + cash or scrip option20 Net + government freeze or restriction21 Combined
D6 Year of Dividend
Financial year on which dividend is paid, format YYY e.g. 1975 = 75 and 2000 = 100.
D7 Type of Dividend
24
Marker (NN) to indicate the type of dividend, where possible single values of N are:
1 First (or quarterly) interim2 Second interim3 Third interim4 Fourth interim5 Bonus6 Special distribution7 Capital distribution8 Special interim9 Final10 Liquidation distribution11 Capital repayment 12 B share in lieu of interim dividend13 B share in lieu of final dividend
Note that some digits can be combined e.g. NN = 95 = Final and Bonus
D8 Conversion Rate
Conversion rate for non-sterling dividends. A dividend paid in a foreign currency will be converted at this rate and recorded in sterling.
D9 Announcement Date
Date (DDMMYY or MMYY) that this dividend was announced (or declared). The date will be set to zero if the information is not available.
From April 1965 to 1977 this date is the declaration date shown in Moodies (now Stubbs) Taxation Service. Recent dates are these as reported by EXSHARE.
D10 Unused
D11 Unused
25
3.4 Source File: U records (Units)U1 Date of Change
Date (DDMMYY or MMYY) that the share changed to this par value. If MMYY format then the new par value is first found at the end of the specified month.
U2 Type of Share
Type of share, where:
0 Ordinary1 "A" ordinary2 "B" ordinary3 "C" ordinary4 Deferred ordinary5 Preferred ordinary6 Ordinary non-voting7 "A" ordinary non-voting8 "B" ordinary non-voting9 "C" ordinary non-voting10 "A" ordinary restricted voting
Note: These data is not currently collected.
U3 New Par Value
Par value of the share in new pence.
Note: If there is a change in the type of share but not the nominal value, then a new par value record will record the new share type with the unchanged par value.
26
3.5 Source File: P records (Prices)P1 End of Month Date
Date (DDMMYY) of the last trading day in the month. This is the day on which prices are recorded for each month.
P2 Low Quote/Mid-SEDOL Price
Pre-1978 The price in new pence indicating the low end of the official quoted range is given in SEDOL. No quote given if share is suspended. This price is also used in the calculation of market capitalisation.
Post-1978 The price represents a mid-SEDOL quote.
P3 High Quote/Closing Prices
Pre-1978 The price in new pence indicating the high end of the official quoted range as given in SEDOL. No quote given if share is suspended.
1978-6/81 The price is the closing jobbers' price as given in the Financial Times, or 0 if not given in the FT.
7/81-now The price is the closing price taken from EPIC (Exchange Price Information Computer, set up by Extel and the Stock Exchange), or 0 if not available from EPIC.
P4 Transaction Price
The price in new pence representing the last marked price in the month.
In March 1981, when the format of the SEDOL was altered, the sequence of marked prices ceased to be given in chronological order. Since that time a price has been selected at random from all the marked prices, without any special markers, given for the last trading day of the month.
If no price meets these criteria then the price after 2.15 the previous day is taken or, failing this a price at some earlier date. Wherever possible prices with special markers are avoided.
In October 86, the format of the SEDOL was altered back to a chronological order. Since then, we have been taking the last price of the day, avoiding special markers if possible.
P5 Transaction Date
Date (DDMMYY) of the transaction if not traded on the last day of the month.
The date will be set to 0 if the security was traded on the last day of the month.
P6 Price Marker
This is a 5 digit marker where:
Digits 1-2 Indicate age of P2:
0 Price from last day of month
27
1-31 Price is 1-31 days old32 Price is over one month old
Digits 3-4 Indicate age of P3 (as above):
Digit 5 Indicates the status of this price record, where:
0 Not collected1 Input and proceed normally2 Failed validation checks of the Data Entry System but was confirmed from SEDOL3 Price record input by database amended4 Quotation suspended (only reliably available since 1965)5 No third price/not found on SEDOL list6 Flagged as missing or inconsistent with previous price but was confirmed from SEDOL7 Obvious printing error. Correct price or date inferred8 Suspicious price change checked against all sources (Extel cards, Capital Gains Tax
Book) in 11/86 but no further information was found. When returns are greater than +/- 50% and no specific reason is found, a marker of 9 still remains.
9 Suspicious price or capital change. Because we do not have the relevant SEDOL listings for those years and because it took place before 1965 (when CGT book first appeared), those prices or capital changes should be checked against Extel cards at Extel, or against SEDOL listings at the Guildhall library.
Note: Prices in old pence were decimalised with some subsequent loss of accuracy. As a major proportion of prices were either whole shillings or multiples of 3d the following conversion was used:
1d = 0p2-3d = 1p4-5d = 2p6-8d = 3p9-10d = 4p11-12d = 5p
28
3.6 Source File: S records (Share Capital)S1 Year
Year (YYYY) to which share capital data refers.
S2 Issued Share Capital for January Each Year
The number (in thousands) of ordinary shares in issue at the start of the year (1 January).
This data was originally collected from the "List of Quoted Securities" published monthly by Frederick Mathieson. Certain small companies were not included and, consequently, no share capital could be recorded. Missing data is indicated by a value of -1.
29
3.7 Source File: N records (Names & SEDOL Numbers)N1 Start Date
The first month (MMYY) for which the record is valid e.g. the month a SEDOL number is first allocated or the month in which a company changes its name.
N2 Finish Date
The last month (MMYY) for which the record is valid e.g. the month a SEDOL number changes or the month a company loses its quotation. This should be the same as the date in item G9. Will be 1229 for all live companies.
N3 SEDOL Number
SEDOL number (see G15).
N4 SEDOL Group
The SEDOL group in which the company is classified (see G16).
N5 Reason for New SEDOL
This marker gives an indication of the reason this record was created e.g. allocation of new SEDOL number or a change of name.
When looking at the first Names record for a company, this item will contain one of the birth markers listed in item G8.
50 Security entered database on collection of a new sample.51 New security eligible for entry to the database.52 Data collected prior to security entering database.
In any subsequent records of the company, the following markers may be used:
1 Change of name2 Change of SEDOL group3 Change of SEDOL number4 Reorganisation/Merger30 Relisting after suspension31 Relisting after suspension and name change32 Relisting after suspension and SEDOL group change33 Relisting after suspension and SEDOL number change34 Relisting after suspension and reorganisation/merger35 Suspension continues36 Cancellation and relisting37 Discharge of administration order and relisting
N6 Previous SEDOL Number
30
The SEDOL number of the security before the Start date of this record. This field will be set to zero in the first Names record of a company.
N7 Reasons for New Name Record
This item gives an indication of the reason for this record being superceded by another or for the death of the company.
In the last name record, for live companies this item will have the value 0 while for dead companies this item will take one of the markers listed in G10.
In any preceding records, the following markers may be used :
1 Change of name2 Change of SEDOL group3 Change of SEDOL number4 Reorganisation/Merger10 Suspension
N8 Succeeding SEDOL Number
SEDOL number of the succeeding share or company e.g. when a takeover has occurred, the SEDOL number of the acquiring company will be given. If the acquiring company in not currently included in the database as a live company, then this number will be negative.There are two special cases:
-1 indicates that the company was taken over by a foreign company or a company not in the database.
-2 indicates that the company has been nationalised.
N9 Company Name
Name of the company for the period between the Start and Finish dates.
31
4. Master Index FileWhen originally setting up the LSPD, it was necessary to identify all the UK companies that had been quoted on the London Stock Exchange since 1955, in order that the samples which were to constitute the database at that time could be selected. The names, SEDOL numbers, industry groups, cross references, quotation granted and cancellation dates of these companies are stored in the Master Index File.
The data can also be found in the Names section of the Source File but it is normally only present from the date of entry of the company into the database. The Master Index remains the only known computer readable source of information on the total UK population of the London Stock Exchange for the period since 1955, containing 15,721 lines.
Not only does the Master Index facilitate the identification of companies quoted on the Stock Exchange at any time during this period, but the cross reference information allows companies which have changed their names or SEDOL numbers to be traced easily.
Master Index File Format
The records are in ascending SEDOL number sequence. Where there is more than one record for a SEDOL number then the records will be in chronological sequence. The record length is 79 bytes.
