INSEAD, Fontainebleau and J. L. Kellogg Graduate School of Management, Northwestern University, respectively. An earlier version of this paper was presented at the meeting of the European Finance Association, September 1983. We would like to thank Larry Glosten, Robert Hodrick, Ravi Jagannathan, Peter Rossi, and Rex Sinquefield for helpful comments.
Sample-Dependent Results Using Accounting and Market Data: Some Evidence
Article first published online: 30 APR 2012
1986 The American Finance Association
The Journal of Finance
Volume 41, Issue 4, pages 779–793, September 1986
How to Cite
BANZ, R. W. and BREEN, W. J. (1986), Sample-Dependent Results Using Accounting and Market Data: Some Evidence. The Journal of Finance, 41: 779–793. doi: 10.1111/j.1540-6261.1986.tb04548.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
Studies relating accounting and price data often use the COMPUSTAT or related PDE data base as the source for the accounting data. This practice may introduce a look-ahead bias and an ex-post-selection bias into the study. We examine this problem by comparing results from the standard COMPUSTAT data base with those from a data base which suffers from neither bias. We find that rates of return from portfolios chosen on the basis of accounting data from the two data bases differ significantly. Further, we find that these differences imply different conclusions when we test a specific hypothesis relating accounting and price data. Finally, we propose a number of remedies which may reduce the bias when the standard COMPUSTAT data base is used.