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MOMENTUM: DOES THE DATABASE MAKE A DIFFERENCE?
Author(s) -
Chakrabarty Bidisha,
Trzcinka Charles
Publication year - 2006
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2006.00188.x
Subject(s) - database , momentum (technical analysis) , econometrics , residual , dividend , economics , financial economics , statistics , mathematics , computer science , finance , algorithm
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.