Understanding variables in Compustat's short interest file

[Glen Young]

Hi,

 

I’m a PhD student using the supplemental short interest file available through Compustat on WRDS (SEC_SHORTINT). My goal is to merge this file with shares outstanding to create a variable of scaled short interest, the number of shares held short divided by shares outstanding. To do this, I am trying to understand the meaning of two fields—SHORTINTADJ and SPLITADJDATE. The description for SHORTINTADJ is “Shares Held Short as of Settlement Date – Adjusted”. The description for SPLITADJDATE is “Month End Split Adjustment Date”. Can anyone tell me:

What do these two descriptions mean? How are these fields related? 

How can I reliably add shares outstanding in order to create a variable of short interest, scaled by shares outstanding? 

Unfortunately, there is no explanation or even discussion of this dataset or these variables in any of the manuals on WRDS. Any light anyone can shed would be much appreciated!

 

Thanks,

Glen

[joost impink]

hi Glen,

The adjusting of prices and #shares over time is related to (reverse) stock splits. 1 share isn't the same thing before vs after a stock split. The adjustment factor helps to construct measures over time.

It is probably a good idea to find a stock in your sample that has had several stock splits over some time to see how these variables work. Maybe there is a more direct way to do it, but I usually look at crsp.dsf which has SHROUT (Shares Outstanding) and CFACSHR (Cumulative Factor to Adjust Shares/Vol). For each firm, 'recent' observations have an adjustment factor of 1; going back in time when splits occur, the factor goes up (both stock price and #shares change at that date). I would expect you can match the short interest dataset with crsp.dsf on the splitadjdate; I'm not sure if you would need to adjust the shares outstanding (but inspection of a few stock with splits will probably be clear). Let us know how it goes.

Best Regards,

Joost