Rewriting CRSP's history: Impact of altered monthly returns on asset pricing

Schwarz, Patrick; Walter, Dominik; Weiss, Patrick

doi:10.1017/S0022109026102774

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Rewriting CRSP's history: Impact of altered monthly returns on asset pricing

Schwarz, Patrick; Walter, Dominik; Weiss, Patrick

2026 • In Journal of Financial and Quantitative Analysis

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https://hdl.handle.net/2268/326504

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10.1017/S0022109026102774

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Keywords :

CRSP; return computation; portfolio sorts; (risk) factors; dividends

Abstract :

[en] In January 2025, the Center for Research in Security Prices (CRSP) will discontinue the existing CRSP tape used in many published papers. This transition rewrites 9.62% of monthly returns by more than one basis point, primarily due to a change in the dividend reinvestment assumption. The mean absolute change equals 22 basis points. Analyzing the impact of these changes for a comprehensive set of premia in several thousand sorting specifications reveals that, on average, 11.43% of all monthly long-short returns differ by more than ten basis points. Reassuringly, these differences do not translate into significant changes in (time-series) average premia or their significance. However, these changes potentially affect conditional analyses on return-based premia, dividend-paying industries, NBER recession periods, and samples prior to 2000.

Disciplines :

Finance

Author, co-author :

Schwarz, Patrick ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit: Finance-Accounting

Walter, Dominik; University of Konstanz

Weiss, Patrick; Reykjavik University

Language :

English

Title :

Rewriting CRSP's history: Impact of altered monthly returns on asset pricing

Publication date :

01 June 2026

Journal title :

Journal of Financial and Quantitative Analysis

ISSN :

0022-1090

Publisher :

Cambridge University Press, United Kingdom

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 09 January 2025

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