Abstract
The database contains daily market data from 1973 until 2011 and is constructed by joining two main digital sources and several other hand-collected data sources. We analyzed and developed semi-automatic tools to deal with problems related to time-series matchings, quality of data and numerical errors. We also developed a concatenation structure to allow the handling of company name changes, mergers, and stock splits without altering artificially numerical series. At the same time, we controlled to maintain transparent the historical information on each individual listed company. Thanks to the overlapping of digital and hand-collected data, the completed database has a very high level of detail and accuracy. The dataset is particularly suited for any empirical research in financial economics and for more practical oriented numerical applications and forecasting simulations.