Work

Missing Financial Data

Year: 2024

Type: article

Abstract: We document the widespread nature and structure of missing observations of firm fundamentals and show how to systematically handle them. Missing financial data affects more than 70% of firms that represent about half of the total market cap. Firm fundamentals have complex systematic missing patterns, invalidating traditional approaches to imputation. We propose a novel imputation method to obtain a fully observed panel of firm fundamentals that exploits both time-series and cross-sectional dependency of data to impute missing values and allows for general systematic patterns of missingness. We document important implications for risk premiums estimates, cross-sectional anomalies, and portfolio construction. (JEL C14, C38, C55, G12)

Source: Review of Financial Studies

DOI: 10.1093/rfs/hhae036

Authors: Svetlana Bryzgalova, Sven Lerner, Martin Lettau, Markus Pelger

Institutions: Centre for Economic Policy Research, London Business School, Stanford University, Center for Economic and Policy Research, National Bureau of Economic Research, University of California, Berkeley

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4400436554

FWCI: 17.15

Cites: 58

Cited by: 77

Related to: 10