                                                                  15:37 Wednesday, April 6, 2005  34

The CONTENTS Procedure

Data Set Name        SASDS.PERMNOSAMPLECOMPARISON             Observations          2749
Member Type          DATA                                     Variables             12
Engine               V9                                       Indexes               0
Created              Tuesday, January 11, 2005 12:58:50 PM    Observation Length    104
Last Modified        Tuesday, January 11, 2005 12:58:50 PM    Deleted Observations  0
Protection                                                    Compressed            NO
Data Set Type                                                 Sorted                YES
Label
Data Representation  WINDOWS_32
Encoding             wlatin1  Western (Windows)


                                 Engine/Host Dependent Information

Data Set Page Size          12288
Number of Data Set Pages    24
First Data Page             1
Max Obs per Page            117
Obs in First Data Page      95
Number of Data Set Repairs  0
File Name                   c:\Active\Asset Pricing 2003\AP11\Liquidity Distribution\v01\Sas
                            Datasets\permnosamplecomparison.sas7bdat
Release Created             9.0101M3
Host Created                XP_PRO


                  Alphabetic List of Variables and Attributes

 #    Variable           Type    Len    Format    Label

 9    COMNAM             Char     32              Company Name
 6    EXCHCD             Num       6              Exchange Code
 7    SHRCD              Num       6              Share Code
 8    SHRCLS             Char      1              Share Class
10    SHROUT             Num       6              Number of shares outstanding
 3    SampleEndDate      Num       8    DATE9.
 5    TICKER             Char      5              Exchange Ticker Symbol
11    dFacpr             Num       8
 4    kSpan              Num       8
 1    permno             Num       8              CRSP Permanent Number
 2    sampleStartDate    Num       8    DATE9.
12    year               Num       8


         Sort Information

Sortedby       permno SampleEndDate
Validated      YES
Character Set  ANSI
sasds.permnosamplecomparison                                      15:37 Wednesday, April 6, 2005  35

                   s
                   a
                   m         S
                   p         a
                   l         m
                   e         p
                   S         l
                   t         e
                   a         E
       p           r         n    T    E    S C                                   S   d
       e           t         d  k I    X  S H O                                   H   F
       r           D         D  S C    C  H R M                                   R   a   y
  O    m           a         a  p K    H  R C N                                   O   c   e
  b    n           t         t  a E    C  C L A                                   U   p   a
  s    o           e         e  n R    D  D S M                                   T   r   r

   1 10002 02JAN1997 31DEC1997 13 SABC 3 11   SOUTH ALABAMA BANCORPORATION INC   4246 . 1997
   2 10012 02JAN1997 31DEC1997 13 DPAC 3 10   DENSE PACIFIC MICROSYSTEMS INC    17501 . 1997
   3 10019 03JAN1995 29DEC1995 10 IFRS 3 11   I F R SYSTEMS INC                  5472 . 1995
   4 10026 02JAN2002 31DEC2002 19 JJSF 3 11   J & J SNACK FOODS CORP             8905 . 2002
   5 10028 02JAN1996 31DEC1996 15 DLS  2 11   DALLAS GOLD & SILVER EXCHANGE IN   5796 . 1996
   6 10035 02JAN2002 31DEC2002 18 GGUY 3 11   GOOD GUYS INC                     26697 . 2002
   7 10042 02JAN2001 31DEC2001 18 CAU  2 11   CANYON RESOURCES CORP             14402 . 2001
   8 10056 02JAN2002 31DEC2002 20 NMIL 3 11   NEWMIL BANCORP INC                 4235 . 2002
   9 10062 02JAN1997 31DEC1997 14 ENSO 3 11   ENVIROSOURCE INC                  40714 . 1997
  10 10071 02JAN1996 31DEC1996 13 AB   1 11   ALEX BROWN INC                    15956 . 1996
  11 10074 03JAN1994 30DEC1994 15 ABSI 3 11   A B S INDUSTRIES INC               5052 . 1994
  12 10078 02JAN1998 31DEC1998 16 SUNW 3 11   SUN MICROSYSTEMS INC             385265 . 1998
  13 10087 02JAN1997 31DEC1997 14 BUTI 3 11   BEAUTICONTROL COSMETICS INC        5928 . 1997
  14 10089 02JAN1996 31DEC1996 12 ATGI 3 11   ALPHA TECHNOLOGIES GROUP INC       6664 . 1996
  15 10089 02JAN2002 31DEC2002 18 ATGI 3 11   ALPHA TECHNOLOGIES GROUP INC       7110 . 2002
  16 10100 03JAN1995 29DEC1995 12 AMCE 3 11   AMERICAN CLAIMS EVALUATION INC     4250 . 1995
  17 10114 03JAN1994 30DEC1994  9 AKLM 3 11   ACCLAIM ENTERTAINMENT INC         39503 . 1994
  18 10119 03JAN1995 29DEC1995 13 TW   1 11   20TH CENTURY INDUSTRIES           51493 . 1995
  19 10143 02JAN1996 31DEC1996 11 ONCS 3 11   ONCOGENE SCIENCE INC              22184 . 1996
  20 10163 04JAN1993 31DEC1993 10 XRIT 3 11   X RITE INC                        10469 . 1993
                                                                  15:37 Wednesday, April 6, 2005  36

