In theory, stock return could be calculated by: return of a stock = (Price_end - Price_beginning + dividend per share) / price_beginning. However, price_end and price_beginning variables in compustat are not complete (Credits to Joost).

Therefore, we want to use CRSP stock return to calcualtive the cumulative 12 month stock return , and in theory it should yeild the same results as above equation.

MSF file give stock return for each month:

log(1+r4) + log(1+r5) +...+ Log(1+r12) + Log(1+r1)+ Log(1+r2) + Log(1+r3)= Log (1+ R)

R here is the cumulative return of one year， r1 .. r12 is return for each specific month.

*one year circle from Month 4 to next year Month 3 to take care the effect of earnings annnounce (around March).

*Beaver 2007 JAE showed delisted firms return should be taken care too.

Hi everyone here:

Is this good enough or we have to use DSF for this calculation?