107 165126732A.B. METAL PRODUCTS 2 1652 0 1 1100 141 155 25932A.B.C. COUPLER & ENGINEERING 1 048 0 8 0 204 155126732A C CARS LTD 3 1652 0 3 1207 301 455 56832A.C.E. MACHINERY 6525 4852 0 3 1304 399 995 59932Delphi Group plc 7679 0 1215053 5 0 408 367126732A.D. INTERNATIONAL LTD. 7 81 3 24204 3 1401 505 155126732A.P.V. HOLDINGS 9 11252 0 3 1508 602 465126732A.R.V. HOLDINGS 10 1652 0 3 1605 709 155126732A.V.P. INDUSTRIES 11 11252 0 3 1702 1003 957126732A.W.(SECURITIES) 12 0 1 1003 3 1940 1100 762126732AARONSON BROS 13 11351 0 3 2103 11001267127732A.B. Electronic Compnts 2 16 1 107 1 1100 11001277 39332A B Electronic Prods Grp 2 16 1 1100 5871176 1166 567126732ABBEY PANELS 14 131073652 0 3 2169 1207 855126732ABBOT BIRKS 15 049 0 3 2288 12071267 98632A C CARS LTD 3 16 3 204 1 1207 1207 986 19032A C HOLDINGS PLC 3 16 1 1207 1 1207 1207 190 29232Principal Hotels Gp plc 3 16 1 120720 0 1207 892 89232Principal Hotels plc 3 1620 014 0
993401 155126732YORKSHIRE BRICK CO. LD 5752 048 0 3987288993467 155 45539YORKSHIRE AMALGAMATED COLLS 5774 150 011 0993508 160126732YORKSHIRE COPPER WORKS (HOLD 5775 049 0 5458201993564 155 55932YORKSHIRE DYEING & PROOFING 5776 048 0 5 0993605 155126732YORKSHIRE DYEWARE & CHEMICAL 5755 78648052 0 3987404993702 265 16832YORKSHIRE ELECTRIC TRANSFO 5777 151 0 5 2608993809 762126732YORKSHIRE FACTORING CO 5753 049 0 3987482994006 155126732YORKS.FINE WOOLLEN 5754 1750 0 3987523994307 155 76836YORKSHIRE INSURANCE CO. 5778 250 0 1987705995106 155 66830YOUNG & CO'S BREWERY 'A' ORD 5757 91777650 0 39881069952031261126732YOUNG,AUSTEN&YOUNG 5758 1751 0 3988247995300 659126732YOUNGMAN (W.C.) 5759 049 0 3988300997306 155126751ZALONI TEA ESTATES LD 5761 150 0 3989109997362 155 35942ZAMBESIA EXPLORING CO. 5779 048 0 5489502997403 465 16842ZAMBIA BROKEN HILL DEVELM 0 049735001 8 0997500 155 26332ZAMBRENE 2808 150 0 1810544998202 361126732ZENITH CARBURETTER'A'(REGD)5 5763 4852 0 3989400998309 765126732ZETTERS POOLS 5764 78644852 0 3989466998406 155 36732ZIP FRENCH CLEANERS 5782 048 0 5 50607999409 155 66232ZWANENBERG ASSOCIATED FOOD C 5783 150 0 5819002
The following FORTRAN statements can be used to read the data:
32
IMPLICIT INTEGER (A-Y)DIMENSION MIDAT (18) READ (FILE, 1000) (MIDAT(j), j = 1,18) 1000 FORMAT (I6,2I4,I2,8A4,I5,I10,2(I2,I6))
Master Index File Contents
The Master Index is a comprehensive index of the names of all UK companies quoted on the London Stock Exchange since 1955. Each record contains:
M1 SEDOL number Stock Exchange code number (including check digit)M2 Birth date First date (MMYY) on which the SEDOL number applied.
If quoted in January 1955 then the Birth date = 155.M3 Death date Last date (MMYY) that this SEDOL number applied. If
record is current then the Death date = 1299.M4 SEDOL group See G16.M5 Company name Full name of the company.M6 Company number See G1.M7 Sample marker See G13.M8 Reason for birth See N5. Two additional codes are found only in master
index: 48 - security existed at January 1955, 49 - birth reason unknown.
M9 Pointer to preceding record for the same company
SEDOL number of preceding record, if any. See N6.
M10 Reason for death See N7.M11 Pointer for succeeding
record for the same company
SEDOL number of succeeding record, if any. See N8.
Important: In order to accommodate extra samples, the sample marker now occupies 10 characters (not 4 as in previous versions).
33
5. Returns FileThe majority of research applications based on the LSPD need to compute adjusted returns from the price series before doing any serious analysis. In order to obviate the necessity for deriving this data every time any analysis is undertaken, the derived returns data itself is permanently stored in a file, the Returns File.
The Returns File is generated directly from the data contained in the Source and Indices Files, and has two types of record:
a) there is a corresponding record in the Returns File for each share in the Source File, having the same code number.
b) there are records for most of the indices in the Indices File, having code numbers of 10,000,000 + the index number.
Each record contains a header with general descriptive data on the share or index to which it refers, followed by a time-series of monthly log returns, an indication of non-trading associated with each monthly return and an annual series of market capitalisations.
Calculation
The return is calculated as:rt = ln ((pt + dt) / pt-1)
Where:rt is the log-return in month t
pt is the last traded price (P4) in month t. Unless it is traded on last day of month (P5 = P1) and the closing price (P3) is for the last day of the month (digits 3 and 4 of P6 = 0) then take P3 (pre 1978 (P2 + P3)/2).
dt is the dividend going xd during month t (included only if xd date falls in the date range of traded prices); the dividend is adjusted to a month-end basis.
pt-1 is the last traded price in month t-1 adjusted to the same basis.
Adjustments
All adjustments are based on the principle that the total value of all classes of share in a company is unaltered by a change in capital structure. The two most common cases are:
Scrip Adjustment Factor =
Shares) New ofNumber Old of(Number Shares Old ofNumber
Rights Adjustment Factor =
Price Cum Shares New) (OldPrice) Issue Shares New Price Cum Shares (Old
Missing Values
34
It is obviously not possible to calculate returns for months where prices are unavailable e.g. when a company is temporarily suspended or when no trades were recorded in SEDOL.
In cases such as these, a value of –10.00 is assigned to indicate that a return cannot be calculated and is missing from the series. Note that there will always be a missing return in the first month a company is traded (or collected).
Non-trading Indicators
For each return there is an equivalent non-trading indicator. This indicates the number of days before the end of the month that the last trade occurred and may have a number of settings.
0 traded on last day of month1-31 trade is 1-31 days old32 not traded this month (note return will normally be zero unless a dividend has
occurred)33-63 special case where there was a missing return in the previous month (due to
unavailable price). This observation represents an ‘n-month’ return with a non-trading indicator value equal to the value shown minus 32.
Market Value
Finally, for each year there is a market value representing the market value of that share at the beginning of the year.
Returns File Format
2 1100A B Electronic Prods Grp 0 12 750100 930100 220 16 253 19 1 66 0 -1 1005 0 0-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000 .0526 .0000 -.0632 -.0588 .0000 -.0625 .0625 .3102 .0152 .3295 .0000 .1313 .0451 -.1086 .0100 .1103 .0000 .0000 -.1103 .0000 -.1178 .0606 .0755 .1974 .0580 .1440 .1394 .1322 .1167 -.1167 .2136 .0000 -.0770 -.0910 .0556 -.0651 -.0905 .0105 -.0537 .2933 -.0345 .1080 .0000 -.0651 .1144 .1038 .1068 -.0387 .1523 .1517 .1510 -.1360 -.0809 .0157 .0306 -.0254 -.1963 .0322 -.1426 .1039 .0637 -.1318 .1212 -.0194 .0815 .1245 .0211 -.0846 .1625 -.1625 -.4353 -.0755 -.0503 .1935 -.1178 -.0194 .1625 .2029 -.0926 -.3761 .1510 .1872 -.0500 .1282 -.1029 .1398 .2177 .0118 .1525 .2530 -.0079 .3801 .1386 .2108 -.0408 .1506 .0300 .1559
35
.0181 .1217 .0508 .0365 -.0060 .0000 -.0880 .1133 .3324 .0789 .1077 .1231 .0140 -.1522 .0159 -.0698 .1963 .0235 -.0796 .0835 .0477 -.1248 -.1329 .0585 -.0210 -.0981 -.3085 -.0615 .0720 -.0886 -.1252 -.0786 -.1446 .3001 .2595 -.1358 .1696 .0454 .1302 -.1010 -.0684 .0303 -.0799 .1020 .0120 .1290 .0662 .0410 -.1537 .0619 -.0211 .0819 -.0099 .2441 -.3208 -.2026 .2336 -.0168 .0415 .0931 .0411 -.0120 .0168 .0420 -.0759 .1357 .0234 -.0651 -.1580 .1534 .0116 .0228 -.0837 -.0535 -.0238 .0291 .0206 .0277 -.2329 -.1072 .0358 -.0106 -.0036 -.0741 -.0500 .0205 .0666 -.0269 -.2310 -.1086 -.2384 -.3137 .0105 -.0645 .2538 .1809 .0695 -.0481 -.0580 -.1974 -.1054 .0200 -.0391 -.1321 -.1119 -.1112 .0290 -.1710 .3045 .1398 -.1780 -.0811 -.1851 -.0702 .0180 -.0364 .1382 .0317-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000-10.0000 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 1 1 0 1 1 0 0 9 0 0 0 2 1 0 2 2 5 8 0 0 1 0 0 1 1 0 0 0 0 1 0 4 1 9 1 3 0 7 2 4 0 0 0 0 0 0 1 1 4 8 0 1 313 7 2 5 1 7 3 1 1 0 2 1 8 2 2 1 0 0 0 1 2 0 1 0 8 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 9 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 1 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 1 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 2 2 4 6 5 5 5 23 57 104 37 68 76 93 71 27 22 17 0 0 0 0 0 0
Note, however, for convenience the return values ZRET have been shifted to standard/fixed positions, so that ZRET (1) always represents January 1955.