The CONTENTS Procedure

Data Set Name        SASDS.DAYFILE                             Observations          662067
Member Type          DATA                                      Variables             13
Engine               V9                                        Indexes               0
Created              Thursday, January 13, 2005 03:49:07 PM    Observation Length    101
Last Modified        Thursday, April 07, 2005 12:41:21 PM      Deleted Observations  0
Protection                                                     Compressed            NO
Data Set Type                                                  Sorted                NO
Label
Data Representation  WINDOWS_32
Encoding             Default


                                 Engine/Host Dependent Information

Data Set Page Size          8192
Number of Data Set Pages    8278
First Data Page             1
Max Obs per Page            80
Obs in First Data Page      58
Number of Data Set Repairs  0
File Name                   c:\Active\Asset Pricing 2003\AP11\Liquidity Distribution\v01\Sas
                            Datasets\dayfile.sas7bdat
Release Created             8.0202M0
Host Created                SunOS


                      Alphabetic List of Variables and Attributes

 #    Variable         Type    Len    Format       Label

11    BAMeod           Num       8    DOLLAR8.3    BAM, end of day
 2    DATE             Num       8    DATE.        Quote date
 9    Spread           Num       8                 Time-wtd avg spread
 4    dVol             Num       8    DOLLAR8.     Daily dollar volume
10    logSpread        Num       8                 Time-wtd avg log spread
13    logSpreadEOD     Num       8                 log(spread), end of day
 8    nObs             Num       8
 7    nT               Num       8
12    spreadEOD        Num       8                 spread, end of day
 1    symbol           Char      5
 3    tSign            Num       8                 Net number of signed trades
 5    tSignDVol        Num       8    DOLLAR8.     Net signed dollar volume
 6    tSignSqrtDVol    Num       8    DOLLAR8.     Net signed square root dollar volume
sasds.dayfile                                                     15:37 Wednesday, April 6, 2005  37

                                                t
                                                S                                      l
                                                i                                      o
                                                g                                      g
                                       t        n                l               s     S
                                       S        S                o               p     p
                                       i        q                g               r     r
        s                              g        r        S       S           B   e     e
        y            t                 n        t        p       p           A   a     a
        m      D     S        d        D        D   n    r       r           M   d     d
   O    b      A     i        V        V        V   O    e       e           e   E     E
   b    o      T     g        o        o        o n b    a       a           o   O     O
   s    l      E     n        l        l        l T s    d       d           d   D     D

     1 AAMC 04JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     2 AAMC 05JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     3 AAMC 06JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     4 AAMC 07JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     5 AAMC 08JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     6 AAMC 11JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     7 AAMC 12JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     8 AAMC 13JAN93  .        .        .        . . 1 0.50000 0.33647   $1.500 0.50 0.33647
     9 AAMC 14JAN93 -1   $2,500  $-2,500     $-50 1 2 0.36291 0.25194   $1.375 0.25 0.18232
    10 AAMC 15JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    11 AAMC 18JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    12 AAMC 19JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    13 AAMC 20JAN93 -1   $2,750  $-2,750     $-52 1 1 0.25000 0.18232   $1.375 0.25 0.18232
    14 AAMC 21JAN93 -1     $375    $-375     $-19 1 1 0.25000 0.18232   $1.375 0.25 0.18232
    15 AAMC 22JAN93 -1   $3,750  $-3,750     $-61 1 1 0.25000 0.18232   $1.375 0.25 0.18232
    16 AAMC 25JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    17 AAMC 26JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    18 AAMC 27JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    19 AAMC 28JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
    20 AAMC 29JAN93  .        .        .        . . 1 0.25000 0.18232   $1.375 0.25 0.18232
                                                                  15:37 Wednesday, April 6, 2005  38

