2. Description of the sample
2. I. Random sample of firms
The sample consists of 360 firms selected at random from a population
defined as follows:
Firms are represented in the Center for Research in Security Prices (CRSP)
Daily Returns File throughout 1972. The CRSP database includes companies
listed on the New York or American Stock Exchange. There are 2556
firms in the database that were listed throughout 1972.
Firms are included in Moody’s Industrial Manual. This excludes banking,
insurance and other financial companies as well as utilities and transportation
companies.
The time period of our analysis is from 1972 to 1982. A firm is removed
from the sample at the time its return series ends on the CRSP Daily Returns
File. Table 1 presents the pattern of survivorship in the sample. The number of
firms leaving the sample is quite evenly distributed over the years 1973 through
1982. The largest number of firms (17) left the sample in 1978 and the smallest
number (8) left in 1976. At the end of 1982, the sample contains 221 firms, or