The length of the record will consequently depend on how many years of data there are currently in the LSPD, e.g. LSPD1999 – 45 years.
The following FORTRAN statements may be used to read the data:
IMPLICIT INTEGER (A-Y)DIMENSION CHARACTER RNAME*32, ZRET (n)
READ (FILE,2) COMP,SEDOL,RNAME,DTI,FREQ,START,END,NOBS,SAMP,INDY, * MVAL,NTRADE,FTPR,DYLD,PER,DMARK,NETASS,VELOCITY, * (ZRET(J), J=1, n),(DATES(J), J=1, n),(MCAP(K), K=1, ny) 2 FORMAT (2I8, A32, 15I8, n F8.4, n I2, ny I5)
Where ny is the number of years e.g. for LSPD1999 ny = 45.And n is the number of years 12 e.g for LSPD1999 n = 540.There is one record per block.Note: Record lengths are always rounded up to an even number.
36
Returns File Contents
For each company/index the following items are stored:
R1 COMP Company number (G1)R2 SEDOL SEDOL number (G15), or index no + 10000000 R3 RNAME Company/index name (G33)R4 DTI Not usedR5 FREQ Not usedR6 START First month of data (YYMMDD)R7 END Last month of data (YYMMDD)R8 NOBS Maximum space reserved for this companyR9 SAMP Sample markers at end of snapshot month (G13)R10 INDY Stock Exchange industrial classification (G17)R11 MVAL Market value in millions at end of snapshot month (G54 x P3)R12 NTRADE Non-trading average x 10 (2 year average)R13 PRICE Closing mid price at end of snapshot month (P3)R14 DYLD Net yield at end of snapshot month (Net dividend (G55)/Price (P3))R15 PER P/E ratio at end of snapshot month (Price P3/Earnings G56)R16 DMARK Death marker and Trustee Status marker held in the form: Death
marker (G10) + (Trustee Status marker (G59) x 100)R17 NETASS Not used R18 VELOCITY Trading velocity at end of snapshot month x 10 (where trading
velocity is value of shares traded in previous three months as an annual percentage of market capitalisation)
R19 ZRET(540) Log returns for each month where ZRET(1) = January 1955;Missing values = - 10.0
R20 DATES(540) Non-trading markers corresponding to returns (see P6)R21 MCAP(45) Market capitalisation for the start of each year where MCAP(1) =
1955 in units of £ 1,000,000 (-1 if not available)
37
6. Archive FileThe Archive File provides for each company a monthly time series of variables (some of which appear in the Source File and others taken from the Risk Measurement Service). Companies are arranged in LSPD company number and this overcomes the problems the problems of changing SEDOL numbers and company names which arise when using the published RMS booklets over time. The file has 563,839 lines.
Archive File Format
2 310179 0 5000 681 393 352 1003 839 0 35 2 280279 0 6000 687 391 349 1003 838 16 35 2 300379 0 7000 710 392 346 1003 838 16 35 2 300479 0 9000 710 390 345 1003 913 16 35 2 310579 0 8000 743 396 347 1003 914 16 35 2 290679 0 7000 754 396 345 1003 913 16 35 2 310779 0 7000 749 392 342 1003 914 16 35 2 310879 0 8000 748 388 339 1003 914 16 35 2 280979 0 8000 743 385 338 2771 1043 16 35 2 311079 0 6000 781 396 344 2768 1044 16 35 2 301179 0 6000 774 393 342 3013 1044 16 35 2 311279 0 5000 770 401 352 3011 999 16 35 2 310180 0 6000 772 398 349 3013 999 16 35 2 290280 0 6000 865 395 341 3011 998 16 35 2 310380 0 5000 903 401 343 1200 1070 16 35 2 300480 0 5000 903 401 343 1200 1070 16 35 2 300580 0 6000 904 396 340 1200 1070 16 35 2 300680 0 6000 1067 391 323 1200 1070 16 35 2 310780 0 7000 1073 392 324 1200 1071 16 35 2 290880 0 7000 1087 390 322 1200 1071 16 35 2 300980 0 6000 1055 375 309 1787 1071 16 35 2 311080 0 8000 1073 378 309 1786 1070 16 35 2 281180 0 8000 1081 363 289 1780 1070 16 35 2 311280 0 5000 1178 423 346 1781 1071 16 35 2 300181 0 5000 1173 423 349 1781 1071 16 19 2 270281 0 5000 1189 424 348 1781 1071 16 19 2 310381 0 5000 1179 425 352 0 178 16 19 2 300481 0 4000 1114 428 364 0 177 16 19 2 290581 0 4000 1146 433 365 0 178 16 19 2 300681 0 5000 1152 435 368 0 177 16 19 2 310781 0 6000 1130 447 384 0 177 16 19 2 280881 0 6000 1102 445 386 0 178 16 19 2 300981 0 4000 1196 468 392 0 178 16 19 2 301081 0 4000 1249 460 391 0 570 16 19 2 301181 0 5000 1283 460 388 0 570 16 19 2 311281 0 5000 1324 456 383 0 571 16 19 2 290182 0 5000 1312 452 383 0 570 16 19 2 260282 0 5000 1320 454 383 0 571 16 19 2 310382 0 6000 1315 455 386 0 856 16 19 2 300482 0 7000 1281 491 431 0 856 16 19 2 280582 0 7000 1276 488 428 0 856 16 19 2 300682 0 8000 1232 495 440 0 855 16 19 2 300782 0 10000 1230 502 447 0 856 16 19 2 310882 0 10000 1206 498 448 0 855 16 19 2 300982 0 15000 1236 506 456 2328 1069 16 19 2 291082 0 17000 1216 505 456 2328 1071 16 19 2 301182 0 25000 1199 513 468 2039 1070 16 19 2 311282 0 24000 1199 513 468 2039 1070 16 19 2 310183 0 27000 1185 511 469 2039 1071 16 19 2 280283 0 28000 1175 510 469 2039 1069 16 19 2 310383 0 33000 1194 473 428 2039 1142 16 19 2 290483 0 33000 1195 475 430 2039 1142 144 19 2 310583 0 38000 1185 471 426 2039 1136 144 19 2 300683 0 40000 1191 471 426 2039 1139 144 19 2 290783 0 41000 1163 469 426 2039 1139 144 19 2 310883 0 41000 1162 467 425 2039 1141 144 19 2 300983 0 41000 1163 466 424 2039 1141 144 19 2 311083 0 37000 1188 462 418 4601 1710 144 19 2 301183 0 41000 1170 460 417 4400 1713 144 19 2 301283 0 57000 1155 473 433 1466 569 144 19 2 310184 0 62000 1145 472 432 1466 569 144 35 2 290284 0 69000 1145 472 432 1466 569 144 35 2 300384 0 99000 1153 475 437 1458 853 144 35
38
2 300484 0 100000 1167 475 437 1458 856 144 35 2 310584 0 86000 1145 476 437 1458 854 144 35 2 290684 0 87000 1146 476 438 1458 854 144 35 2 310784 0 81000 1146 476 438 1458 854 144 35 2 310884 0 99000 1146 476 438 1458 854 144 35 2 280984 0 101000 1152 476 436 2477 853 144 35 2 311084 0 92000 1152 476 436 2477 853 144 35 2 301184 0 100000 1148 471 434 2477 855 144 35 2 311284 0 105000 1151 461 422 2389 853 144 35 2 310185 0 81000 1156 467 428 2389 854 144 35 2 280285 0 81000 1163 471 432 2389 854 144 35 2 290385 0 86000 1163 465 427 2390 853 144 35 2 300485 0 84000 1164 464 426 2338 924 144 35 2 310585 0 76000 1127 466 431 2338 927 144 35 2 280685 0 57000 1259 485 442 2339 926 144 35 2 310785 0 54000 1300 495 451 2338 927 144 35 2 300885 0 58000 1303 496 452 2339 927 144 35 2 300985 0 26000 1323 494 448 1340 1142 144 35 2 311085 0 45000 1277 503 461 1340 1140 144 35 2 291185 0 42000 1252 503 462 1340 1141 144 35 2 311285 0 36000 