Rewriting CRSP’s History: Impact of Altered Monthly Returns on Asset Pricing
研究了2025年CRSP数据库因股息再投资假设变更导致9.62%月度回报变动，发现平均11.43%的多空组合收益差异超过10个基点，但主要结论未受影响。
Abstract In January 2025, CRSP discontinued the existing stock tape used in many published papers. This transition rewrites 9.62% of monthly returns by more than 1 basis point (bp), primarily due to a change in the dividend reinvestment assumption. Analyzing the impact for a comprehensive set of premia in several thousand sorting specifications reveals that, on average, 11.43% of all monthly long-short returns differ by more than 10 bp—especially in early periods, NBER recessions, and return-based sorts. Reassuringly, average premia and their significance remain largely unaffected, suggesting CRSP changes mainly introduce unsystematic variation without altering key asset pricing conclusions.