Do we delete certain stocks in event study?
Posted: 10 October 2013 10:52 PM   [ Ignore ]
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Dear Joost,

I found some stocks have very low price: e.g., 0.01, and this price is kept for a long time.

Should I delete stocks with price less than a certain level?

Is there any underlying reasoning?

Thank you a lot!

Anna

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Posted: 11 October 2013 08:53 AM   [ Ignore ]   [ # 1 ]
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hi Anna,

I suppose it depends on the kind of study. The so-called penny stocks (price below $1) are often but not always deleted. Sometimes the cut-off is $5 (some institutional investors are not allowed to hold stocks under $5).

I would do both ways: include and exclude the stocks and see if it matters. Report/tabulate the most reasonable set and ‘footnote’ the results of the alternative.

best regards,

Joost

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Posted: 11 October 2013 01:56 PM   [ Ignore ]   [ # 2 ]
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Joost Impink - 11 October 2013 08:53 AM

hi Anna,

I suppose it depends on the kind of study. The so-called penny stocks (price below $1) are often but not always deleted. Sometimes the cut-off is $5 (some institutional investors are not allowed to hold stocks under $5).

I would do both ways: include and exclude the stocks and see if it matters. Report/tabulate the most reasonable set and ‘footnote’ the results of the alternative.

best regards,

Joost

Thank you Joost!

You are always so helpful!

Anna

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Posted: 11 October 2013 02:40 PM   [ Ignore ]   [ # 3 ]
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Thanks - glad you find it helpful! smile

best regards,

Joost

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