1183 468 430 1340 1141 144 35 2 310186 0 49000 1163 480 445 1340 1142 144 35 2 280286 0 64000 1199 482 444 1340 1140 144 35 2 270386 0 56000 1127 490 456 1340 1141 144 35 2 300486 0 65000 1147 481 446 1340 1140 144 35 2 300586 0 68000 1147 481 446 1340 1140 144 35 2 300686 0 78000 1147 479 445 1340 1139 144 35 2 310786 0 71000 1186 474 435 1340 1141 144 35 2 290886 0 66000 1193 476 436 1340 1140 144 35 2 300986 0 68000 1108 462 434 1960 1427 144 35 2 311086 0 60000 1086 464 437 1960 1427 144 35 2 281186 0 67000 1070 463 438 1917 1425 144 35 2 311286 0 68000 1069 462 438 1917 1426 144 35 2 300187 0 77000 1070 462 438 1917 1425 144 35 2 270287 0 83000 1058 462 438 1917 1425 144 35 2 310387 0 86000 1053 460 436 1917 1425 144 35 2 300487 0 74000 1064 460 436 1917 1425 144 35 2 290587 0 78000 1057 457 433 1917 1424 144 35 2 300687 0 77000 1046 458 434 1917 1425 144 35 2 310787 0 83000 1109 446 419 1917 1424 144 35 2 280887 0 82000 1071 445 419 1917 1426 144 35 2 300987 0 118000 1054 429 402 1846 1784 144 35 2 301087 0 86000 1057 453 399 1846 1783 144 35 2 301187 0 60000 1091 454 391 2384 1784 144 35 2 311287 0 76000 1112 461 395 2384 1785 144 35 2 290188 0 89000 1103 458 393 2383 1784 144 35 2 290288 0 93000 1102 459 394 2383 1782 144 35 2 310388 0 102000 1087 457 393 2383 1927 144 35 2 290488 0 105000 1090 456 392 2383 1926 144 35 2 310588 0 104000 1099 453 388 2383 1924 144 35 2 300688 0 105000 1099 453 388 2383 1927 144 35 2 290788 0 111000 1108 453 387 2383 1927 144 35 2 310888 0 102000 1111 455 387 2384 1928 144 35 2 300988 0 117000 1114 457 390 4321 2139 144 35 2 311088 0 116000 1111 456 389 4320 2139 144 35 2 301188 0 108000 1102 454 388 4406 2142 144 35 2 301288 0 93000 1109 437 367 4407 2141 144 35 2 310189 0 108000 1111 440 367 4404 2140 144 35 2 280289 0 109000 1121 436 360 4406 2139 144 35 2 310389 0 112000 1116 434 359 4404 2140 144 35 2 280489 0 103000 1114 435 361 4406 2284 144 35 2 310589 0 96000 1117 432 361 4405 2284 144 35 2 300689 0 94000 1117 432 361 4408 2282 144 35 2 310789 0 97000 1110 431 361 4408 2284 144 35 2 310889 0 100000 1091 425 358 4408 2283 144 35 2 290989 0 98000 1078 425 360 3830 2498 144 35 2 311089 0 77000 1116 434 363 3831 2497 144 35 2 301189 0 70000 1092 436 368 3925 2498 144 35 2 291289 0 71000 1088 436 368 3921 2499 144 35 2 310190 0 41000 1093 432 363 2841 2332 144 35 2 280290 0 73000 1077 428 360 3923 2499 144 35 2 300390 0 67000 1078 429 360 3920 2332 144 35 2 300490 0 62000 1074 430 360 3923 2332 144 35 2 310590 0 64000 1054 429 359 3921 2331 144 35 2 290690 0 67000 1007 409 344 3922 2331 144 35 2 310790 0 66000 1008 408 342 3922 2331 144 35 2 310890 0 52000 1041 418 347 3923 2331 144 35 2 280990 0 41000 1039 419 347 2841 2332 144 35
39
2 311090 0 32000 1052 428 356 2844 2332 144 35 2 301190 0 27000 1026 450 387 2844 2333 144 35 2 311290 0 27000 1018 447 383 2844 2332 144 35 2 310191 0 26000 1009 426 361 2839 2333 144 35 2 280291 0 33000 1016 425 356 2843 2332 144 35 2 280391 0 40000 1066 426 352 2842 2332 144 35 2 300491 0 43000 1068 420 344 2838 -1 144 35 2 310591 0 40000 1080 419 342 2842 -1 144 35 2 280691 0 38000 1074 416 338 2841 -1 144 35 2 310791 0 32000 1027 425 356 2839 -1 144 35 2 300891 0 28000 1037 425 356 2844 -1 144 35 2 300991 0 29000 1060 424 353 -1 9 144 35 2 311091 0 27000 1073 423 349 -1 9 144 35 2 291191 0 25000 1082 422 346 -1 12 144 35 2 311291 0 22000 1080 424 349 -1 12 262288 35 2 310192 0 20000 1057 422 351 -1 12 262160 35 2 280292 0 20000 1058 421 352 -1 13 262160 35 2 310392 0 17000 1068 424 353 -1 12 262160 35 2 300492 0 23000 1137 441 362 -1 -1 262160 35 2 290592 0 26000 1138 445 367 -1 -1 262160 35 2 300692 0 22000 1163 449 367 -1 -1 262160 35 2 310792 0 20000 1163 446 364 -1 -1 262160 35 2 280892 0 17000 1174 447 364 -1 -1 262160 35 2 300992 0 16000 1128 449 371 -1 0 262160 35 2 301092 0 16000 1138 449 369 -1 0 262160 35 2 301192 0 16000 1102 434 357 -1 0 262160 35 2 311292 323 17000 1122 405 358 -1 0 262160 35 2 290193 190 19000 1126 405 359 -1 0 262160 35 2 260293 18 19000 1135 404 357 -1 0 262160 35 2 310393 3 19000 1146 406 357 -1 0 262160 35 2 300493 0 19000 1139 409 360 -1 0 262160 35 2 280593 0 19000 1140 412 363 -1 0 262160 35 2 300693 0 19000 1136 416 366 -1 0 262160 35 2 300793 0 19000 1137 418 368 -1 0 262160 35 2 310893 0 19000 1148 421 371 -1 0 262160 35 2 300993 0 19000 1129 418 369 -1 0 262160 35 2 291093 0 19000 1124 422 372 -1 0 262160 35 2 301193 0 19000 1123 425 376 -1 0 262160 35 2 311293 0 19000 1116 426 376 -1 0 16 253
10001 301199 0 26000 -1 -1 -1 -1 -1 256 895 10001 301299 0 25000 -1 -1 -1 -1 -1 262400 895 10002 301199 811 46000 -1 -1 -1 -1 1166 0 852 10002 301299 1414 46000 -1 -1 -1 -1 1050 786432 852 10003 301199 0 3000 -1 -1 -1 -1 -1 1048576 48 10003 301299 0 3000 -1 -1 -1 -1 -1 1310720 48 10004 301199 0 53000 -1 -1 -1 -1 -1 65536 894 10004 301299 3 53000 -1 -1 -1 -1 -1 327680 894 10005 301199 0 12000 -1 -1 -1 -1 -1 65792 894 10005 301299 44 13000 -1 -1 -1 -1 -1 327936 894 10006 301199 94 31000 -1 -1 -1 -1 -1 0 894 10006 301299 304 31000 -1 -1 -1 -1 -1 262144 894 10007 301199 1 9000 -1 -1 -1 -1 -1 1048576 519 10007 301299 52 8000 -1 -1 -1 -1 -1 1310720 519 10008 301199 13 35000 -1 -1 -1 -1 -1 1048576 560 10008 301299 1125 36000 -1 -1 -1 -1 -1 1310720 560 10009 301199 0 5000 -1 -1 -1 -1 -1 1048576 879 10009 301299 105 5000 -1 -1 -1 -1 -1 1310720 879 10010 301199 0 32000 -1 -1 -1 -1 -1 0 851 10010 301299 3 31000 -1 -1 -1 -1 -1 786432 851 10011 301199 0 37000 -1 -1 -1 -1 -1 1048576 538 10011 301299 1095 27000 -1 -1 -1 -1 -1 1310720 538 10012 301199 0 5000 -1 -1 -1 -1 -1 1048576 560 10012 301299 391 5000 -1 -1 -1 -1 -1 1310720 560 10013 301199 0 51000 -1 -1 -1 -1 -1 512 894 10013 301299 4574 52000 -1 -1 -1 -1 -1 512 894 10014 301199 0 158000 -1 -1 -1 -1 0 0 852 10014 301299 1277 154000 -1 -1 -1 -1 -1 262144 852 10015 301299 34797 458000 -1 -1 -1 -1 -1 262144 974 10016 301299 280 11000 -1 -1 -1 -1 -1 1310720 581 10017 301299 12486 50000 -1 -1 -1 -1 -1 1310720 974 10018 301299 2588 174000 -1 -1 -1 -1 -1 262144 528 10019 301299 2530 47000 -1 -1 -1 -1 800 262144 894 10020 301299 7395 136000 -1 -1 -1 -1 -1 262144 977 10021 301299 1566 87000 -1 -1 -1 -1 158 262144 545 10022 301299 455 3000 -1 -1 -1 -1 -1 1310720 879
