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Thank you, joelb! That was just the kind of article I was searching for. -Hubert

Alternatively, if anyone know of a good paper/book detailing winsorizing/trimming data that would be interesting too. It seems fairly common practice to do this, but it would be nice to have a big name researcher/professor to lend some legitimacy to the method for the report I am doing, hehe.

Hi people, I am doing a Fama-MacBeth style regression in order to judge whether one type of portfolio has outperformed another over time. The problem is that the dataset I am working with contains a lot of errors (I use Datastream). For example, some companies turn out market-to-book ratios...