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Do You Know What’s in Your Benchmark?

Steven Crawford, James Hansen and Richard Price
The Journal of Portfolio Management Spring 2013, 39 (3) 136-147; DOI: https://doi.org/10.3905/jpm.2013.39.3.136
Steven Crawford
is an assistant professor of accounting at Rice University in Houston, TX.
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  • For correspondence: steven.s.crawford@rice.edu
James Hansen
is an assistant professor of accounting at the University of New Mexico in Albuquerque, NM.
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  • For correspondence: jh56@unm.edu
Richard Price
is an assistant professor of accounting at Utah State University in Logan, UT.
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  • For correspondence: richardp@usu.edu
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Abstract

The authors identify several problematic assumptions underlying the benchmark return methodology used by the Center for Research in Security Prices (CRSP), which practitioners and academics would be unlikely to know or mimic. In particular, CRSP includes non-common stock securities that most researchers exclude. CRSP does not follow a typical buy-and-hold methodology, and it excludes delisting returns. The authors discuss these issues and show how they can affect results in a number of research settings. The commonly used value-weighted, size-based benchmark returns, as well as all equally weighted daily benchmark returns, are particularly problematic.

TOPICS: Financial crises and financial market history, exchange-traded funds and applications, real estate

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The Journal of Portfolio Management: 39 (3)
The Journal of Portfolio Management
Vol. 39, Issue 3
Spring 2013
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Do You Know What’s in Your Benchmark?
Steven Crawford, James Hansen, Richard Price
The Journal of Portfolio Management Apr 2013, 39 (3) 136-147; DOI: 10.3905/jpm.2013.39.3.136

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Do You Know What’s in Your Benchmark?
Steven Crawford, James Hansen, Richard Price
The Journal of Portfolio Management Apr 2013, 39 (3) 136-147; DOI: 10.3905/jpm.2013.39.3.136
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