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.
Foreign firms that are listed on the New York Stock Exchange, American Stock Exchange, or the NASDAQ were identified from the CRSP tapes.
In each scenario, foreign firms are randomly drawn from the CRSP tapes with replacement and assigned to 250 random samples.
However, their method ignores announcements of dividend omissions, since these are not reported on the
CRSP tapes from which they obtain their data.
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.
All securities listed on the
CRSP tapes are assigned a decile ranking based on year-end market value of equity.
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.
First it permits the use of the
CRSP tapes (Center for Research in Security Prices from the University of Chicago) that contain stock return data for all stocks listed on these exchanges.
The daily stock returns data are obtained from the 1993
CRSP tapes; 577 firms are not listed in the
CRSP tapes.
This sample is compiled from the delistings due to takeovers obtained from the
CRSP tapes.
