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Fama and French use data starting in 1963 in both

1) "Common risk factors in the returns on stocks and bonds" (1993) and

2) "The cross-section of expected stock returns" (1992)

and mention in (2) that "the COMPUSTAT data for earlier years have a serious selection bias; the pre-1962 data are tilted toward big historically successful firms". (link)

In French's website where he posts data, his data goes back to 1926. Is this data better and doesn't have this selection bias or does it still have it? http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

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The data that is now available in Kenneth Frenchs' website is now free of that problem so we can use all the available data which starts in 1926. The data comes from Chicago Booths' Center for Research in Security Prices (CRSP) which uses multiple sources of data to create the most accurate database for stock prices.

In a report titled "Data descriptions guide" updated in march 2017 the CRSP highlights that "CRSP stock files are designed for research and educational use and have proven to be highly accurate. Considerable resources are expended in ongoing efforts to check and improve data quality both historically and in the current update". Specifically, their data prior to 1962 does not come from COMPUSTAT like in Fama and French's paper. Instead, it comes the New York Times newspaper (1926-1933), Moody's Quarterly Dividend Record (1934-1961).

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