SIRCA and RP Data Academic Partnership Announced

SIRCA and RP Data to create a new world of property data for students and researchers at Australia and New Zealand’s leading universities

Today SIRCA agreed to partner with RP Data to provide researchers from leading Universities with access to Australia’s largest property data collection. “Australia’s housing market is the most valuable and important asset class in the nation, worth an estimated $4.7 trillion. There is a natural appetite from academic institutions both domestically and around the world to gain access to data from Australia’s largest property database and analytics via their SIRCA affiliation” said Mike Briers, CEO of SIRCA.

“Better data leads to better research and ultimately better Government policy and importantly more efficient private sector investment” noted Professor Terry Walter, Chief Research Officer, SIRCA.  RP Data wants to ensure students and academics can gain exposure to Australia’s leading suite of property related analytics as well as raw data which can be used to further the analysis of property markets nationally.

Click here for the full press release

Click here for more information on RP Data

Chi-X data now available in the Data Library!

Chi-X Australia data are now available in the Data Library. These data contain an historical archive of order book tick history for trading on the Australian Chi-X Exchange (Chi-X), which dates back to the commencement of the exchange on 25th October 2011.

These data are made available under license from Chi-X for the purposes of academic research.

Please contact us if you would like to gain access to these data.

Corporate Governance Database now available on the Member Portal

The Corporate Governance Database is now available via the Sirca Member Portal.

The latest edition contains Corporate Governance information for ASX listed companies with balance sheet dates to June 2011. Data collection is ongoing so information for companies with later balance sheet dates will appear in subsequent updates.

Sirca would like to thank the members who assisted with the beta testing of the interface and dataset. Users are invited to enhance this new resource either by contributing new data or by helping to improve existing records.

Members are advised to pay close attention to the product documentation located via the Help button. If anyone requires assistance please be sure to lodge your enquiry via the Helpdesk function in the Member Portal.

Update to the TRTH API for R

For all those interested, we have released an update to the R API. This update simplifies the submitRequest and submitFTPRequest functions where it is now easier to input your message types and fields.

Please contact us if you would like the updated install file.

If you would like to hear more about this as well as our other APIs for TRTH let us know.

Sirca Data Library and Core Research Data (CRD)

Some Sirca members may have noticed the new addition to the Sirca Product Portal recently. The Data Library is a recent addition to help facilitate access to our smaller and less complex datasets that do not require a tailor made user interface. The Data Library is a flexible way for us to add future collections of files that customers can download readily.

The Core Research Database (CRD) is the first inclusion through this portal. The CRD was previously encrypted and accessible through a separate login that wasn’t widely available. It can now be accessed using your regular Sirca login.

The CRD contains historical daily trading information including total volume, value and number of trades, and the high, low and close price for each stock listed on the ASX, including dilution information. This data is available from mid-1983 to the present. Members are able to manipulate this data in any manner that they wish to conduct research. E.g. Daily returns can be calculated from the information provided.

Please contact us if you would like more information.

ASX PureMatch

Continuing the theme of adding new Australian equities coverage to our Ausequities database, we confirm that the new ASX PureMatch feed will be incorporated into Ausequities. We need to complete a few tasks to get this feeding into Ausequities, we estimate that this will be achieved by end January 2012.

AusEquities will show the PureMatch instrument code with an “_APM” suffix, for example BHP_APM, which will show the PureMatch market data for that instrument. We will post again when this work is complete.

Chi-X Australia data available to Sirca members

Sirca is pleased to announce that it has been capturing and archiving full order-book market data from Chi-X Australia from its launch date on 31st October 2011. The relationship with Chi-X marks new territory for Sirca, being the first time we have built the infrastructure to capture market data in real time from a trading venue.

It is our plan to make Chi-X market data available to members alongside ASX data in the Australian Equities service so that market data can be requested from both venues using a familiar interface. Watch for this to become available in 2012.

If you are interested in having early access to the raw Chi-X market data (which is in a format similar to NASDAQ ITCH), please contact us.

Australian Company Announcements / Searching

The enhanced searching features advised in an earlier announcement are now operational for SIRCA’s Australian Company Announcements (ACA) data set. ACA’s search syntax now lets you construct complex queries. The examples below show some of the things you can do.

Entering one or more words in the search field makes ACA search for documents that contain any of the words. For example, searching for

earnings quarterly

will return documents that contain either of both of the words “quarterly” and “earnings”.

You can specify that a particular word must or must not appear in search results by prefixing it with a “+” or “-” respectively. For example, searching for

+mining exploration -gold

will only return documents that contain the word “mining” and do not contain the word “gold”. Results may or may not contain the word “exploration”, but those that do will be considered more relevant and will appear first in the results list.

