The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
发现CRSP的纳斯达克数据因缺失退市股票回报而产生偏差，平均缺失回报为负且很大，退市股票流动性显著下降。使用-55%的修正回报后，纳斯达克股票不再存在规模效应，这与多数风险解释不一致。
ABSTRACT We investigate the bias in CRSP's Nasdaq data due to missing returns for delisted stocks. We find that the missing returns are large and negative on average, and that delisted stocks experience a substantial decrease in liquidity. We estimate that using a corrected return of −55 percent for missing performance‐related delisting returns corrects the bias. We revisit previous work which finds a size effect among Nasdaq stocks. After correcting for the delisting bias, there is no evidence that there ever was a size effect on Nasdaq. Our results are inconsistent with most risk‐based explanations of the size effect.