Finance, Economics & Accounting
Empirical studies need good data sources; yet such data sources are expensive; either in the time that is dedicated to gathering information or in the actual funds expended to obtain user friendly databases such as those provided by Wharton Research (wrds.) at the University of Pennsylvania. Many authors must expend the time to obtain data because funding is not available to obtain more expensive databases. The question then becomes "Which publicly available data source should one use or are the data obtained from different publicly available sources the same?" This study compares parameters estimated from daily returns for a sample of firms using data obtained from NASDAQ with the same parameters estimated from data obtained from Yahoo Finance. Expectations were that the results would be quite similar and, with minor exceptions, expectations are correct.
Clayton, R., & Schmidt, B. (2017). Are Capital Market Parameters Estimated from Yahoo Finance and Nasdaq Data the Same? Banking & Finance Review, 9(1), 27–46.