ANNUAL REVIEW - Australian Centre For Financial Studies

Australian Equities
Database
The Melbourne Centre for Financial Studies,
together with ANZ Trustees, has developed a
unique digital database of Australian Equities
for the years 1966 to 1980. The database will
present monthly pricing, capital, earnings,
dividend, turnover, and related data for all
listed industrial companies and major mining
and oil companies.
The database is designed to fill gaps
which presently exist in available electronic
databases of Australian shares as well as to
provide a more comprehensive base for the
analysis of portfolio formation strategies and
capital asset pricing models.
The period covered by the database
is a fascinating one, where the economy
experienced the triple 1970s extremes of
negative real interest rates, double digit
inflation and arguably the most volatile equity
prices seen last century.
MCFS reviewed both the range of
data sources available and the best available
technology for extracting and recording
data for this period. Currently available
library, microfiche or commercial databases
50
40
30
20
100
-10
-20
-30
-40
-50
Jan-67
Jan-69
Jan-71
Jan-73
Jan-75
Jan-77
Jan-79
Jan-81
Jun-66
Jun-68
Jun-70
Jun-72
Jun-74
Jun-76
Jun-78
Jun-80
for the period are limited in range of
information as well as in accessibility of data.
Technological options reviewed have included
manual extraction, microfiche extraction,
photocopying, imaging and scanning / OCR.
The preferred option of scanning and then
digitising the information to MS Excel using
OCR technology was found to be non-feasible.
Preparation of the Australian Equities
Database (AED) consisted of the following
stages:
• Local imaging of the hard copy published
data.
• Extraction of the original data by way of
independent, double-keyed entry to an MS
Excel spreadsheet format.
• Database consolidation and structuring
• Identification of equity capital changes
• Estimation of database extensions (eg.
‘value’ ratios); estimation of individual
equity and market Price Index (PI) and
Accumulation Index (AI) measures.
The database incorporates a total of
1,748 companies and presents monthly data
for measures such as number of shares on
Market Annual % Price Change Real 10 Year Bond Yield % pa CPI % pa
6.0
18 %
16
4.0
14
4.0
12
0.0
10
-2.0
8
6
-4.0
4
-6.0
2
-8.0 0
Jul-66
Jul-68
Jul-70
Jul-72
Jul-74
Jul-76
Jul-78
Jul-80
issue, face value of shares, reported earnings
per share, net tangible assets per share,
dividend declared, dividend payment dates,
dividend yield, monthly turnover of each
equity, and price (low, high and closing).
This basic data enabled preparation
of the following ‘extension’ estimates: market
capitalisation and weighting, risk and equity
returns, price and accumulation index,
dividend yield, dividend payout ratio, price /
earnings ratio, book to market ratio and stock
turnover rates.
Appropriate portfolio risk and
return estimates, together with Price and
Accumulation Indexes, are estimated at
market level and for each company.
The database is then being applied to
a Portfolio Formation Model which is capable
of accurate and detailed sensitivity testing
of risk and return outcomes for alternative
portfolio strategies. The model developed
is capable of identifying factor-return and
factor-risk relationships. The model estimates
separate return, risk and equity characteristic
for every equity and every portfolio at
every time point across the 15 year period,
identifying the company constituents of
each portfolio generated. The model is
capable of generating both capital-weighted
and un-weighted portfolio estimates and is
capable of identifying top 50, 200, 500 or
total list groupings by month.
The project has been conducted for
MCFS by its long-time Research Fellow John
Fowler.
CASE STUDY 5
13