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.
In each scenario, foreign firms are randomly drawn from the CRSP tapes with replacement and assigned to 250 random samples.
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.
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
. Information on the announcement date, the resolution date, and the characteristics of the takeover is gathered from the WSJI.