Our sample consists of all New York Stock Exchange–American Stock
Exchange (NYSE-AMEX) firms with data available in the monthly Center
for Research in Security Prices (CRSP) database and quarterly Compustat
files for the period December 1971 through December 2001. We focus only
oncommonstocks, and eliminate American Depositary Receipts, Real Estate
Investment Trusts, Americus Trust Components, units, and closed-end funds
from the sample