The Delisting Bias in CRSP Data.

The author documents a delisting bias in the stock return data base maintained by the Center for Research in Security Prices. He finds 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, the author shows that the omitted delisting returns are large. Implications of the bias are discussed. Copyright 1997 by American Finance Association.