Missing Data in Asset Pricing Panels

We thank Gurdip Bakshi, Bruce Carlin, Andrew Chen, Zhuo Chen, Xiaohong Chen, Alex Chinco, Kevin Crotty, Wayne Ferson, Todd Gormely, Lena Janys, Andrew Karolyi, Soohun Kim, Hugues Langlois, Yan Liu, Asaf Manela, Markus Pelger, Christoph Rothe, Oleg Rytchkov, Jan Scherer, Gustavo Schwenkler, Takuya Ura, Guofu Zhou and conference and seminar participants at the University of Bonn, University of Mannheim, University of Oklahoma, SFI Lugano, University of Virginia, University of Washington, Warwick Business School, Washington University in St. Louis, The Ohio State University, Rice University, Temple University, TU Muenchen, Queen Mary University, Yale University, the World Symposium for Investment Research, HEC-McGill Winter Conference, the European Finance Association Annual Meeting, the VfS Annual Conference 2022, and EcoSta 2022 for helpful comments and discussions. Jakob Juergens provided valuable research assistance. Weber also gratefully acknowledges financial support from the University of Chicago Booth School of Business, the Fama Research Fund at the University of Chicago Booth School of Business, and the Fama-Miller Center. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.