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The Delisting Bias in CRSP Data
Open accessAbstract
I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists 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.
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The Rate of Return on Everything, 1870–2015*
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Metadata
- Authors
- SHUMWAY, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1997-03
- Volume
- 52
- Issue
- 1
- Pages
- 327-340
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W1995409889
- Cited by
- 1,007
- References
- 0
- FWCI
- 12.11
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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