Delisted firms
Posted: 13 August 2014 01:07 AM   [ Ignore ]
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Hi joost,
  It’s really nice of you to share the helpful information. I really benefit a lot.
  I notice some sas code on WRDS that the delisted firms are often incorproated into the calculation of returns.
  I want to ask is it a must for us to incorporte the delisted firms?
Best,
Xinjiao

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Posted: 13 August 2014 08:03 AM   [ Ignore ]   [ # 1 ]
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hi Xinjiao,

Good to hear it is helpful!

I think including delisting returns in the return calculations would be an improvement. The delisting return is not included in the daily/monthly return (DSF, MSF). I never got around to do this though.

Once the firms are delisted, it is no longer possible to include them in the sample (no longer info available for these firms).

best regards,

Joost

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