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The Delisting Bias in CRSP Data
The Journal of Finance
Vol. 52, No. 1 (Mar., 1997), pp. 327-340
Stable URL: http://www.jstor.org/stable/2329566
Page Count: 14
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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.
The Journal of Finance © 1997 American Finance Association