The delisting bias in CRSP data

Article Abstract:

I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over-the-counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed. (Reprinted by permission of the publisher.)

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Research, Stocks, Stock-exchange, Exchanges, Securities listing, Return on investment, Rate of return

---

Expected option returns

Article Abstract:

Expected option returns under mild assumptions usually exceed those of the underlying security, yet under stronger assumptions vary linearly with option betas. However, at-the-money straddle, zero-beta positions have shown average losses of 3% weekly, suggesting an additional factor is priced in option returns.

United States, Stocks & Other Equity Securities, Statistical Data Included, Management, Stock options

---

Similar abstracts:

• Abstracts: The reporting dilemma solved. Credit Suisse Group. Citigroup
• Abstracts: Interesting times ahead. Equities and the credit risk premium. Hot property - or not?
• Abstracts: Toyvend: Doing things properly. Open day shows off new products. Norman Leftly: A letter from the UK
• Abstracts: Cash in hand. Chupa hits Europe by storm. Sega catch some air
• Abstracts: The art of taking a risk. Fixed odds betting terminals--are they really thinking outside the box

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.