The Delisting Bias in CRSP Data

I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delist for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been d...

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Bibliographic Details
Published in:The Journal of finance (New York) 1997-03, Vol.52 (1), p.327-340
Main Author: SHUMWAY, TYLER
Format: Article
Language:English
Subjects:
Bank stocks
Bankruptcy
Bankruptcy reorganization
Bias
Codes
Data bases
Data lines
Economic information
Financial portfolios
Financial securities
Investments
Magnets
Nasdaq Composite Index
Over the counter stock
Rates of return
Securities analysis
Security prices
Shorter Papers
Stock exchanges
Stock market delistings
Stock prices
Stock returns
Studies
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Summary:I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delist for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over-the-counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1997.tb03818.x