Know Your Industry: The Implications of Using Static Gics Classifications in Financial Research

32 Pages Posted: 19 Mar 2020

See all articles by Dean Katselas

Dean Katselas

Australian National University (ANU) - College of Business and Economics

Baljit K. Sidhu

UNSW Australia Business School, School of Accounting

Chuan Yu

UNSW Australia Business School, School of Accounting

Date Written: June 2019

Abstract

Researchers commonly use industry classifications as a means of identifying peer companies to use as a performance benchmark. We describe the structure of commonly used sources of industry classification data available for Australian listed companies, both static and in time series. Next, we run a series of experiments matching firms according to GICS classification data presented in time series versus static data sources. Our results indicate that performance measures are better specified when matching on GICS data from a dynamic relative to a static source. The results of our power tests also underscore the importance of using dynamic industry data.

Keywords: Industry, GICS, Matching, Accounting, Finance

Suggested Citation

Katselas, Dean and Sidhu, Baljit K. and Yu, Chuan, Know Your Industry: The Implications of Using Static Gics Classifications in Financial Research (June 2019). Accounting & Finance, Vol. 59, Issue 2, pp. 1131-1162, 2019, Available at SSRN: https://ssrn.com/abstract=3556057 or http://dx.doi.org/10.1111/acfi.12285

Dean Katselas (Contact Author)

Australian National University (ANU) - College of Business and Economics ( email )

Canberra
Australia

Baljit K. Sidhu

UNSW Australia Business School, School of Accounting ( email )

Sydney, NSW 2052
Australia

Chuan Yu

UNSW Australia Business School, School of Accounting ( email )

Sydney, NSW 2052
Australia

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