The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect-Reference-Cited by-同舟云学术

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The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect

Published:1999-12 Issue:6 Volume:54 Page:2361-2379
ISSN:0022-1082
Container-title:The Journal of Finance
language:en
Short-container-title:The Journal of Finance

Author:

Shumway Tyler¹,Warther Vincent A.¹

Affiliation:

1. University of Michigan Business School

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference18 articles.

1. Valuation implications of AMEX listings: Ajoint test of the liquidity-signaling hypothesis;Baker;Quarterly Journal of Business and Economics 30,,1991

2. The relationship between return and the market value of common stocks;Banz;Journal of Financial Economics,1981

3. A critique of size-related anomalies;Berk;Review of Financial Studies,1995

4. Beta and return;Black;Journal of Portfolio Management,1993

5. Biases in computed returns: An application to the size effect;Blume;Journal of Financial Economics,1983

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