Rewriting CRSP's History: Impact of Altered Monthly Returns on Asset Pricing

Abstract

In January 2025, the Center for Research in Security Prices (CRSP) discontinued the existing CRSP tape used in many published papers. This transition rewrites 9.62% of monthly returns by more than one basis point, primarily due to a change in the dividend reinvestment assumption. The mean absolute change equals 22 basis points. Analyzing the impact of these changes for a comprehensive set of premia in several thousand sorting specifications reveals that, on average, 11.43% of all monthly long-short returns differ by more than ten basis points. Reassuringly, these differences do not translate into significant changes in (time-series) average premia or their significance. However, these changes potentially affect conditional analyses on return-based premia, dividend-paying industries, NBER recession periods, and samples prior to 2000.

Keywords: CRSP, return computation, portfolio sorts, dividends, risk factors

JEL Classification: C80, G10, G11, G12, G14