Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than three months, and the returns on these trades average -3.91% (non-annualized). These losses are pervasive...

How do different databases define a firm? What are the rules for listing/de-listing firms across different databases? In this paper we show that the divergence in the criteria for listing/de-listing firms between the CRSP and TAQ databases is significant enough to impact the magnitude and...

We examine discrepancies between the Center for Research in Security Prices (CRSP) and Trade and Quote (TAQ) databases by examining the returns of momentum strategies using each database. Momentum portfolios constructed from CRSP prices earn significant profits whereas similar portfolios using...