Lkc. Chan et al., EVALUATING THE PERFORMANCE OF VALUE VERSUS GLAMOUR STOCKS - THE IMPACT OF SELECTION BIAS, Journal of financial economics, 38(3), 1995, pp. 269-296
We examine whether sample selection bias explains the difference in re
turns between 'value' stocks (high book-to-market ratios) and 'glamour
' stocks (low book-to-market ratios). Selection bias on Compustat is n
ot a severe problem: for CRSP primary domestic firms, the proportion m
issing from Compustat is not large and the average return is not very
different from the Compustat sample. Mechanical problems with matching
Cusip identifiers account for much of the discrepancy between CRSP an
d Compustat. The superior performance of value stocks is confirmed for
the top quintile of NYSE-Amex stocks, using a sample free from select
ion bias.