Hello everybody,  

once again I neeed to seek help from my beloved community. 

I am writing my master thesis and I cannot advance further. I have a problem with the dataset I download using the Refinitiv Eikon Datastream add-on for Excel. 

Mainly the prices from the dataset are wrong. I don't know why. 

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I am using 2 datasets, which I merge. One dataset including stock prices, market value and ESG ratings. The other i downloaded from Kenneth French website and includes the Fama-French factors and the riskfree rate.

I run the CAPM regression to start with. I regress the excess returns, calculated from prices, on the market return, given by fama and french.

Firstly, I used daily data. With daily data I obtained good results. However, I want to change to monthly data for a couple of reasons. Using monthly data I obtain no significance. 

Therefore, I downloaded the monthly stock prices for a couple of firms from yahoo finance. Using those I obtain significant results again. 

The monthly prices differ slightly, but sometimes result in very varying returns. How can that be?  
Has someone an idea why the prices are different? 

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Thank you for reading!

Best greetings!