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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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| Published in: | The Journal of finance (New York) 1997-03, Vol.52 (1), p.327-340 |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c4198-cd845e3911c9e283f2f35365f7d7fca456055e3325db785271fa52eda9235c023 |
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| cites | cdi_FETCH-LOGICAL-c4198-cd845e3911c9e283f2f35365f7d7fca456055e3325db785271fa52eda9235c023 |
| container_end_page | 340 |
| container_issue | 1 |
| container_start_page | 327 |
| container_title | The Journal of finance (New York) |
| container_volume | 52 |
| creator | SHUMWAY, TYLER |
| description | 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. |
| doi_str_mv | 10.1111/j.1540-6261.1997.tb03818.x |
| format | article |
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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. 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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.</description><subject>Bank stocks</subject><subject>Bankruptcy</subject><subject>Bankruptcy reorganization</subject><subject>Bias</subject><subject>Codes</subject><subject>Data bases</subject><subject>Data lines</subject><subject>Economic information</subject><subject>Financial portfolios</subject><subject>Financial securities</subject><subject>Investments</subject><subject>Magnets</subject><subject>Nasdaq Composite Index</subject><subject>Over the counter stock</subject><subject>Rates of return</subject><subject>Securities analysis</subject><subject>Security prices</subject><subject>Shorter Papers</subject><subject>Stock exchanges</subject><subject>Stock market delistings</subject><subject>Stock prices</subject><subject>Stock returns</subject><subject>Studies</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1997</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqVkF1PwjAUhhujiYj-Bhdi4tVmP9Z19UoFQdQIKmrCzUkZnW4OhuuI8O_tMkKMd56Ltkmf923zINQi2CN2zlKPcB-7AQ2IR6QUXjnBLCSht9pBje3VLmpgTKlLcEj30YExKa6G8wY6Hn1op6OzxJTJ_N25SpRxkrnTfnoeOh1VqkO0F6vM6KPN3kQv3etR-8a9H_T67ct7N_KJDN1oGvpcM0lIJDUNWUxjxlnAYzEVcaR8HtjXNGOUTyci5FSQWHGqp0pSxiNMWROd1r2LIv9aalPCLDGRzjI11_nSQMgk9ikNmCVbf8g0XxZz-zkg0hfEl34FnddQVOTGFDqGRZHMVLEGgqEyBylUeqDSA5U52JiDlQ1f1OHvJNPrfyThdtDtV0dbcVJXpKbMi98VlGFhFyp5EFjMrTGrX6-2mCo-IRBMcHh76MH48U4Ox-NX6LAfIjuMvw</recordid><startdate>199703</startdate><enddate>199703</enddate><creator>SHUMWAY, TYLER</creator><general>Blackwell Publishing Ltd</general><general>American Finance Association</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>199703</creationdate><title>The Delisting Bias in CRSP Data</title><author>SHUMWAY, TYLER</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4198-cd845e3911c9e283f2f35365f7d7fca456055e3325db785271fa52eda9235c023</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1997</creationdate><topic>Bank stocks</topic><topic>Bankruptcy</topic><topic>Bankruptcy reorganization</topic><topic>Bias</topic><topic>Codes</topic><topic>Data bases</topic><topic>Data lines</topic><topic>Economic information</topic><topic>Financial portfolios</topic><topic>Financial securities</topic><topic>Investments</topic><topic>Magnets</topic><topic>Nasdaq Composite Index</topic><topic>Over the counter stock</topic><topic>Rates of return</topic><topic>Securities analysis</topic><topic>Security prices</topic><topic>Shorter Papers</topic><topic>Stock exchanges</topic><topic>Stock market delistings</topic><topic>Stock prices</topic><topic>Stock returns</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>SHUMWAY, TYLER</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>SHUMWAY, TYLER</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Delisting Bias in CRSP Data</atitle><jtitle>The Journal of finance (New York)</jtitle><date>1997-03</date><risdate>1997</risdate><volume>52</volume><issue>1</issue><spage>327</spage><epage>340</epage><pages>327-340</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>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.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1540-6261.1997.tb03818.x</doi><tpages>14</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 1997-03, Vol.52 (1), p.327-340 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_839042263 |
| source | International Bibliography of the Social Sciences (IBSS); Wiley-Blackwell Read & Publish Collection; JSTOR Archival Journals |
| 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 |
| title | The Delisting Bias in CRSP Data |
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