haku: @author Lakonishok, J. / yhteensä: 32
viite: 7 / 32
| Tekijä: | Chan, L. Jegadeesh, N. Lakonishok, J. |
| Otsikko: | Evaluating the performance of value versus glamour stocks: the impact of selection bias |
| Lehti: | Journal of Financial Economics
1995 : JUL, VOL. 38:3, p. 269-296 |
| Asiasana: | ECONOMICS FINANCE BIAS |
| Kieli: | eng |
| Tiivistelmä: | The authors examine whether sample selection bias explains the difference in returns between "value" stocks and "glamour" stocks. Selection bias on Compustat is not a severe problem: for CRSP primary domestic firms, the proportion missing from Compustat is not large and the average return is not very different from the Compustat sample. Mechanical problems with matching Cusip identifiers account for much of the discrepancy between CRSP and Compustat. |
SCIMA