Archival research considerations for CRSP data

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 data. Findings - The 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.