40
10023 301299 163 33000 -1 -1 -1 -1 -1 262144 852 10024 301299 40 21000 -1 -1 -1 -1 -1 1310720 879 10025 301299 9015 83000 -1 -1 -1 -1 -1 1310720 879 10026 301299 2730 312000 -1 -1 -1 -1 -1 1310720 974 10027 301299 196 85000 -1 -1 -1 -1 -1 262144 480 10028 301299 10 12000 -1 -1 -1 -1 -1 1310720 526 10029 301299 0 50000 -1 -1 -1 -1 -1 262144 894 10030 301299 39 34000 -1 -1 -1 -1 -1 262144 73 10031 301299 352 8000 -1 -1 -1 -1 -1 1310720 879 10032 301299 33 24000 -1 -1 -1 -1 -1 1310720 477 10033 301299 5 10000 -1 -1 -1 -1 -1 1310720 581 10034 301299 10105 222000 -1 -1 -1 -1 -1 1310720 879 10035 301299 1354 34000 -1 -1 -1 -1 -1 1310720 313 10036 301299 0 103000 -1 -1 -1 -1 -1 1310720 879 10037 301299 387 160000 -1 -1 -1 -1 -1 512 972 10038 301299 23 8000 -1 -1 -1 -1 59 262144 862
The following FORTRAN format statement may be used to read the data:
1020 FORMAT (I6,3I9,3I6,I10,I7,I8,I4)
Archive File Contents
A1 LSPD number See G1A2 Month-end date In DDMMYY formatA3 Turnover Value of shares traded during month in £000 (only
available from December 1992 onwards)A4 Market cap Market value of the company's ordinary shares in £MA5 Beta * 100 The sensitivity of the share to market movesA6 Variability * 10 The standard deviation of log returns on the shareA7 Specific risk * 10 The standard deviation of non-market related risk for log
share returnsA8 Earnings per share * 100 Earnings per share, as provided by EXSHAREA9 Dividend per share * 100 Dividend per share, as provided by EXSHAREA10 Sample marker Contents of G13 at month-end in question; see G13A11 SE Industry code SE Industry code at month-end;see G17
Note that in item A8 negative earnings are shown as 0 or -1.
41
7. Indices FileThere are a number of monthly time-series indices which have been collected for different research projects. These are stored as an index value for each month together with some descriptive data such as dates, name and type. The main types of index held are:
FTA FTSE Classified IndexFTA Classified Dividend YieldFTA Classified Earnings YieldInternational Stock Exchange IndexExchange RateInterest RateEconomic IndexCommodity% Return
The index levels are all month-end levels, excepting RPI & WPI which are mid-month, and the international exchange rates and market details. Before 1971, the latter were collected from International Financial Statistics and some of them are monthly averages.
Where the base level of any index changes then all previous values are adjusted accordingly.
Indices File Format
11955010019991200 2 0 0 0FTA/FTO Monthly Index Level 63.00 59.62 59.33 59.59 64.25 69.90 70.38 63.31 62.30 62.33 62.07 65.36 60.83 57.76 58.74 62.20 59.07 56.88 59.62 59.65 58.77 57.11 53.33 58.32 61.12 61.55 61.90 65.23 66.28 66.80 65.59 64.84 58.09 53.00 55.28 53.91 53.23 50.90 53.65 54.50 55.06 56.98 58.06 60.44 64.51 67.84 69.37 73.55 69.41 71.33 71.56 74.36 78.31 78.00 77.30 84.38 83.46 98.63 99.80 110.37 107.50 104.86 104.76 101.30 105.09 102.87 100.91 108.38 105.32 104.76 98.60 99.58 102.48 107.08 111.61 118.33 114.64 105.02 99.87 100.85 96.90 95.08 97.20 99.41 99.18 97.49 95.20 102.49 92.74 89.23 86.65 91.85 90.11 91.28 96.15 94.54 94.19 98.02 98.15 98.38 99.38 98.09 99.34 103.28 103.84 106.84 107.39 106.89 101.91 102.84 104.61 107.43 102.40 105.79 107.89 109.09 109.26 105.02 99.91 97.95 101.46 99.35 98.22 99.20 98.10 93.42 93.39 94.67 100.03 105.04 104.07 103.70 107.13 106.04 104.82 105.07 110.00 111.25 95.86 90.82 93.11 89.77 91.25 94.10 95.81 93.01 98.01 103.68 101.92 106.42 107.11 109.53 114.67 123.51 123.80 121.08 129.18 126.17 139.43 149.30 146.04 154.49 159.77 166.12 160.72 162.23 163.45 173.72 180.97 162.86 164.01 155.70 149.91 142.00 131.23 136.53 139.50 133.69 140.58 147.34 148.42 141.87 144.02 129.14 119.99 125.65 130.54 130.27 138.70 138.14 128.95 136.26 137.03 133.68 142.68 159.17 164.26 167.95 180.40 181.01 181.25 177.75 182.53 193.39 201.87 213.93 217.69 226.50 217.39 206.42 218.40 222.68 199.00 206.24 221.65 218.18 196.48 188.98 189.56 190.97 192.57 191.95 181.86 175.57 181.43 186.83 162.52 149.76 142.96 149.27 118.31 128.30 117.54 105.35 100.43 88.15 76.91 78.95 66.66 66.89 102.13 126.44 118.32 139.59 145.31 128.21 124.03 140.92 144.66 150.22 152.38 158.08 172.64 167.12 164.61 169.39 157.82 155.41 151.40 144.05 135.00 119.92 128.99 152.96 166.52 170.77 176.51 181.21 186.36 190.69 185.71 206.54 224.45 219.70 208.45 214.53 203.90 193.37 205.27 208.45 216.74 210.67 224.17 229.66 228.35 219.40 222.56 220.22 223.62 237.52 266.28 279.46 261.27 247.88 237.13 247.34 254.73 237.47 231.28 229.79 251.70 263.81 240.38 249.48 243.60 269.54 282.29 282.49 290.26 306.26 307.26 292.22 288.97 304.16 309.73 332.10 315.58 320.57 319.42 334.63 278.49 286.30 315.14 313.12 330.93 316.89 326.59 328.09 337.46 322.79 333.89 343.29 361.81 369.67 375.42 382.22 395.02 399.35 411.94 439.29 437.63 458.30 445.97 450.36 445.53 437.38 461.87 470.50 501.36 493.12 524.20 534.84 477.21 487.74 474.83 520.47 535.86 543.48 560.26 592.94 614.62 608.13 616.21 622.11 634.16 595.54 606.45 646.26 626.24 670.64 696.53 682.94 696.41 750.83 810.48 816.40 788.92 815.70 771.80 817.06 768.79 807.27 815.34 835.48 903.29 983.12 1000.04 1023.58 1097.29 1153.12 1202.19 1146.69 1208.89 887.33 796.31 870.22 915.84 908.08 896.75 928.19 923.52 963.01 965.18 911.17 946.27 965.54 933.45 926.59 1054.97 1042.60 1076.15 1090.04 1091.06 1101.68 1173.25 1207.45 1169.55 1080.79 113
42
8.67 1204.70 1167.15 1122.26 1114.94 1043.16 1154.24 1171.28 1147.05 1051.08 962.18 992.67 1032.11 1032.25 1036.24 1150.01 1193.33 1202.75 1201.85 1161.19 1235.89 1268.62 1265.96 1238.63 1168.95 1187.70 1227.84 1229.84 1171.71 1282.75 1311.79 1216.62 1143.14 1096.99 1206.16 1256.67 1313.02 1363.79 1364.33 1396.53 1408.07 1388.88 1403.42 1432.31 1448.76 1537.21 1506.55 1565.37 1556.45 1682.17 1745.95 1675.49 1561.97 1580.44 1501.22 1463.35 1545.74 1626.64 1510.97 1536.31 1528.12 1521.44 1480.56 1487.00 1538.64 1578.67 1632.56 1623.51 1703.02 1719.44 1733.73 1734.14 1788.60 1802.56 1841.96 1840.77 1843.44 1914.61 1885.78 1856.33 1835.44 1915.98 1945.00 1956.90 1985.17 2013.66 2087.61 2107.86 2099.70 2135.31 2200.91 2184.52 2295.18 2276.72 2455.02 2293.87 2288.64 2411.00 2536.68 2683.40 2781.66 2788.99 2802.18 2743.46 2734.72 2440.84 2344.82 2504.85 2626.86 2673.92 2695.94 2825.39 2894.79 3028.40 2889.65 2946.17 2925.14 2939.11 2826.11 2904.38 3086.90 3242.06