The CONTENTS Procedure

Data Set Name        SASDS.MONFILE                             Observations          31676
Member Type          DATA                                      Variables             8
Engine               V9                                        Indexes               0
Created              Thursday, January 13, 2005 03:49:20 PM    Observation Length    61
Last Modified        Thursday, April 07, 2005 12:41:21 PM      Deleted Observations  0
Protection                                                     Compressed            NO
Data Set Type                                                  Sorted                NO
Label
Data Representation  WINDOWS_32
Encoding             Default


                                 Engine/Host Dependent Information

Data Set Page Size          8192
Number of Data Set Pages    240
First Data Page             1
Max Obs per Page            133
Obs in First Data Page      105
Number of Data Set Repairs  0
File Name                   c:\Active\Asset Pricing 2003\AP11\Liquidity Distribution\v01\Sas
                            Datasets\monfile.sas7bdat
Release Created             8.0202M0
Host Created                SunOS


 Alphabetic List of Variables and Attributes

#    Variable       Type    Len    Format

6    Spread         Num       8
8    date           Num       8    MONYY7.
3    effCost        Num       8    DOLLAR6.3
4    effCostLog     Num       8
2    effcostNobs    Num       8
7    logSpread      Num       8
5    nObs           Num       8
1    symbol         Char      5
sasds.monfile                                                     15:37 Wednesday, April 6, 2005  39

                   effcost       eff      eff                           log
  Obs    symbol      Nobs       Cost    CostLog    nObs     Spread     Spread       date

    1    AAMC           4     $0.125    0.09116      21    0.35565    0.24746    JAN1993
    2    ABF         1410     $0.061    0.00300     845    0.23044    0.01142    JAN1993
    3    ABPCA       1178     $0.161    0.00627     174    0.50507    0.01967    JAN1993
    4    ADVA          48     $0.101    0.03682      31    0.23140    0.08324    JAN1993
    5    AGRI         156     $0.111    0.02491      31    0.33915    0.07533    JAN1993
    6    AKRN         113     $0.061    0.02922      60    0.20061    0.09524    JAN1993
    7    AMER         459     $0.199    0.00726     113    0.58584    0.02180    JAN1993
    8    ARTG         554     $0.130    0.01447      66    0.37677    0.04210    JAN1993
    9    ASC         1114     $0.079    0.00183     970    0.29427    0.00683    JAN1993
   10    ASM           84     $0.139    0.00625     105    0.34465    0.01569    JAN1993
   11    AW           660     $0.056    0.01860     309    0.14555    0.04782    JAN1993
   12    AWS           32     $0.126    0.01562      73    0.28381    0.03493    JAN1993
   13    AXP        17227     $0.054    0.00220    3018    0.14536    0.00586    JAN1993
   14    BDT          540     $0.075    0.00444     672    0.26943    0.01600    JAN1993
   15    BEBA         166     $0.180    0.01637      60    0.61556    0.05502    JAN1993
   16    BEIH         106     $0.075    0.01870      29    0.27867    0.06782    JAN1993
   17    BFRS         336     $0.162    0.02049      70    0.42240    0.05441    JAN1993
   18    BLC          289     $0.119    0.00287     301    0.31406    0.00761    JAN1993
   19    BOCB        2140     $0.122    0.00384     270    0.45602    0.01441    JAN1993
   20    BODY          87     $0.243    0.11031      29    0.60095    0.27678    JAN1993
                                                                  15:37 Wednesday, April 6, 2005  40

The CONTENTS Procedure

Data Set Name        SASDS.ESTFILE                             Observations          251296
Member Type          DATA                                      Variables             15
Engine               V9                                        Indexes               0
Created              Thursday, January 13, 2005 03:49:23 PM    Observation Length    146
Last Modified        Thursday, April 07, 2005 12:41:21 PM      Deleted Observations  0
Protection                                                     Compressed            NO
Data Set Type                                                  Sorted                NO
Label
Data Representation  WINDOWS_32
Encoding             Default


                                 Engine/Host Dependent Information

Data Set Page Size          16384
Number of Data Set Pages    2266
First Data Page             1
Max Obs per Page            111
Obs in First Data Page      94
Number of Data Set Repairs  0
File Name                   c:\Active\Asset Pricing 2003\AP11\Liquidity Distribution\v01\Sas
                            Datasets\estfile.sas7bdat
Release Created             8.0202M0
Host Created                SunOS


