Including Earnings of Delisting Firms in Studies Using CRSP/Compustat Merged Data

Abstract

Most studies of relations between stock market returns and accounting data are based on the CRSP/Compustat merged data set. Earnings observations for firms that are delisted but remain on either the Compustat Fundamentals Annual or Quarterly files are generally excluded even though delisting returns are available on CRSP. Of course, these accounting data are readily available. We show that including these observations may change inferences; previously documented results on the pricing of cash flows and accruals change, and asymmetric timeliness of earnings recognition is greater than previously documented.

Keywords: earnings, delistings

JEL Classification: G14