The delisting bias in CRSP's Nasdaq data and its implications for the size effect

• 成果类型: Article
• 署名作者: Shumway, T; Warther, VA
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00192
• 发表日期: 1999
• 页码: 2361-2379
• 关键词: Market microstructure; returns; anomalies; earnings; NYSE

摘要

We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are la;ge 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.