A return is the change in the total value of an investment in the security over some period of time per dollar of initial investment. Holding Period Total Return is the return for a sale on the given day. It is based on a purchase on the most recent time previous to this day when the security had a valid price. Usually, this time is the previous calendar period.
Daily: In daily databases, dividends are reinvested on the Ex-Distribution Date.
Monthly: In monthly databases, returns are holding period returns from month-end to month-end, not compounded from daily returns, and ordinary dividends are reinvested at month-end.
A series of special missing return codes specify the reason a return is missing.
Code
Reason For Missing Return
-66.0
Valid current price but no valid previous price. Either first price, unknown exchange between current and previous price, or more than 10 periods between time t and the time of the preceding price t'.
-77.0
Not trading on the current exchange at time t.
-88.0
Outside the security's price range.
-99.0
Missing return due to missing price at time t; usually due to suspension in trading or trading on unknown exchange.
Highest Close
Daily: Highest daily closing price within the selected output calendar.
Monthly: Highest month end closing price within the selected calendar. Appropriate to use with quarterly and annual output calendars.
Holding Period Total Return
A return is the change in the total value of an investment in the security over some period of time per dollar of initial investment. Holding Period Total Return is the return for a sale on the given day. It is based on a purchase on the most recent time previous to this day when the security had a valid price. Usually, this time is the previous calendar period.
Daily: In daily databases, dividends are reinvested on the Ex-Distribution Date.
Monthly: In monthly databases, returns are holding period returns from month-end to month-end, not compounded from daily returns, and ordinary dividends are reinvested at month-end.
A series of special missing return codes specify the reason a return is missing.
ret/0
mret/0
/pr, /dd, /dr, /dx