Searches can also combine words using the AND and OR keywords (NB: These must be entered in caps). In addition, parentheses can be used to group search terms. For example, searching for

kalgoorlie AND (gold OR silver)

will return documents that contain the word “kalgoorlie” and either or both of “gold” or “silver”.

It is possible to search for a phrase by enclosing it in quotes. For example, searching for

"chinese government"

will only return documents that contain that exact phrase.

You can use the wildcard characters “*” (to match any number of letters) or “?” (to match a single letter). For example, searching for

chin*

will match “china” and “chinese”, as well as any other word starting with “chin”. Wildcard characters can be used at the end of a search term or in the middle, but not at the start.

You can even do fuzzy and proximity searches.

A fuzzy search finds matches like the string you define rather than exactly that string. For instance, a fuzzy search for “gold” might find “sold”, “bold”, “told”, “sole” depending upon the degree of fuzziness implemented. The degree of fuzziness is a parameter you can specify.

gold~

is how you request a fuzzy search for “gold” and

gold~0.8

defines a degree of fuzziness. Values closer to one are more precise and those nearer to zero are less precise. The default value, when no degree is specified, is 0.5.

A proximity search finds matches where words are within a specific number of words from each other. For example you may wish to find announcements with “cash” and “share” within six words of each other. Then you would specify

cash share”~6

ACA’s search functions are now implemented using Apache Lucene. See the Lucene Documentation for a complete description of the search syntax.

In addition to the new search capabilities, ACA now delivers all available text conversions as part of the Download Results link. Previously that link only delivered PDF files when these were available. Now, the text conversions of those files are also provided.

Researchers should note these conversions are not always accurate. Text conversions result from a process that does its best to find usable text in PDF documents. The worst conversions are not used but some degree of errors must be accepted in order to make text searching possible. So do not expect these text conversions to be error free. The original PDFs are provided so you can correct errors in announcement conversions that are particularly important to you.

Despite these realities, we are sure access to our text conversions means will you now be better able to routinely process Australian company announcements for statements that are most relevant to your research. The new targeting tools should help you find those announcements more quickly.

Risk Measurement Service

Researchers interested in determining cost of capital or hurdle rates for Australian equity will be pleased to know SIRCA can now deliver systematic risk or beta estimates for Australia over a long history.

The Risk Measurement Service (RMS) is a quarterly subscription service that started in 1983 when it was created and produced by the Centre for Research in Finance (CRIF) at the Australian Graduate School of Management (AGSM) in the University of New South Wales (UNSW). After also being produced within the Australian School of Business (ASB) at UNSW, the RMS continues today at SIRCA.

Electronic versions of the RMS are available from 1987. These contain systematic risk or beta estimates for any company with listed fully paid shares and a sufficiently long trading history to form estimates. Beta estimates are provided both for individual companies/trusts and for broader industry and sector categories. RMS beta estimates are determined from an excess return implementation of the Capital Asset Pricing Model (CAPM) over rolling 48 month estimation windows.

The RMS is ideally suited to researchers interested in estimating cost of equity capital, or gauging investment risk for shareholders, or in adjusting portfolio investments to prepare for anticipated market fluctuations. Its long and respected history makes the RMS an important resource for researchers interested in assessing perceptions of risk in the past, or determining equity capital costs from a previous era.

Researchers interested in learning more about the RMS should contact SIRCA directly at sirca@sirca.org.au.

Sirca / Share Price & Price Relative database

In 2010, Sirca and the University of New South Wales entered into an agreement to migrate the production of databases previously undertaken by the Australian Business School based Centre for Research in Finance to Sirca. This included the impressive Australian share price and price relative (SPPR) database.

SPPR is an historical record of share prices and calculated price relatives of all Australian listed and previously listed companies with fully paid shares.

For each company, the share price, dividends, adjustments for share issues and reconstructions, number of shares on issue and price relatives are held on a monthly basis. Pertinent company and trading information is also supplied. The SPPR covers the period from December 1973 to December 2010. It includes earlier price relatives for a smaller subset of companies, some back as far as 1958.

The SPPR is updated annually, at present updates are sent to subscribers on a DVD. New subscribers receive the full history, as well as ongoing updates. Sirca is obviously planning to make this database avialable on-line as an option on the Sirca product portal; at present access to SPPR is not included as part of standard Sirca membership.

Further details about the database can be accessed here.

SPPR is an important resource which enables researchers to factor historical realities into their work thus making point-in-time databases which tend to reflect the way a market was structured and constituted on a specific date, much more valuable and accessible for their research. SPPR therefore enables researchers to use historical records as part of contemporary research by using the database’s persistent identifiers, thus allowing users to move backwards and forwards through entity changes. This obviously helps address some of the usual concerns of data bias caused by the omission of data pertaining to delisted entities.

An increasing number of universities also rely on the entity tracking part of SPPR by making this the back bone to the way they link data pertaining to individual active and delisted companies, to data sourced from other databases.