Archival research considerations for CRSP data
Abstract
Purpose
This study aims to remind researchers that measurement errors and inappropriate inferences may result from improperly combining and adjusting certain Center for Research in Security Prices (CRSP) measures.
Design/methodology/approach
In addition to real-world working examples, the study uses earnings announcements data to examine the effects of improperly combining and adjusting CRSP measures.
Findings
This study assists researchers with the following two considerations when using CRSP data: stand-alone share prices adjusted with CRSP adjustment factors are inaccurate in the presence of property dividend, spin-off and rights offering events; and ignoring covertly missing stock returns may create misleading test results. The primary objectives of the study are to help researchers increase the integrity of their studies and the probability of publication.
Research limitations/implications
Inadequate consideration for the two issues discussed in the paper may change the researcher’s statistical inferences.
Originality/value
Archival researchers who overtly address and discuss the existence of these issues achieve two important and related benefits. First, the researcher increases his or her credibility with editors and reviewers, which enhances the probability of a published study. Second, the researcher increases his or her perceived technical competency, which potentially affects promotion and tenure decisions, editorial membership decisions, co-authorship opportunities and other professional effects. Doctoral students will find this study to be particularly useful.
Keywords
Acknowledgements
The authors are grateful for the helpful comments of Jim Angel, Tom Dyckman, Oscar Varela and Faith Xie, the participants at the 2015 Midwest American Accounting Association Conference, and two anonymous reviewers. All errors and omissions are solely the responsibility of the authors.
Citation
Francis, R.N., Mubako, G. and Olsen, L. (2018), "Archival research considerations for CRSP data", Accounting Research Journal, Vol. 31 No. 3, pp. 360-370. https://doi.org/10.1108/ARJ-06-2016-0065
Publisher
:Emerald Publishing Limited
Copyright © 2018, Emerald Publishing Limited