7931989010019991200 2 0 0 0Return -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 -10.00 .00 .00 .00 .00 .00 .00 .00 .00 .00 .00 .00 .00 292.24 290.31 292.75 285.10 294.14 315.15 298.09 274.02 259.43 262.80 232.08 249.95 232.69 266.14 283.18 281.37 271.23 273.38 270.92 288.86 302.98 291.91 271.55 268.62 294.68 316.09 299.65 319.26 342.25 316.08 297.19 283.75 313.58 335.58 351.96 374.33 411.89 404.55 407.19 404.93 414.03 416.79 416.19 425.97 417.85 404.23 397.79 388.81 429.86 436.04 414.37 428.25 422.81 379.97 396.32 401.38 367.04 361.96 363.99 354.49 337.03 334.40 352.28 323.79 337.39 337.18 365.12 407.22 436.90 446.42 453.67 450.59 459.59 480.04 509.10 575.88 609.56 598.24 568.80 602.28 628.22 650.86 679.18 720.38 767.03 819.60 838.18 816.39 859.40 825.58 839.91 880.12 892.85 905.09 924.79 1021.48 1205.06 1367.95 1499.88 1475.87 1730.38 1779.59 1825.75 1495.67 1459.26 1281.05 1341.21 1450.42 1752.51 1760.94 1823.60 1677.54 1564.57 1700.26 1750.21 1854.38 1973.48 2101.97 2959.70 3754.68
Note, however, for convenience the index values ZIND have been shifted to standard/fixed positions, so that ZIND (1) always represents January 1955.
The length of the record will consequently depend on how many years of data there are currently in the LSPD, e.g. LSPD1999 – 45 years.
43
The following FORTRAN statements may be used to read the data:
IMPLICIT INTEGER (A-Y) DIMENSION CHARACTER INAME*36, ZIND (n)
READ (FILE,2) IND,ST,FN,TYP,EARN,DIV,NEXT,INAME, * (ZRET(J), J=1, n) 2 FORMAT (7I8, A36, n F8.2)
Where n is the number of years 12 e.g for LSPD1999 n = 540.There is one record per block.Note: Record lengths are always rounded up to an even number.
Indices File Contents
There is a single record for each index, the items of which are:
IND Index number range (1-793)ST First month of data (MMYY)FN Last month of date (MMYY)TYP Type of index
1 FTA share2 International share3 Economic index4 Exchange rate5 Commodity6 % return7 FTA dividend yield8 FTA earnings yield9 Interest rate
EARN Associated number of FTA earnings yieldDIV Associated number of FTA dividend yieldNEXT Next number in FTA sequenceINAME(C*36) Name of indexZIND(N) Vector containing index values for each month where ZIND(1)
represents January 1955.
Note: N = 12 x number of years in database e.g. for LSPD-99, N = 540 (12 x 45).
44
8. Appendix A1: SE Industry Codes (1979-1993)
9 Water Works 1990 Dec-9311 Aircraft & Components Dec-78 197911 Cold Formed Fastenings & Turned Parts 1979 Dec-7911 Other Industrial Materials & Capital Goods Jan-81 Dec-9312 Bricks & Roofing Tiles Dec-78 Sep-9113 Builders Merchants Dec-78 Dec-9314 Building Materials Dec-78 Dec-9315 Cement & Concrete Dec-78 Sep-9116 Paint Dec-78 Dec-9317 Timber Dec-78 Sep-9118 Contracting & Construction Dec-78 Dec-9319 Electricals (Heavy) Dec-78 Dec-8019 Electricals (ex Radio & TV) Jan-81 Dec-8319 Electricals Jan-84 Dec-9320 Boiler Makers Dec-78 Dec-7920 Cold Formed Fastenings & Turned Parts Jan-80 Dec-8820 Rubbers Jan-91 Dec-9321 Founders & Stampers Dec-78 Dec-8821 Aerospace Jul-89 Dec-9322 Industrial Plant Dec-78 Dec-9323 Mechanical Handling Dec-78 Dec-9324 Pumps & Valves Dec-78 Sep-9125 Steel & Chemical Plant Dec-78 Sep-9126 Wires & Ropes Dec-78 Sep-9127 Misc Engineering Dec-78 Mar-8027 Misc Mechanical Engineering Apr-80 Dec-9328 Machine & Other Tools Dec-78 Dec-9329 Shipbuilding Dec-7829 Misc Engineering Contractors Jan-80 Sep-9130 Heating & Ventilating Dec-7830 Education & Business Training Jan-92 Dec-9331 Instruments Dec-78 Dec-9332 Metallurgy Dec-78 Dec-9333 Special Steels Dec-78 198833 Steel 1988 Dec-9334 Misc Metal Forming Dec-78 Dec-9335 Light Electronics, Radio & TV Dec-78 Dec-8035 Electronics Jan-8436 Radio & TV Rental Dec-78 Dec-8036 Radio & TV Jan-81 Dec-9036 Computer Software Jan-92 Dec-9337 Floor Covering Dec-78 Dec-9037 Broadcasting Contractors Jan-91 Dec-9338 Furniture & Bedding Dec-78 198538 Furniture & Furnishings 1985 Dec-9339 Household Appliances Dec-78 Sep-9139 Health Care Jan-92 Dec-9340 Kitchen & Tableware Dec-78 Sep-91
45
40 Personal & Household Care Jan-92 Dec-9341 Motor Components Dec-78 Dec-9342 Motor Distributors Dec-78 Dec-9343 Motor Vehicles Dec-78 Dec-9344 Security & Alarm Services Jan-84 Dec-9345 Breweries Dec-78 Dec-9346 Wines & Spirits Dec-78 Dec-9347 Hotels & Caterers Dec-78 Dec-9348 Leisure Dec-78 Dec-9349 General Food Manufacturing Dec-78 198749 Food Manufacturers 1987 Dec-9350 Milling & Flour Dec-78 Dec-8751 Food Retailing Dec-78 198751 Food Retailers 1987 Dec-9352 Newspapers & Periodicals Dec-78 Dec-9353 Publishing & Printing Dec-78 Dec-9354 Packaging & Paper Dec-78 Dec-9355 Department Stores Dec-78 Dec-9356 Furnishing Stores Dec-78 Dec-9357 Mail Order Stores Dec-78 Mar-9157 Mail Order Apr-91 Dec-9358 Stores, Multiple Dec-78 Dec-9359 Clothing Dec-78 Dec-9360 Cotton Dec-78 Mar-9060 Floor Covering Jan-91 Dec-9160 Carpets Jan-92 Dec-9361 Wool Dec-78 Dec-9362 Misc Textiles Dec-78 Dec-9363 Tobacco Dec-78 Dec-9364 Footwear Dec-78 Jun-8064 Footwear Manufacturers & Leather Jul-80 198564 Leather 1985 198764 Leather & Footwear 1987 Dec-9365 Toys & Games Dec-78 198765 Giftware 1987 Dec-9366 Plastic & Rubber Fabricators Dec-78 198566 Plastic & Rubber 1985 Dec-9367 Drugs & Pharmacy Dec-78 198467 Health & Household Products 1984 198867 Health & Household 1988 Dec-9167 Prarmaceuticals Jan-92 Dec-9368 General Chemicals Dec-78 Dec-9369 Office Equipment Dec-78 Dec-8369 Office Equipment (ex Computers) Jan-84 Dec-9370 Oil Dec-78 198570 Oil & Gas 1985 Dec-9371 Shipping Dec-78 Dec-8571 General Traders, Wholesalers & Distributors 1986 Dec-9372 Transport, Freight & Fuel Dec-78 Dec-8072 Transport & Freight Jan-81 Dec-9373 Industrial Holding Companies Dec-78 1984
46
