A First Look at The Accuracy of The CRSP Mutual Fund Database And A Comparison of The CRSP And Morningstar Mutual Fund Databases  

Oleh:

Elton, Edwin J. ; Gruber, Martin J. ; Blake, Christopher R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 6 (2001), page 2415-2430.
Topik: mutual funds; comparative studies; accuracy; mutual funds; data bases; rates of return
Fulltext: p 2415.pdf (84.36KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines problems in the CRSP survivor bias free U. S. Mutual Fund Database (CRSP, 1998) and compares returns contained in it to thise in morningstar. The CRSP database has an omission bias that has the same effects as survivorship bias. Although all mutual funds are listed in CRSP, return data is missing for many and the characteristics of these funds differ from the populations. The CRSP return data is biased upward and merger months are inaccurately recorded about half the time. Differeneces in returns in morningstar and CRSP are a problem for older data and small funds.

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