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Sample‐Dependent Results Using Accounting and Market Data: Some Evidence

Sample‐Dependent Results Using Accounting and Market Data: Some Evidence ABSTRACT 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

Sample‐Dependent Results Using Accounting and Market Data: Some Evidence

The Journal of Finance , Volume 41 (4) – Sep 1, 1986

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References (7)

Publisher
Wiley
Copyright
1986 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1986.tb04548.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT 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.

Journal

The Journal of FinanceWiley

Published: Sep 1, 1986

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