The Delisting Bias in CRSP Data
发现CRSP股票收益率数据库存在退市偏差，因破产等负面原因退市的股票通常出乎意料，且自1962年以来多数此类股票的退市收益率缺失，而场外交易数据显示缺失的退市收益率很大。
I document a delisting bias in the stock return data base maintained by the Center for Research in Security Prices (CRSP). I find that delists for bankruptcy and other negative reasons are generally surprises and that correct delisting returns are not available for most of the stocks that have been delisted for negative reasons since 1962. Using over-the-counter price data, I show that the omitted delisting returns are large. Implications of the bias are discussed.