Abstract
Differences between SIC codes assigned to companies by COMPUSTAT and CRSP are examined. Large differences are observed at two-, three-, and four-digit levels. Correlations of intra-industry monthly stock returns are larger, and variances of intra-industry financial ratios are smaller for industries based on COMPUSTAT codes. Replication of a portion of Freeman and Tse (1992) produces significant results using COMPUSTAT codes, consistent with the original research, but insignificant results for CRSP codes.
| Original language | English |
|---|---|
| Pages (from-to) | 115-128 |
| Number of pages | 14 |
| Journal | Journal of Accounting and Economics |
| Volume | 18 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jul 1994 |
| Externally published | Yes |
ASJC Scopus Subject Areas
- Accounting
- Finance
- Economics and Econometrics
Keywords
- Capital markets methodology
- Industry classification
- SIC codes
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