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Missing Financial Data

Author

Listed:
  • Svetlana Bryzgalova
  • Sven Lerner
  • Martin Lettau
  • Markus Pelger

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)

Suggested Citation

  • Svetlana Bryzgalova & Sven Lerner & Martin Lettau & Markus Pelger, 2025. "Missing Financial Data," The Review of Financial Studies, Society for Financial Studies, vol. 38(3), pages 803-882.
    • Handle: RePEc:oup:rfinst:v:38:y:2025:i:3:p:803-882.
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    File URL: http://hdl.handle.net/10.1093/rfs/hhae036
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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