Estimating Capital Market Parameters: CRSP Versus Yahoo Data

Ronnie J. Clayton ； John S. Jahera ； Bill Schmidt

《Advances in Investment Analysis and Portfolio Management》 3期 (2008/11) Pp. 173-193

https://doi.org/10.6291/AIAPM.2008.03.10

並列摘要

Empirical studies are as good or poor as the data source used for the study. Data is expensive; either in the time that is dedicated to gathering information or in the actual funds expended to obtain somewhat user friendly databases such as those provided by Wharton Research (wrds.) at the University of Pennsylvania. Many authors must expend the time to obtain data because funding is not available to obtain more expensive databases. This study compares parameters estimated from daily returns of a random sample of 100 of the Standard and Poor's 500 firms using data provided from the Center for Research in Security Prices (CRSP) database provided by wrds. with the same parameters estimated from data obtained from Yahoo Finance. Our expectations were that the results would be quite similar and, with minor exception, expectations were correct.

並列關鍵字

CRSP ； Yahoo Finance ； Empirical studies ； Parameter Estimates ； Data Availability ； Data reliability

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