Changes

===Dataset Processing Notes===

#The flag variables were reviewed for variation - some had no bite (e.g. Spinoff, TwoStepSpinOff, and Splitoff) and were ignored. Others led to data being discarded as flag exclusions.

#Restriction were placed on the data (Completion, flags, exclude LBOs) etc. This reduced the data to 40,035 observations

#Acquiror and Target names were keyed to account for repetitions etc.

#Duplicate acquisition data (same event) was eliminated

#Multiple acquisition of the same target (i.e. a target is acquired, spun-off and acquired again, etc) were eliminated.

#CRSP data was retrieved and processed (see below). After processing we had data for 23,802 observations.

#COMPUSTAT data was retrieved and processed (see below)

*State codes were reprocessed to numerics using the lookup table below

*IT, BT (Biotech), HT (Hightech) and NAIC1, NAIC2, NAIC3, Indu1, Indu2, Indu3 variables were created using the lookup tables below (see the variable descriptions for more info). Note that the IT, BT and HT variables were coding using aggregate codes whereever possible (i.e. 517110, etc, all appear in IT and cover the 517 code entirely, so the 517 block would be coded as IT even if SDC recorded the code as 517000.

Other Notes:

**Let <math>\epsilon</math> be the residual from the mkt model regression. Then calc: <math>\sigma_{\epsilon}={( \mathbb{E}(\epsilon - \mathbb{E} \epsilon))}^{\frac{1}{2}}</math>

**RMSE of the Mkt Model: <math>RMSE={( \mathbb{E}(X- \mathbb{E} X))}^{\frac{1}{2}}</math> - this is in the ereturn list in STATA and will be used for the Patell Standard Errors.

**The cummulative return <math>CAR_i = \sum_t AR_i</math>

===COMPUSTAT Data===