selection begins with a search of the Securities Class Action Clearinghouse web site for private securities
litigation between 1997 and 2005 .
The sample consists of securities lawsuits that were initiated by shareholders under SEC Rule 10b-5 and each lawsuit alleged fraud in connection with the purchase or sale of the defendant firm’s securities./
Of the 347 securities lawsuits identified, 44 lawsuits with missing monetary penalty data are excluded. /
Data from the Center for Research in Security Prices (CRSP) database is used to calculate the three-day investor reaction around the end of class period date./
Firm characteristics data is obtained from Compustat. Securities lawsuit
allegations data is from the Securities Class Action Clearinghouse web site. /. / Accordingly, 210 firms are deleted
from the sample because of unavailable CRSP, firm characteristics, lawsuit allegations
and CEO turnover data, resulting in a final sample of 93 firms.