It is shown that classification of utilities, financial firms, and conglomerate acquisitions are affected by the choice of CRSP versus Compustat SIC codes. The specification and power of Compustat versus CRSP classifications are tested by simulating a typical financial experiment in which sample firms are matched to control firms by industry. Compustat matched samples are more powerful than CRSP matched samples in detecting abnormal performance.
Nonparametric tests outperform parametric tests.