What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research
比较了四种行业分类方案（SIC、NAICS、GICS和Fama-French算法）在资本市场研究中的表现，发现GICS在解释股票收益联动、估值倍数、增长率、研发支出和财务比率方面显著优于其他方案，尤其对大公司效果更明显。
ABSTRACT This study compares four broadly available industry classification schemes in a variety of applications common to capital market research. 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 Classifications Standard (GICS) SM 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. Our 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. The GICS advantage is consistent from year to year and is most pronounced among large firms. The other three methods differ little from each other in most applications.