                      Alphabetic List of Variables and Attributes

 #    Variable                 Type    Len    Format     Label

 3    _DEPVAR_                 Char     13               Dependent variable
12    _EDF_                    Num       8               Error degrees of freedom
10    _IN_                     Num       8               Number of regressors in model
 2    _MODEL_                  Char     32               Label of model
11    _P_                      Num       8               Number of parameters in model
 4    _RMSE_                   Num       8               Root mean squared error
13    _RSQ_                    Num       8               R-squared
 9    dBAM                     Num       8
15    date                     Num       8    MONYY7.
 6    dlogBAM                  Num       8
14    nRegressionObsNonZero    Num       8
 1    symbol                   Char      5
 5    tSign                    Num       8
 8    tSignDVol                Num       8
 7    tSignSqrtDVol            Num       8
sasds.estfile                                                     15:37 Wednesday, April 6, 2005  41

                                                                                          n
                                                                                          R
                                                                                          e
                                                                                          g
                                                                                          r
                                                                                          e
                                                                                          s
                                                                                          s
                                                       t                                  i
                                                       S                                  o
                                                       i                                  n
                                                       g                                  O
                                                       n          t                       b
                _                                      S          S                       s
             _  D                           d          q          i                       N
         s   M  E           _               l          r          g                       o
         y   O  P           R        t      o          t          n          _     _      n
         m   D  V           M        S      g          D          D  d _     E     R      Z       d
   O     b   E  A           S        i      B          V          V  B I _   D     S      e       a
   b     o   L  R           E        g      A          o          o  A N P   F     Q      r       t
   s     l   _  _           _        n      M          l          l  M _ _   _     _      o       e

     1 AAMC  m1 dlogBAM 0.001701  0.019269 -1 .          .           . 1 1 1539 0.25000   1 JAN1993
     2 AAMC  m2 dlogBAM 0.001682   .       -1 .000411068 .           . 1 1 1539 0.26667   1 JAN1993
     3 AAMC  m3 dlogBAM 0.001681  0.004299 -1 .000327125 .           . 2 2 1538 0.26799   1 JAN1993
     4 AAMC  m4 dlogBAM 0.001697  0.014598 -1 .          .000001993  . 2 2 1538 0.25404   1 JAN1993
     5 AAMC  m5 dBAM    0.002759  0.031250  . .          .          -1 1 1 1539 0.25000   1 JAN1993
     6 AAMC  m6 dBAM    0.002729   .        . .000666667 .          -1 1 1 1539 0.26667   1 JAN1993
     7 AAMC  m7 dBAM    0.002727  0.006973  . .000530528 .          -1 2 2 1538 0.26799   1 JAN1993
     8 AAMC  m8 dBAM    0.002753  0.023675  . .          .000003232 -1 2 2 1538 0.25404   1 JAN1993
     9 ABF   m1 dlogBAM 0.002607 -0.000068 -1 .          .           . 1 1 1528 0.00065 194 JAN1993
    10 ABF   m2 dlogBAM 0.002603   .       -1 .000000921 .           . 1 1 1528 0.00324 194 JAN1993
    11 ABF   m3 dlogBAM 0.002588 -0.000466 -1 .000003103 .           . 2 2 1527 0.01535 194 JAN1993
    12 ABF   m4 dlogBAM 0.002606 -0.000103 -1 .          9.5443E-10  . 2 2 1527 0.00153 194 JAN1993
    13 ABF   m5 dBAM    0.052964 -0.001379  . .          .          -1 1 1 1528 0.00064 194 JAN1993
    14 ABF   m6 dBAM    0.052913   .        . .000016699 .          -1 1 1 1528 0.00258 194 JAN1993
    15 ABF   m7 dBAM    0.052651 -0.008798  . .000057911 .          -1 2 2 1527 0.01304 194 JAN1993
    16 ABF   m8 dBAM    0.052972 -0.001830  . .          .000000013 -1 2 2 1527 0.00101 194 JAN1993
    17 ABPCA m1 dlogBAM 0.002028  0.000444 -1 .          .           . 1 1 1539 0.04149  85 JAN1993
    18 ABPCA m2 dlogBAM 0.001996   .       -1 .000003745 .           . 1 1 1539 0.07164  85 JAN1993
    19 ABPCA m3 dlogBAM 0.001994 -0.000246 -1 .000005113 .           . 2 2 1538 0.07482  85 JAN1993
    20 ABPCA m4 dlogBAM 0.002029  0.000410 -1 .          .000000001  . 2 2 1538 0.04187  85 JAN1993
