Journal of Accounting and Economics Vol. 18 No. 1 1994
Differences between COMPUSTAT and CRSP SIC codes and related effects on research
Abstract
Differences between SIC codes assigned to companies by COMPUSTAT and CRSP are examined. Large differences are observed at two-, three-, and four-digit levels. Correlations of intra-industry monthly stock returns are larger, and variances of intra-industry financial ratios are smaller for industries based on COMPUSTAT codes. Replication of a portion of Freeman and Tse (1992) produces significant results using COMPUSTAT codes, consistent with the original research, but insignificant results for CRSP codes.
- DOI
- 10.1016/0165-4101(94)90021-3
- Volume
- 18
- Issue
- 1
- Pages
- 115-128
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref