A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases

By Edwin J. Elton, Martin Gruber, Christopher R. Blake. 2001

416 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e5213fecbd63e4c37b3fe10b3c32deec886454e9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Why constrain your mutual fund manager (2004, unknown): “Direct restrictions on investment practices can certainly play a role in such contracts.(13) However the lack of detailed data on compensation contracts for individual fund managers rules out an explicit empirical examination of this matter.”
Yet Another Puzzle? The Relation between Price and Performance in the Mutual Fund Industry (2007, unknown): “More importantly, Elton et al. (2001) have also documented a selection bias in the CRSP database, which they label omission bias: these authors highlight that a significant fraction of small funds do not have monthly information on returns and they estimate that funds with reported returns…”
Style Effects in the Cross-Section of Stock Returns (2004, unknown): “5 According to Elton et al. (2001) , returns in the CRSP database for months with multiple distributions”
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance (2007, unknown): “Given the results of Elton et al. (2001), who report that the differences in returns reported by CRSP and Morningstar are marginal when data are used after the mid-1980s, we examine the period 1984–2003.”
Does Corporate Governance Matter to Bondholders? (2005, result): “Although the difficulty with finding accurate bond data is well known, Elton et al. (2001) analyze bond price information in the LBFI and conclude that the LBFI is comparable in accuracy to CRSP data.”
Luck versus Skill in the Cross-Section of Mutual Fund Returns (2010, unknown): “Stronger results for 1975 to 2002 may also be due to biases in the CRSP data that are more prevalent in earlier years (Elton et al. (2001)).”
Mutual Fund Flows and Investor Returns: An Empirical Examination of Fund Investor Timing Ability (2007, unknown): “In order to distinguish between investors based on the quality of fund they choose, we compute the risk-adjusted performance, or alpha, of each fund over the sample period according to both the Fama and French (1993) 3-factor model and the Carhart (1997) 4-factor model. Using either measure, we find”