73 Industrial Conglomerates 1984 Dec-9374 Laundries & Cleaners Dec-78 Dec-9375 Agencies Dec-78 198775 Consultancies & Agencies 1987 Dec-9075 Support Services Jan-91 Dec-9376 Miscellaneous (Unclassified) Dec-78 Dec-9377 Banks Dec-78 Dec-9378 Foreign Banks Dec-78 Dec-8978 Media Agencies Jan-91 Dec-9379 Discount Houses Dec-78 Dec-9380 Hire Purchase Dec-78 198480 Leasing & Hire Purchase 1984 Sep-9281 Insurance (Life) Dec-78 Dec-9382 Insurance (Composite) Dec-78 Dec-9383 Insurance Brokers Dec-78 Dec-9384 Investment Trusts Dec-78 Jun-9284 UK Investment Trusts Jul-92 Dec-9385 Merchant Banks Dec-78 Dec-9386 Property Dec-78 Dec-9387 Financial Trusts Dec-78 198487 Miscellaneous Financial 1984 Dec-9088 Utilities Jan-8188 Telephone Networks 198689 Rubbers Dec-78 Dec-9089 Electric Utilities Jan-91 Dec-9390 Teas Dec-78 Dec-9090 Property Agencies Jan-91 Dec-9391 Copper Dec-78 Dec-9392 Mining Finance Dec-78 Dec-9393 Tin Dec-78 Dec-9093 Unapproved Investment Companies Jan-91 Dec-9394 Diamond Dec-9094 Offshore Investment Funds Jan-91 Jun-9294 Offshore Investment Funds & Companies Jul-92 Dec-9395 Gold Dec-78 Dec-9396 Misc Mines & Collieries Dec-78 Dec-9397 Overseas Trade Dec-78 Dec-9097 Currency Funds Jan-91 Dec-9398 Electric Utilities 1986 Dec-9098 Other s842 Investment Trusts Jul-92 Dec-93
47
9. Appendix A2: FTSEA Industry Codes (1994-Mar 1999)
123 Gold Mining125 Other Mineral Extractors And Mines129 Mining Finance150 Oil, Integrated162 Oil Exploration & Production165 Oil Services210 Building & Construction222 Building Materials225 Builders Merchants232 Chemicals, Commodity234 Chemicals, Speciality236 Chemicals, Materials Technology240 Diversified Industrials252 Electrical Equipment253 Electronic Equipment255 Office Machinery261 Engineering, Metallurgy262 Engineering Fabricators263 Engineering, Specialities264 Engineering, Contractors265 Engineering, Diversified268 Engineering, Aerospace & Defence269 Instruments, Tools & Mechanical Handling Equipment270 Vehicle Components & Assemblers282 Paper and Packaging284 Printing291 Clothing Manufacturers293 Wool295 Textiles, Diversified297 Footwear & Leather299 Giftware & Costume Jewellery310 Breweries320 Spirits, Wines & Ciders330 Food Manufacturers342 Furniture & Furnishings344 Floor Covering346 Household Requisites360 Health Care370 Pharmaceuticals380 Tobacco412 Distributors Of Industrial Components & Equipment413 Vehicle Distributors414 Distributors, Others422 Leisure424 Hotels & Caterers432 Media Agencies434 Broadcasting Contractors436 Publishing
48
440 Retailers and Wholesalers, Food452 Retailers, Multi Department454 Retailers, Chain Store481 Business Support Services482 Education, Business Training & Employment Agencies484 Security Alarm Services486 Laundries & Cleaners487 Computer Services490 Transport512 Polution Control514 Plantations516 Other Businesses620 Electricity640 Gas Distribution660 Telecommunications680 Water710 Banks732 Insurance Brokers734 Insurance, Composite736 Insurance, Lloyd's Funds740 Life Assurance750 Merchant Banks772 Financial, Other774 Discount Houses778 Investment Companies792 Property794 Property Agencies800 Investment Trusts940 Off-Shore Investment Companies and Funds970 Currency Funds980 Other s842 Investment Trusts
49
10. Appendix A3: FTSEA Industry Codes (Apr 1999 -)
43 Gold Mining45 Mining Finance48 Other Mineral Extractors & Mines73 Oil & Gas – Exploration & Production75 Oil – Services78 Oil – Integrated113 Chemicals – Commodity116 Chemicals – Advanced Materials118 Chemicals – Speciality131 Builders Merchants132 Building & Construction Materials134 House Building137 Other Construction153 Forestry156 Paper186 Non-Ferrous Metals188 Steel215 Aerospace216 Defence240 Diversified Industrials252 Electrical Equipment253 Electronic Equipment263 Commercial Vehicles & Trucks264 Engineering – Contractors266 Engineering Fabricators267 Engineering – General311 Automobiles313 Auto Parts317 Tyres & Rubber341 Clothing & Footwear342 Furnishings & Floor Coverings345 Household Appliances & Housewares347 Leisure Equipment349 Other Textiles & Leather Goods415 Beverages – Brewers416 Beverages – Distillers & Vintners418 Soft Drinks433 Farming & Fishing435 Food Processors443 Health Maintenance Organisations444 Hospital Management & Long Term Care446 Medical Equipment & Supplies449 Other Health Care460 Packaging475 Household Products477 Personal Products480 Pharmaceuticals490 Tobacco
50
514 Distributors of Industrial Components & Equipment518 Vehicle Distribution519 Distributors – Other524 Discount & Super Stores and Warehouses525 e-commerce (from Apr 2000)526 Retailers – Hardlines527 Retailers – Multi Department528 Retailers – Soft Goods532 Gaming535 Home Entertainment536 Hotels538 Leisure Facilities542 Broadcasting Contractors543 Cable & Satellite545 Media Agencies546 Photography547 Publishing & Printing560 Restaurants, Pubs & Breweries581 Business Support Services583 Education, Business Training & Employment Agencies584 Environmental Control585 Funerals & Cemeteries586 Laundries & Cleaners588 Security & Alarm Services 591 Airlines & Transport596 Rail, Road & Freight597 Shipping & Ports630 Food & Drug Retailers673 Fixed-Line Telecommunication Services678 Wireless Telecommunication Services720 Electricity 730 Gas Distribution780 Water810 Banks833 Insurance Brokers834 Insurance – Non-Life836 Insurance, Lloyd's Funds837 Re-insurance839 Other Insurance840 Life Assurance850 Investment Companies851 International Investment Trusts852 UK Investment Trusts854 European Investment Trusts855 Geographical Specialists – Developed Markets856 Emerging Markets857 Venture & Development Capital859 Investment Companies - Not approved under s.842862 Real Estate Holding & Development864 Property Agencies867 Real Estate Investment Trusts
51
871 Asset Managers873 Consumer Finance875 Investment Banks877 Mortgage Finance879 Other Financial892 Housing Income Investment Trusts893 Open-Ended Investment Companies894 Off-Shore Investment Companies & Funds895 Venture Capital Trusts897 Currency Funds898 Other S.842 Investment Trusts899 Split Capital Investment Trusts932 Computer Hardware936 Semiconductors938 Telecommunications Equipment972 Computer Services 974 Internet977 Software
52
11. Appendix B1: FTA Indices and Industry Codes (to Dec 1993)
The FTA indices include an index value (capital gains only), together with separate earnings yield and dividend yield series. Thus LSPD index number 51 contains index values for the FTA Capital Goods Group Index, with the associated earnings yield in index number 52 and dividend yield in index number 53.
