The same holds for the four Size Bands used used in stock market segementation. Yes, this is one of the main difficulties facing a quantitative investment model. In analyzing financial information great care is taken to include information that adds value and not noise. As a result many conventional explanatory variables are rejected or only that part which adds new information is used. Correlation matrices are routinely examined.
Analysts think of stock market data in terms of coverage, timeliness and quality.
In terms of coverage, every company analyzed has the same breadth and depth of data. Out of over 100 specific data items for each company, rarely is even a single data item missing. In terms of timeliness, the latest set of published annual accounts and the latest quarterly earnings are always used. In terms of data quality, tests of data reasonableness and consistency are employed. For example, accounting line items must add up to sub-totals and the accounts themselves must balance.