Sample‐Dependent Results Using Accounting and Market Data: Some Evidence
发现使用COMPUSTAT数据库进行会计与价格数据研究时，存在前瞻性偏差和事后选择偏差，导致基于会计数据构建的投资组合回报率显著不同，并影响假设检验结论。
ABSTRACT Studies relating accounting and price data often use the COMPUSTAT or related PDE data base as the source for the accounting data. This practice may introduce a look‐ahead bias and an ex‐post‐selection bias into the study. We examine this problem by comparing results from the standard COMPUSTAT data base with those from a data base which suffers from neither bias. We find that rates of return from portfolios chosen on the basis of accounting data from the two data bases differ significantly. Further, we find that these differences imply different conclusions when we test a specific hypothesis relating accounting and price data. Finally, we propose a number of remedies which may reduce the bias when the standard COMPUSTAT data base is used.