firms on the CRSP tape
still offers some substantial insights, at least as a case study.
[PUBLIC.sub.j] = 1 if the target j is publicly traded and listed on the CRSP tape
and 0 otherwise.
B-S utilize daily returns contained on the CRSP tape
to compute portfolio returns.
For the data, we collect 156 stock recommendations made by the "Pros" in the "Dartboard" column between October 4, 1988, and December 6, 1991.(2) Daily returns and volume data are available on the 1993 CRSP tape
for 140 of these firms.
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.
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.
Monthly returns on the stock and Standard & Poor's 500 index are calculated from information available on the PDE COMPUSTAT tape (hereafter, the PDE tape) and the CRSP daily stock returns tape (hereafter, the CRSP tape
We begin by searching the 1992 Center for Research in Security Prices (CRSP) tapes, both NYSE/AMEX and Nasdaq, for either the first cash dividend payment since the listing of the stock or the resumption of dividends after at least ten years of non-payment.(3) We exclude firms whose first ex-dividend date comes during the initial year of listing in the CRSP tape
. This requirement guarantees data availability for market-model estimation in the event study.
Foreign firms that are listed on the New York Stock Exchange, American Stock Exchange, or the NASDAQ were identified from the CRSP tapes
. All foreign firms traded in the form of common shares as well as ADRs are included in the sample.
The first step in our empirical analysis is a replication of the Litzenberger and Ramaswamy (1979) experiment using the same data (the monthly CRSP tapes
) and the same time period (1936-1977).
The sample selection process for this study started by identifying all firms listed as ADRs on the 1994 CRSP tapes
. This provided a list of 368 ADRs, with some firms having multiple issues.