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Apr
13
comment data on historical stock price of bankrupt companies
Compustat is a fundamental database - they store earnings, inventory, etc. - data you find in 10K and 10Q statements. CRSP provide another product that links Compustat and CRSP so you can related prices/returns with fundamental data. However, Compustat restate their data so you do not have 'point-in-time' snapshot data. A classic case is Enron - if you look at Enron's Compustat data, all their data are restated after accounting scandal. Compustat has another product that provides 'point-in-time'. However, all these are very, very expensive.
Apr
13
comment data on historical stock price of bankrupt companies
CRSP is going to be the best source. Not only you have to worry about survival bias, you have to deal with all sort of corporate action, like split, spin-off and dividends. For example, if you look at the historical data for MSFT, you will see a big drop when they paid out special dividend. Also you have to know that many companies go through name/entity change. CRSP provide PERMNO ( permanent number) that stitches all these changes. CRSP data is stored in a binary format so you are required to write your own loader in C or Fortran.