The Delisting Bias in CRSP Data



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    • University of Michigan Business School. I thank John Cochrane, Linda Cornell, Eugene Fama, Steve Kaplan, René Stulz, Vince Warther, Luigi Zingales, an anonymous referee, and seminar participants at Arizona State University, Brigham Young University, Indiana University, the University of Michigan, and the University of Wyoming. I especially thank David Fialkowski, Ken Kraus, and James Nash at the Center for Research in Security Prices (CRSP) and Mark Zmijewski, the director of CRSP, for helping me collect the data and paying for it.


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.