{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,19]],"date-time":"2026-10-19T15:39:05Z","timestamp":1792424345067,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":20,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>CRSP\u2019s CIZ daily file stores a delisted stock\u2019s final return on a separate record marked as not trading, so a filter that keeps only active trading days removes it. For CRSP common stocks, 1926\u20132025, adding back the recorded delisting returns lowers equal-weighted size and reversal spreads by 5 to 6 basis points a month and raises the momentum spread by 9. With missing involuntary returns set to -30%, the changes are 8 to 12 basis points; value-weighted spreads move by 3 or less.<\/jats:p>","DOI":"10.2139\/ssrn.7635073","type":"posted-content","created":{"date-parts":[[2026,10,19]],"date-time":"2026-10-19T14:29:01Z","timestamp":1792420141000},"source":"Crossref","is-referenced-by-count":0,"title":["A Trading-Status Filter Drops Delisting Returns from CRSP\u2019s CIZ Daily File: Consequences for Anomaly 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Working paper, Southern Methodist University"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,19]],"date-time":"2026-10-19T14:39:17Z","timestamp":1792420757000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7635073"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":20,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7635073","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}