51 CAPITAL GOODS GROUP Apr-62 Dec-9354 Building Materials Apr-62 Dec-9357 Contracting, Construction Apr-62 Dec-9360 Electricals (ex Light Electronics) Apr-62 Dec-8060 Electricals (ex Radio, TV) Jan-81 Dec-9363 Engineering (Heavy) Jan-72 Dec-8366 Engineering (General) Jan-72 Dec-7766 Mechanical Engineering Jan-78 Dec-7969 Machine Tools Apr-62 Dec-7772 Miscellaneous (Capital Goods) Apr-62 Dec-7772 Metals and Metal Forming Jan-78 Dec-9375 CONSUMER GOODS (DURABLE) GROUP Apr-62 Dec-8075 CONSUMER GROUP Jan-81 Dec-9378 Light Electronics, Radio, TV Apr-62 Dec-8081 Household Goods Apr-62 Dec-8084 Motors and Distributors Apr-62 Dec-8084 Motors Jan-81 Dec-9387 CONSUMER GOODS (NON-DURABLE)
GROUPApr-62 Dec-80
87 CONSUMER GROUP Jan-81 Dec-9390 Breweries Apr-62 Dec-8090 Brewers & Distillers Jan-81 Dec-9393 Wines and Spirits Jan-70 Dec-8096 Entertainment, Catering Apr-62 Dec-8096 Leisure Jan-81 Dec-9096 Hotels and Leisure Jan-91 Dec-9399 Food Manufacturing Apr-62 Dec-93102 Food Retailing Jan-68 Dec-93105 Newspapers, Publishing Apr-62 Dec-85105 Publishing and Printing Jan-86 Dec-90108 Paper and Packaging Apr-62 Dec-86108 Packaging and Paper Jan-87 Mar-91108 Packaging, Paper and Printing Apr-91 Dec-93111 Stores Apr-62 Dec-93114 Textiles Apr-62 Dec-93117 Tobacco Apr-62 Dec-86120 Toys and Games Jan-70 Dec-80123 Chemicals Apr-62 Dec-93126 Office Equipment Jan-70 Dec-86129 Shipping Apr-62 Dec-80129 Shipping & Transport Jan-81 Mar-89129 Transport Apr-89 Dec-93132 Miscellaneous (Unclassified) Apr-62 Dec-80
53
132 Miscellaneous Jan-81 Dec-93135 INDUSTRIAL GROUP Jan-71 Dec-93138 Oil Apr-62 Dec-85138 OIL AND GAS Jan-86 Dec-93141 500 SHARE INDEX Apr-62 Dec-93144 FINANCIAL GROUP Apr-62 Dec-93147 Banks Apr-62 Dec-93150 Discount Houses Apr-62 Dec-84153 Hire Purchase Apr-62 Dec-81156 Insurance (Life) Apr-62 Dec-93159 Insurance (Composite) Apr-62 Dec-93162 Insurance Brokers Jan-68 Dec-93165 Merchant Banks Apr-62 Dec-93168 Property Apr-62 Dec-93171 Miscellaneous (Financial) Jan-71 Dec-81171 Other Financial Jan-82 Dec-93174 Investment Trusts Apr-62 Dec-93177 ALL-SHARE INDEX Apr-62 Dec-93180 Rubbers Apr-62 Dec-76183 Teas Apr-62 Dec-76186 Coppers Apr-62 Dec-76189 Mining Finance Jan-68 Dec-89192 Tins Apr-62 Dec-76210 Steel Apr-62 Jun-67213 Rubber Manufacturing Apr-62 Dec-69216 Miscellaneous (Durable) Apr-62 Dec-69219 Miscellaneous (Non-Durable) Apr-62 Dec-69222 Lead-Zincs Apr-62 Dec-67225 Aircraft Apr-62 Dec-71228 Engineering Apr-62 Dec-71231 Shipbuilding Apr-62 Dec-70237 Overseas Traders Jan-75 Dec-90240 OTHER GROUP Jan-78 Dec-93243 Pharmaceutical Products Jan-78 Dec-80243 Health and Household Products Jan-81 Dec-93246 Other Industrial Materials Jan-81 Sep-92246 Other Industrials Oct-92 Dec-93249 Other Consumer Jan-81 Dec-84255 Electronics Jan-84 Dec-93258 Telephone Networks Dec-84 Dec-93261 Agencies Jan-87 Dec-90264 Conglomerates Jan-87 Dec-93267 Water Jan-89 Dec-93270 Engineering - Aerospace Jan-90 Dec-93273 Engineering - General Jan-90 Dec-93276 Media Jan-91 Dec-93279 Business Services Jan-91 Dec-93282 Electricity Jan-91 Dec-93
54
12. Appendix B2: FTSEA Indices and Industry Codes (Jan 1994 -)
The FTSEA indices include an index value (capital gains only), together with separate earnings yield,dividend yield, price earnings ratio, xd adjustment and total return series. Thus LSPD index number 400 contains index values for the FTA Mineral Extraction Group Index, with the associated earnings yield in index number 401, dividend yield in index number 402, price earnings ratio in index number 403, xd adjustment in index number 404 and total return series in index number 405.
400 MINERAL EXTRACTION Jan-94 Mar-99400 RESOURCES Apr-99 Dec-99406 Extractive Industries Jan-94 Mar-99406 Mining Apr-99 Dec-99412 Oil, Integrated Jan-94 Mar-99412 Oil & Gas Apr-99 Dec-99418 Oil Exploration & Production Jan-94 Mar-99424 GENERAL MANUFACTURERS Jan-94 Mar-99424 GENERAL INDUSTRIALS Apr-99 Dec-99430 Building & Construction Jan-94 Mar-99436 Building Materials & Merchants Jan-94 Mar-99436 Construction & Building Materials Apr-99 Dec-99442 Chemicals Jan-94 Dec-99448 Diversified Industrials Jan-94 Dec-99454 Electronic & Electrical Equipment Jan-94 Dec-99460 Engineering Jan-94 Mar-99460 Engineering & Machinery Apr-99 Dec-99466 Engineering, Vehicles Jan-94 Mar-99466 Automobiles Apr-99 Dec-99472 Printing, Paper & Packaging Jan-94 Mar-99472 Packaging Apr-99 Dec-99478 Textiles & Apparel Jan-94 Mar-99484 CONSUMER GOODS Jan-94 Mar-99484 CYCLICAL CONSUMER GOODS Apr-99 Dec-99490 Breweries Jan-94 Mar-99490 Restaurants, Pubs & Breweries Apr-99 Dec-99496 Spirits, Wines & Ciders Jan-94 Mar-99496 Beverages Apr-99 Dec-99502 Food Manufacturers Jan-94 Mar-99502 Food Producers & Processors Apr-99 Dec-99508 Household Goods Jan-94 Mar-99508 Household Goods & Textiles Apr-99 Dec-99514 Health Care Jan-94 Mar-99514 Health Apr-99 Dec-99520 Pharmaceuticals Jan-94 Dec-99526 Tobacco Jan-94 Dec-99532 SERVICES Jan-94 Mar-99532 CYCLICAL SERVICES Apr-99 Dec-99538 Distributors Jan-94 Dec-99544 Leisure & Hotels Jan-94 Mar-99544 Leisure, Entertainment & Hotels Apr-99 Dec-99
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560 Media Jan-94 Mar-99560 Media & Photography Apr-99 Dec-99566 Retailers, Food Jan-94 Mar-99566 Food & Drug Retailers Apr-99 Dec-99572 Retailers, General Jan-94 Mar-99572 General Retailers Apr-99 Dec-99578 Support Services Jan-94 Dec-99584 Transport Jan-94 Dec-99590 Other Services & Businesses Jan-94 Mar-99596 UTILITIES Jan-94 Dec-99602 Electricity Jan-94 Dec-99608 Gas Distribution Jan-94 Dec-99614 Telecommunications Jan-94 Mar-99614 Telecommunication Services Apr-99 Dec-99620 Water Jan-94 Dec-99626 Non-Financials Jan-94 Dec-99632 FINANCIALS Jan-94 Dec-99638 Banks Jan-94 Dec-99644 Insurance Jan-94 Dec-99650 Life Assurance Jan-94 Dec-99656 Merchant Banks Jan-94 Mar-99662 Other Financial Jan-94 Mar-99662 Speciality & Other Finance Apr-99 Dec-99668 Property Jan-94 Mar-99668 Real Estate Apr-99 Dec-99674 INVESTMENT TRUSTS Jan-94 Mar-99674 Investment Companies Apr-99 Dec-99734 BASIC INDUSTRIES Apr-99 Dec-99740 Forestry & Paper Apr-99 Dec-99746 Steel & Other Metals Apr-99 Dec-99752 Aerospace & Defence Apr-99 Dec-99758 NON-CYCLICAL CONSUMER GOODS Apr-99 Dec-99764 Personal Care & Household Products Apr-99 Dec-99770 NON – CYCLICAL SERVICES Apr-99 Dec-99776 INFORMATION TECHNOLOGY Apr-99 Dec-99782 Information Technology Hardware Apr-99 Dec-99788 Software & Computer Services Apr-99 Dec-99
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