A First Look at the Accuracy of the Crsp Mutual Fund Database and a Comparison of the Crsp and Morningstar Mutual Fund Databases

16 Pages Posted: 11 Feb 2003

See all articles by Edwin J. Elton

Edwin J. Elton

New York University (NYU) - Department of Finance

Martin J. Gruber

New York University (NYU) - Department of Finance

Christopher R. Blake

Fordham University - Gabelli School of Business

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Abstract

The CRSP database is a fairly new publicly available database on mutual funds. It is comprehensive and is corrected for survivorship bias. It and the Morningstar database are likely to be the standard databases used by researchers in the future. Despite the care that has been exercised in compiling the CRSP database, it needs to be corrected for certain types of problems. The most obvious bias in the CRSP database is that it calculates fund returns for months with multiple distributions on the same day in a way that causes returns in those months to be overstated. This overstatement has an impact on overall returns and alphas which is of economic significance. The Morningstar database is free of this problem.

We have shown that while CRSP does not suffer from survivorship bias, it does suffer from omission bias. Because only some small funds under $15 million in total net assets have monthly data on the CRSP database, and because the omitted funds have much greater merge and liquidation rates, we show that the returns reported for that group of funds which have monthly data overstate the population returns and alphas. We then examine the data CRSP provides on mergers. While these data are quite good in identifying mergers, we show that there are major problems in merger dates and reporting return data up to the time of the merger.

Keywords: mutual funds, CRSP, moringstar, mutual funds

JEL Classification: G2, G3

Suggested Citation

Elton, Edwin J. and Gruber, Martin J. and Blake, Christopher R., A First Look at the Accuracy of the Crsp Mutual Fund Database and a Comparison of the Crsp and Morningstar Mutual Fund Databases. Available at SSRN: https://ssrn.com/abstract=350664 or http://dx.doi.org/10.2139/ssrn.350664

Edwin J. Elton

New York University (NYU) - Department of Finance ( email )

44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0361 (Phone)
212-995-4233 (Fax)

Martin J. Gruber (Contact Author)

New York University (NYU) - Department of Finance ( email )

44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0333 (Phone)
212-995-4233 (Fax)

Christopher R. Blake

Fordham University - Gabelli School of Business ( email )

113 West 60th Street
Lowenstein Building
New York, NY 10023
United States
212-636-6750 (Phone)

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