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Momentum: Does The Database Make A Difference?

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  • 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.

Suggested Citation

  • Bidisha Chakrabarty & Charles Trzcinka, 2006. "Momentum: Does The Database Make A Difference?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(4), pages 441-462, December.
    • Handle: RePEc:bla:jfnres:v:29:y:2006:i:4:p:441-462
    DOI: 10.1111/j.1475-6803.2006.00188.x
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    Cited by:

    1. Andrikopoulos, Panagiotis, 2009. "Seasoned equity offerings, operating performance and overconfidence: Evidence from the UK," Journal of Economics and Business, Elsevier, vol. 61(3), pages 189-215.
    2. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.

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