Attrition Bias in Studies Using CRSP/Compustat Merged Data
26 Pages Posted: 21 Sep 2017 Last revised: 19 Aug 2022
Date Written: August 19, 2022
Most studies of relations between stock market returns and accounting data are based on the CRSP/Compustat merged data set. 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, attrition, delistings
JEL Classification: G14
Suggested Citation: Suggested Citation