Keywords
delisting bias, Nasdaq returns, size effect
Abstract
We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of −55 percent for missing performance-related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that there ever was a size effect on Nasdaq. Our results are inconsistent with most risk-based explanations of the size effect.
Original Publication Citation
The Delisting Bias in CRSP's Nasdaq Data and its Implications for the Size Effect, 1999, Journal of Finance
BYU ScholarsArchive Citation
Shumway, Tyler and Warther, Vincent A., "The Delisting Bias in CRSP’s Nasdaq Data and Its Implications for the Size Effect" (1999). Faculty Publications. 9279.
https://scholarsarchive.byu.edu/facpub/9279
Document Type
Peer-Reviewed Article
Publication Date
1999
Publisher
Journal of Finance
Language
English
College
Marriott School of Business
Department
Finance
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