Delisting Returns and Their Effect on Accounting-Based Market Anomalies

By W. H. Beaver, Maureen F. McNichols, Richard Price. 2007

235 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5fb2d6f15ce5eb0a5f91955956ad2d6a4e3edf84

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Citations in the corpus

When Does Information Asymmetry Affect the Cost of Capital (2011, background): “…available each year for the number of shareholders from Compustat and for market value from CRSP. 12 If a firm delists in a given month during the sample period, we follow Beaver, McNichols, and Price (2007) and compute the return by compounding the monthly return and the delisting return.”
Can Twitter Help Predict Firm-Level Earnings and Stock Returns? (2018, background): “This seems to be the case with financial analysts, who belong to a rather small homogenous group that tend to herd (see, e.g., Welch 2000, Hong et al. 2000), and thus, perhaps not surprisingly, produce inefficient earnings forecasts (see, e.g., Abarbanell 1991, Abarbanell and Bernard 1992, Stevens a”
Accruals, Cash Flows, and Operating Profitability in the Cross Section of Stock Returns (2016, background): “Delisting returns are taken from CRSP; if a delisting return is missing and the delisting is performance-related, we impute a return of −30% (Shumway, 1997; Beaver, McNichols, and Price, 2007).”
SEC Enforcement: Does Forthright Disclosure and Cooperation Really Matter? (2012, unknown): “If the delisting return is missing, I use a replacement value equal to the average daily delisting return for all firms in the same restatement announcement year with the corresponding three-digit delisting code (Beaver et al. 2007).”
A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts? (2013, methodology): “To avoid delisting biases when using CRSP data, I calculate delisting returns in accordance with Shumway (1997) and Beaver, McNichols, and Price (2007).”
Unintended Consequences of Granting Small Firms Exemptions from Securities Regulation: Evidence from the Sarbanes‐Oxley Act (2009, unknown): “In two cases the CRSP delisting returns are missing and we follow Beaver et al. (2006) and use a replacement value of 55%.”
Earnings Manipulation and Expected Returns (2013, methodology): “…three categories: (1) distress analysis— studies that aim to predict bankruptcy and financial distress (e.g., Beaver 1966; Altman 1968; Ohlson 1980; Beaver, McNichols, and Price 2007); (2) basic ratio analysis—studies that combine a large set of financial ratios in a less structured manner to…”