Do I need to delete the negative price values?
Posted: 01 June 2014 01:44 AM   [ Ignore ]
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Hi,
    I notice there is negative price values in CRSP database. It is said to be bid-ask sread. My quesiton is do I need to delete these negative price values in my sample?
Best,
Xinjiao

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Posted: 01 June 2014 07:03 AM   [ Ignore ]   [ # 1 ]
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hi Xinjiao,

I believe a negative price means the stock has not been traded that day and is the average of the bid and ask price (please doublecheck in the data to make sure that #shares traded is indeed zero). Taking the absolute value would be the typical thing to do to use it to construct returns, etc. Unless of course you need stocks that were traded, in that case dropping such observations would make sense.

best regards,

Joost

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