I guess this is a pretty straight forward and basic question. I am using the entire CRSP universe from 1962-2016 and my goal is to replicate a research paper. However, I realized that the average (value weighted) return of my downloaded CRPS data is too high in comparison to e.g. the original paper, or market return data from the Kenneth R. French website. The difference is significant ~ 3% higher, thus I am a bit clueless as to what I did wrong.
What I did: I used holding period return data for the entire data base and took the PERMNO to identify single stocks. Moreover I only select those issues with a share code of 10 or 11 and I have added the delist return to the appropriate date. I never worked with CRSP and I was under the impression that I accounted for everything that should be accounted for.
My question therefore is: Is there anything I missed are there any adjustments that should have been done to the data to derive the appropriate results.
I am grateful for any advise and if the conclusion is that I must have messed up, well I would be grateful for that inside too.