Journal of Financial and Quantitative Analysis 2026
Rewriting CRSP’s History: Impact of Altered Monthly Returns on Asset Pricing
Abstract
In January 2025, CRSP discontinued the existing stock tape used in many published papers. This transition rewrites 9.62% of monthly returns by more than 1 basis point (bp), primarily due to a change in the dividend reinvestment assumption. Analyzing the impact for a comprehensive set of premia in several thousand sorting specifications reveals that, on average, 11.43% of all monthly long-short returns differ by more than 10 bp—especially in early periods, NBER recessions, and return-based sorts. Reassuringly, average premia and their significance remain largely unaffected, suggesting CRSP changes mainly introduce unsystematic variation without altering key asset pricing conclusions.
- DOI
- 10.1017/s0022109026102774
- Pages
- 1-37
- Language
- en
- Sources
- openalex crossref