Accounting Information Free of Selection Bias: A New UK Database 1953-1999

36 Pages Posted: 6 Oct 2001

See all articles by Stefan Nagel

Stefan Nagel

University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: October 2001

Abstract

Accounting information is indispensable in empirical finance. Unfortunately, existing databases, particularly for non-US markets, suffer from selection bias. I construct a new UK data set by supplementing existing databases with handcollected balance sheets. It contains about 100,000 firm-years of data, covers virtually all UK firms listed on the London Stock Exchange between 1953 and 1999, is fully cross-referenced to the London Share Price Database and free of selection bias. Use of previously existing UK databases is shown to introduce biases against small and high book-to-market stocks, and downward biases in sample moments of returns, a symptom of truncation of extreme observations. The new data set is particularly useful in contexts where inference is sensitive to selection bias or repeated mining of the US data is detrimental, and for any study that needs accounting measures such as book-to-market ratios for UK firms.

Keywords: Accounting data; Selection bias; Survivor bias; Book-to-market

JEL Classification: G12, G14, G15, G10, M41

Suggested Citation

Nagel, Stefan, Accounting Information Free of Selection Bias: A New UK Database 1953-1999 (October 2001). Available at SSRN: https://ssrn.com/abstract=286272 or http://dx.doi.org/10.2139/ssrn.286272

Stefan Nagel (Contact Author)

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research ( email )

London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

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