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.)
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1997
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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.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2001
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