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|Title: ||A First Look at the Accuracy of the CRSP Mutual Fund Database and a
Comparison of the CRSP and Morningstar Mutual Fund Databases|
|Authors: ||Elton, Edwin J.|
Gruber, Martin J.
Blake, Christopher R.
|Issue Date: ||2001 |
|Series/Report no.: ||S-AM-01-09|
|Abstract: ||This paper examines problems in the CRSP Survivor Bias Free U.S. Mutual
Fund Database (CRSP, 1998) and compares returns contained in it to those
in Morningstar. The CRSP database has an omission bias that has the same
effects as survivorship bias. Although all mutual funds are listed in
CRSP, return data is missing for many and the characteristics of these
funds differ from the populations. The CRSP return data is biased upward
and merger months are inaccurately recorded about half the time.
Differences in returns in Morningstar and CRSP are a problem for older
data and small funds.|
|Appears in Collections:||Asset Management|
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