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Caveat Compounder: A Warning about Using the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns

Canina, Linda; Michaely, Roni; Thaler, Richard; Womack, Kent - In: Journal of Finance 53 (1998) 1, pp. 403-416

This paper issues a warning that compounding daily returns of the Center for Research in Security Prices (CRSP) equal-weighted index can lead to surprisingly large biases. The differences between the monthly returns compounded from the daily tapes and the monthly CRSP equal-weighted indices is...

Persistent link: https://www.econbiz.de/10005296081

Price reactions to dividend initiations and omissions : overreaction or drift?

Michaely, Roni - In: The journal of finance : the journal of the American … 50 (1995) 2, pp. 573-608

Persistent link: https://www.econbiz.de/10001184814

Caveat compounder : a warning about using the daily CRSP equal-weighted index to compute long-run excess returns

Canina, Linda; Michaely, Roni; Thaler, Richard H.; … - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 403-422

Persistent link: https://www.econbiz.de/10001235475

Price reactions to dividend initiations and omissions : overreaction or drift?

Michaely, Roni - 1994

Persistent link: https://www.econbiz.de/10000891706

Caveat Compounder: A Warning about Using the Daily CRSP Equal-Weighted Index to Compute Long-Run Excess Returns

Canina, Linda; Michaely, Roni; Thaler, Richard; Womack, Kent - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 403-416

Persistent link: https://www.econbiz.de/10007360503