Empirical analysis of rates of return in Finance implicitly condition on the security surviving into the sample. We investigate the implications of such conditioning on the time series of rates of return. In general this conditioning induces a spurious relationship between observed return and...

Brown, Goetzmann and Ross (1995) document that ex-post conditioning can significantly bias empirical results based on observed rates of return. These results have interesting implications for cross-sectional cumulated excess return measures [CAR s] that are commonly used in the context of event...