...The work we summarize below draws on movements in the price of stock. A large data base compiled by the Center for Research in Security Prices at the University of Chicago contains daily price movements for every stock traded on the New York and American Stock Exchanges...

...data set consisted of 5,200 + daily returns (including dividends) on the value-weighted portfolio of the Center for Research in Security Prices at the University of Chicago (CRSP). From this initial data set we constructed a weekly returns series. The latter is, in principle,...

...Perspective. For the United States, 1969 and 1981 data are for the New York Stock Exchange only, and are from the Center for Research in Security Prices at the University of Chicago as reported by lbbotson and Brinson (1993), pp. 156-157. Total Capitalization of Stock Markets, in...

...method of estimating portfolio beta, alpha, and residual risk at the same time. I use monthly data from the Center for Research in Security Prices at the University of Chicago for the period 1926-1991. The portfolio method is especially useful when analyzing data over such a...

...levels and the number of employees). Daily stock returns were obtained from the data base compiled by the Center for Research in Security Prices at the University of Chicago. Interview Methods Each candidate sample firm was contacted, first by a letter describing the project...

...stocks the spreads are much wider. For example, for the smallest twenty percent of stocks as ranked by the Center for Research in Security Prices at the University of Chicago (CRSP), with market caps below about $200 million, the bid-offer spread exceeds two percent. For the...

...is a 99 percent correlation between the MSCI US return and the value-weighted return calculated by the Center for Research in Security Prices at the University of Chicago. 12. See Corgel et al. (1992) and Geurts and Jaffe (1996) for an expanded discussion of these international...

...I studied the effects of taxes on the optimal liquidation of assets. I became heavily involved with the Center for Research in Security Prices at the University of Chicago between 1973 - 1980. This led to the development of large research data files of daily security prices....

...allocation of stocks, bonds, and cashlike assets has been tested against 77 years of data provided by the Center for Research in Security Prices at the University of Chicago and Ibbotson Associates. The results are in the table. Pay particular attention to the minimum gain...

...low risk-free interest rate in 1934 of less than one-tenth of 1 percent (0.076 percent) obtained from the Center for Research in Security Prices at the University of Chicago.) 70 The value of the net assets of Fisher Body Corporation was approximately $143 million in 1926. The...