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We document that CRSP and Thomson contain many voluntarily reported mutual fund portfolios that are not in SEC filings while, additionally, CRSP and Thomson are missing many SEC mandated portfolios available in SEC filings. We document that the voluntary disclosures are likely driven by convenience rather than duplicity. Although mandated portfolios contain securities with more return momentum, we find use of SEC or Thomson data lead to similar empirical findings. CRSP, however, contains inaccurate position information prior to 2008. Our findings have important implications, such as highlighting a 35% increase in observed manager trading by combining data sources. (JEL G11, G23)The authors thank the Editor, Laura Starks, and an anonymous referee for extensive, helpful comments and Meerae Park, Teri Wang, Chengdong Yin, and Thomas Howland for outstanding research assistance. The authors acknowledge and thank seminar participants at Babson College, UC Irvine, and the 2012 NFA Annual Meeting for helpful comments. All errors are the responsibility of the authors. Send correspondence to Christopher Schwarz, University of California -Irvine, Paul Merage School of Business, SB2 329, Irvine, CA 92697; telephone: 949-824-0936. E-mail: cschwarz@uci.edu. 1 Financial research has greatly benefited from data availability. Instead of hand-collecting data, researchers have largely relied on database vendors, such as the Center for Research in Security Prices (CRSP) and Thomson Financial. Over time, researchers have examined these commercial databases for both their coverage and their reliability. For example, the accuracy of the CRSP Stock Databases has been improved through the documentation of various data issues (e.g., Rosenberg and Houglet 1974;Bennin 1980;Shumway 1997;Canina et al. 1998;Shumway and Warther 1999). Elton, Gruber, and Blake (2001) Gruber, and Blake 2011, 2012) find that increased disclosure frequency is important when examining managers' trading performance.Our findings make several contributions to the commercial database coverage and reliability research and asset management literatures. First, we document that commercial mutual fund portfolio databases are not replicas of the mandatory SEC-filed portfolios; rather, they are combinations of voluntary and mandatory disclosures. More importantly, we find these databases do not contain all mandatory disclosures available through SEC filings for funds they cover.Second, we document that incentives such as convenience can lead to financial firms providing more disclosure information than is required by regulatory agencies. Third, the use of CRSP portfolio data prior to the fourth quarter of 2007 should be avoided. Fourth, we demonstrate a significant increase in observed manager trading by combining multiple mutual fund portfolio databases.Finally, although we find no significant empirical differences, researchers should perform their analyses using various portfolio datasets as a robustness check because some findings could be sensitive to database selecti...

We find that opinion divergence among professional investment managers is commonplace, using a large sample of transaction-level institutional trading data. When managers trade together, future returns are similar regardless if they are all buying or selling, inconsistent with the notion that professional investment managers possess stock picking ability or private information that is of investment value. However, when managers trade against each other, subsequent returns are low, especially for stocks that are difficult to short. This U-shaped disagreement-return relationship is consistent with Miller's (1977) hypothesis that, in the presence of short-sale constraints, opinion divergence can cause an upward bias in prices. Copyright (c) 2008 The Authors Journal compilation (c) 2008 Blackwell Publishing Ltd.

We document that CRSP and Thomson contain many voluntarily reported mutual fund portfolios that are not in SEC filings while, additionally, CRSP and Thomson are missing many SEC mandated portfolios available in SEC filings. We document that the voluntary disclosures are likely driven by convenience rather than duplicity. Although mandated portfolios contain securities with more return momentum, we find use of SEC or Thomson data lead to similar empirical findings. CRSP, however, contains inaccurate position information prior to 2008. Our findings have important implications, such as highlighting a 35% increase in observed manager trading by combining data sources. (JEL G11, G23)The authors thank the Editor, Laura Starks, and an anonymous referee for extensive, helpful comments and Meerae Park, Teri Wang, Chengdong Yin, and Thomas Howland for outstanding research assistance. The authors acknowledge and thank seminar participants at Babson College, UC Irvine, and the 2012 NFA Annual Meeting for helpful comments. All errors are the responsibility of the authors. Send correspondence to Christopher Schwarz, University of California -Irvine, Paul Merage School of Business, SB2 329, Irvine, CA 92697; telephone: 949-824-0936. E-mail: cschwarz@uci.edu. 1 Financial research has greatly benefited from data availability. Instead of hand-collecting data, researchers have largely relied on database vendors, such as the Center for Research in Security Prices (CRSP) and Thomson Financial. Over time, researchers have examined these commercial databases for both their coverage and their reliability. For example, the accuracy of the CRSP Stock Databases has been improved through the documentation of various data issues (e.g., Rosenberg and Houglet 1974;Bennin 1980;Shumway 1997;Canina et al. 1998;Shumway and Warther 1999). Elton, Gruber, and Blake (2001) Gruber, and Blake 2011, 2012) find that increased disclosure frequency is important when examining managers' trading performance.Our findings make several contributions to the commercial database coverage and reliability research and asset management literatures. First, we document that commercial mutual fund portfolio databases are not replicas of the mandatory SEC-filed portfolios; rather, they are combinations of voluntary and mandatory disclosures. More importantly, we find these databases do not contain all mandatory disclosures available through SEC filings for funds they cover.Second, we document that incentives such as convenience can lead to financial firms providing more disclosure information than is required by regulatory agencies. Third, the use of CRSP portfolio data prior to the fourth quarter of 2007 should be avoided. Fourth, we demonstrate a significant increase in observed manager trading by combining multiple mutual fund portfolio databases.Finally, although we find no significant empirical differences, researchers should perform their analyses using various portfolio datasets as a robustness check because some findings could be sensitive to database selecti...