Missing Data

Notes on Missing Values

Compustat provides specific codes for data items which are:

not available
combined with other data items
considered insignificant by the company
available only on a semi-annual or annual basis

The data provided in the CRSPAccess format have constants representing each case. Missing value codes conform with Compustat’s Strategic Insight and binary conventions for missing values.

Compustat Missing Value Codes

Missing Value Code	C Constant	Numeric Value
No data for data item	CST_MISS_NA	.0001
Data has been combined into another item	CST_MISS_COMB	.0004
Data has been reported by the company as insignificant	CST_MISS_INSIG	.0008
Data is only reported on a semi-annual basis	CST_MISS_SEMI	.0002
Data is only reported on an annual basis	CST_MISS_ANN	.0003

CRSP in Action

The Democratization of Investment Research: Implications for Retail Investor Profitability and Firm Liquidity

Investment research is increasingly produced outside of Wall Street. The ability of retail order imbalances to predict future returns is twice as large on days SA research is published, and the relation is stronger for articles that generate more comments or are written by skilled contributors.

Expectations in the Cross Section: Stock Price Reactions to the Information and Bias in Analyst-Expected Returns

Booth School of Business, University of Chicago

Evidence shows that the market does not efficiently incorporate expected returns implied by analyst price targets into prices.

Missing Data

Notes on Missing Values

Compustat Missing Value Codes

The Democratization of Investment Research: Implications for Retail Investor Profitability and Firm Liquidity

Expectations in the Cross Section: Stock Price Reactions to the Information and Bias in Analyst-Expected Returns

Monthly/Quarterly CRSP/Compustat Merged Database Release

Monthly CRSP/Compustat Merged Database Release