CRSP tapes report stock prices and returns for all stocks listed on the NYSE, AMEX and NASDAQ exchanges.
On average, approximately 1 percent of the stocks on the CRSP tapes disappear each year because of delisting.
However, their method ignores announcements of dividend omissions, since these are not reported on the CRSP tapes from which they obtain their data.
They identify dividend omissions by screening the CRSP tapes for firms that pay dividends during two periods and then omit a dividend for at least two periods.
Securities for which CRSP had returns from the first day of daily data on CRSP tapes
(July 2, 1962 for NYSE/AMEX firms; Dec.
Using the daily CRSP tapes, the analysis reviews the announcement effect for all available disinvesting firms from 1980 to 1991.
Out of these 52 disinvesting companies, 40 had complete returns data as identified through the use of CUSIP numbers on the available version of the CRSP tapes for the relevant period of 1980 until the end of 1991.
To be included in the sample, the rival had to trade on the New York or American stock exchange so that its share prices were available on the CRSP tapes.
Other studies examining horizontal mergers have found rivals by using four-digit SIC product codes from the CRSP tape, Standard & Poor's Registry of Corporations, or Dunn and Bradstreet's Million Dollar Directory.
The daily stock returns data are obtained from the 1993 CRSP tapes; 577 firms are not listed in the CRSP tapes.
CRSP, Value Line, and Wall Street Journal Index reflects the number of target firms (of the firms listed in Compustat Research tapes) that are also listed in the 1993 CRSP tape, followed by Value Line Investment Survey, and listed in the Wall Street Journal Index.
This sample is compiled from the delistings due to takeovers obtained from the CRSP tapes