Caveat compounder: A warning about using the daily CRSP equal-weighted index to compute long-run excess returns

• 成果类型: Article
• 署名作者: Canina, L; Michaely, R; Thaler, R; Womack, K
• 署名单位: Cornell University; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.165353
• 发表日期: 1998
• 页码: 403-416
• 关键词: MARKET OVERREACTION; anomalies; premium; biases; drift

摘要

This paper issues a warning that compounding daily returns of the Center for Research in Security Prices (CRSP) equal-weighted index can lead to surprisingly large biases. The differences between the monthly returns compounded from the daily tapes and the monthly CRSP equal-weighted indices is almost 0.43 percent per month, or 6 percent per year. This difference amounts to one third of the average monthly return, and is large enough to reverse the conclusions of a paper using the daily tape to compute the return on the benchmark portfolio. We also investigate the sources of these biases and suggest several alternative strategies to avoid them.