Comments on: How can I avoid the survivor affect when doing backtesting with stocks? http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks/ Sat, 19 May 2012 06:05:59 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: NC http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks/#comment-1212 NC Sat, 30 Jan 2010 18:08:59 +0000 http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks#comment-1212 If you are looking for professional-quality data, you have to be prepared to pay professional-level price. Typically, researchers use either CRSP (Center for Research of Security Prices) or Compustat data. As to indexes with low turnover, check out S&P 500 and Russell 1000.<br><b>References : </b><br> If you are looking for professional-quality data, you have to be prepared to pay professional-level price. Typically, researchers use either CRSP (Center for Research of Security Prices) or Compustat data.

As to indexes with low turnover, check out S&P 500 and Russell 1000.
References :

]]> By: tsbr1963 http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks/#comment-1211 tsbr1963 Sat, 30 Jan 2010 17:38:59 +0000 http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks#comment-1211 If you use a larger cap index, you will reduce the number (but not eliminate) of delisting. Fewer mid and large caps get delisted than small caps. You could go S&P 500 and that would give you smaller sample size than NASDAQ, but a lower amount of delistings.<br><b>References : </b><br> If you use a larger cap index, you will reduce the number (but not eliminate) of delisting.
Fewer mid and large caps get delisted than small caps.

You could go S&P 500 and that would give you smaller sample size than NASDAQ, but a lower amount of delistings.
References :

]]> By: Taranto http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks/#comment-1210 Taranto Sat, 30 Jan 2010 17:33:59 +0000 http://www.andersoncompositesquadron.org/composite-stock/how-can-i-avoid-the-survivor-affect-when-doing-backtesting-with-stocks#comment-1210 you can get this information from the CRSP database. Most academic studies are done using these data. WRDS (Wharton Research Data Services) at U of PA has these data. It costs money to get it -- but if you are at a university -- it is likely that your finance department subscribes. If you are out od school, but have an MBA, then you may be able to access it through the school's library.<br><b>References : </b><br> you can get this information from the CRSP database. Most academic studies are done using these data.

WRDS (Wharton Research Data Services) at U of PA has these data. It costs money to get it — but if you are at a university — it is likely that your finance department subscribes. If you are out od school, but have an MBA, then you may be able to access it through the school’s library.
References :

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