Advanced Search
MyIDEAS: Login to save this article or follow this journal

Momentum: Does The Database Make A Difference?

Contents:

Author Info

  • Bidisha Chakrabarty
  • Charles Trzcinka

Abstract

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 TAQ prices show losses. Adjusting TAQ prices with the TAQ dividends file or with the cumulative distribution factor provided by CRSP does not eliminate all differences. There are significant discrepancies in the way CRSP and TAQ record newly listed and delisted stocks. We document the residual (after all filters) price differences between the two databases and provide filters to adjust TAQ data for long sample periods and large sample sizes. Our filtering procedures allow for the possibility of examining intraday patterns in momentum profits. 2006 The Southern Finance Association and the Southwestern Finance Association.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1475-6803.2006.00188.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 29 (2006)
Issue (Month): 4 ()
Pages: 441-462

as in new window
Handle: RePEc:bla:jfnres:v:29:y:2006:i:4:p:441-462

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
More information through EDIRC

Email:
Web page: http://www.southwesternfinance.org/
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0270-2592

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Andrikopoulos, Panagiotis, 2009. "Seasoned equity offerings, operating performance and overconfidence: Evidence from the UK," Journal of Economics and Business, Elsevier, Elsevier, vol. 61(3), pages 189-215.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:29:y:2006:i:4:p:441-462. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.