DIFFERENCES BETWEEN COMPUSTAT AND CRSP SIC CODES AND RELATED EFFECTS ON RESEARCH

被引：69

作者：

GUENTHER, DA

ROSMAN, AJ

机构：

[1] School of Business Administration, University of Connecticut, Storrs

来源：

JOURNAL OF ACCOUNTING & ECONOMICS | 1994年 / 18卷 / 01期

关键词：

CAPITAL MARKETS METHODOLOGY; SIC CODES; INDUSTRY CLASSIFICATION;

D O I：

10.1016/0165-4101(94)90021-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Differences between SIC codes assigned to companies by COMPUSTAT and CRSP are examined. Large differences are observed at two-, three-, and four-digit levels. Correlations of intra-industry monthly stock returns are larger, and variances of intra-industry financial ratios are smaller for industries based on COMPUSTAT codes. Replication of a portion of Freeman and Tse (1992) produces significant results using COMPUSTAT codes, consistent with the original research, but insignificant results for CRSP codes.

引用

页码：115 / 128

页数：14

共 21 条

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