Given the multitude of indices, it is important to make sure the nuances of index methodology is understood before selecting an index for further work. CRSP Data Description Guide mentioned in the references section of this paper is the source to be consulted for further details. As mentioned ...
(1969). As much as splits are intuitively appealing for the purpose of this type of research, they also lend themselves well in illustrating the methodology. Ultimately same type of dataset is needed for any event study whether focusing on earning surprises, stock splits etc. The dataset ...
My methodology is as follows. At the end of month, I exclude all stocks with 1) price< $5 2) market cap in the smallest 10% 3) no missing monthly return for previous 6 months.(Here, I understand the sequence of these operations matters, but any choice is fine). After this, I ...
Some financial index performance statistics introduced. CRSP INDICES CRSP calculates broad range of indices which differ by the universe of securities used, rebalancing frequency, weighting type and other characteristics defined by particulars of methodology. Every index is related to more than one series...