Missing Financial Data
研究发现超过70%的公司存在财务数据缺失，影响约一半市值，并提出一种利用时间和截面依赖关系的新插补方法，对风险溢价估计和投资组合构建有重要影响。
Abstract We document the widespread nature and structure of missing observations of firm fundamentals and show how to systematically handle them. Missing financial data affects more than 70% of firms that represent about half of the total market cap. Firm fundamentals have complex systematic missing patterns, invalidating traditional approaches to imputation. We propose a novel imputation method to obtain a fully observed panel of firm fundamentals that exploits both time-series and cross-sectional dependency of data to impute missing values and allows for general systematic patterns of missingness. We document important implications for risk premiums estimates, cross-sectional anomalies, and portfolio construction.