Handling Missing Compustat Values in Tobin’s Q Calculations
Summary
The document discusses missing quarterly Compustat inputs when calculating Tobin’s Q and cautions against replacing unavailable values with zero. Missingness can reflect the underlying data model: for example, current asset fields may not apply to banks and similar financial institutions. Because these firms operate differently from other businesses, a conventional Tobin’s Q calculation may not have the same meaning for them.
Possible responses include defining a bank-specific measure, using total assets, or constructing current assets from available component accounts. When a field is absent because a filing or release is incomplete, the response suggests using the most available quarterly or annual value. That fallback requires care: similarly named annual and quarterly fields can have different definitions. The document offers data-handling guidance, but does not set out a universal formula, validate alternatives, or specify how to handle cases where no reliable substitute exists.
Key ideas
- Do not assume a missing Compustat value equals zero when calculating Tobin’s Q.
- Some fields are unavailable for banks because their operating models and data classifications differ.
- Consider a sector-appropriate measure or alternative asset fields when the standard inputs do not apply.
- For incomplete filings, a more available quarterly or annual value may serve as a fallback.
- Check field definitions before substituting annual data for quarterly data, since names may match while meanings differ.
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# Tobin's Q calculation using Compustat # Tobin's Q calculation using Compustat I am calculating tobin's Q every quarter using the CRSP/Compustat quarterly dataset. Unfortunately, there are many missing values for the variables used in the tobin's Q formula. for example, if current asset (actq) is missing, there is no tobin's Q. Can I just set/assume this to be 0 and carry on with the computation? ## Answer by David Addison (score 2, accepted) https://quant.stackexchange.com/a/38061 Compustat data is idiosyncratic depending on the data model. In its current form, it is a culmination of legacy data models for industrials, utilities, and banks. The industrials data model is the standard throughout the merged CRSP database as well as Xpressfeed. So the short answer is no, one cannot assume 0 in the presence of an N/A value. To your example, ACT and ACTQ are not available for banks and similar financial institutions. Thus, in the case of banks, Tobin's Q will not have the same meaning as for other companies since banks do not really have the same operating model as other businesses (e.g., cash received into deposit accounts is held as a liability instead of an asset). In fact, it may be advisable to define Tobin's Q differently for banks. As an alternative, it is common to compare tangible assets with the total market values of all equity plus liabilities. Otherwise, you may use Assets - Total (AT / ATQ) or sum up the individuals accounts usually found under current assets (i.e., Cash & Equiv; Inventories; Receivables; and Other Current Assets). Also, it is possible that N/A will be encountered due to incomplete releases and regulatory filings. In this case, it is usually considered best practice to fallback to the most available quarterly or annual value. A final caveat to the fallback mechanism is that not all equivalently named annual and quarterly items have the same definition. For examples Non-current Assets (AO / AOQ) are comprised of different entries on quarterly and annual basis. Please let me know if this helps.
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