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  • We thank Spencer Martin for extensive and useful comments on earlier versions of the manuscript. Thanks are also due to William T. Moore (the former editor), Janis Berzins, Kee Chung, Alireza Nasseh, Phillip O'Connor, Joseph Ogden, Michael Rozeff, Dirk Schiereck, Neil Seitz, Fred Yeager, and seminar participants at SUNY, Buffalo; Kelley School of Business, Indiana University; and the Midwestern Finance Association conference (2004) for helpful comments. All remaining errors are our responsibility.


We examine discrepancies between the Center for Research in Security Prices (CRSP) and Trade and Quote (TAQ) databases by examining the returns of momentum strategies using each database. Momentum portfolios constructed from CRSP prices earn significant profits whereas similar portfolios using TAQ prices show losses. Adjusting TAQ prices with the TAQ dividends file or with the cumulative distribution factor provided by CRSP does not eliminate all differences. There are significant discrepancies in the way CRSP and TAQ record newly listed and delisted stocks. We document the residual (after all filters) price differences between the two databases and provide filters to adjust TAQ data for long sample periods and large sample sizes. Our filtering procedures allow for the possibility of examining intraday patterns in momentum profits.

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