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| Author: | Bhojraj, S. Lee, C.M.C. Oler, D.K. |
| Title: | What's my line? A comparison of industry classification schemes for capital market research |
| Journal: | Journal of Accounting Research
2003 : DEC, VOL. 41:5, p. 745-774 |
| Index terms: | Capital markets Classification and coding Industries |
| Language: | eng |
| Abstract: | Four broadly available industry classification schemes in a variety of applications common to capital market research are compared in this study. Standard Industrial Classification (SIC) codes have been available since 1939 but are being replaced by North American Industry Classification System (NAICS) codes. The Global Industry Classification Standard (GICS) system, jointly developed by Standard & Poor's and Morgan Stanley Capital International (MSCI), is popular among financial practitioners, whereas the Fama and French (1997) algorithm is used primarily by academics. The results show that GICS classifications are significantly better at explaining stock return comovements, as well as cross-sectional variations in valuation multiples, forecasted and realized growth rates, research and development expenditures and various key financial ratios. |
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