The concept of replacing missing delisting return codes with a single-replacement value is also discussed. An Examination of the CRSP Shares-Outstanding Data. 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.
Using Value Line and IBES Analyst Forecasts in Accounting Research. Comparing Value Line forecasts and actuals to IBES forecasts and actuals, the former produce smaller absolute forecast errors. Error Rates in CRSP and Compustat Data Bases and their Implications. The Delisting Bias in CRSP Data. He finds 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.