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.
This paper was published in the
Journal of Financein March, 1997 (Volume 52, pages 327-340). The data set used in the paper (the new delisting returns in line 5 of Table V) are available here.
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