CRSP permno
# obs used to estimate cMdmLevel and stdLevel
Std deviation of daily price changes, $/share
Moment estimate of C, $/share, infeasible set to 'missing'
Moment estimate of C, $/share, infeasible set to zero
# obs used to estimate cMdmLog and stdLog
Std deviation of daily log price changes
Moment estimate of c, (log eff cost), infeasible set to 'missing'
Moment estimate of c, (log eff cost), infeasible set to zero
Liquidity ratio
Square-root variant of liquidity ratio
Amihud illiquidity ratio
Square-root variant of Amihud illiquidity ratio
Liquidity ratios, # days used to compute averages
Illiquidity ratios, # days used to compute averages
Pastor and Stambaugh gamma
# observations used to compute gamma
First date used to estimate liquidity measures in this record
Last date used to estimate liquidity measures in this record
CRSP ticker as of sampleEndDate
CRSP exchcd, as of sampleEndDate
CRSP shrcd as of sampleEndDate
CRSP shrcls as of sampleEndDate
CRSP comnam as of sampleEndDate
CRSP shrout as of sampleEndDate
CRSP cfacpr on sampleStartDate / most recent prior cfacpr
# days used in Gibbs estimate, incl missing and midpoint
# days for which price is missing
# days for which the reported price was a quote midpoint
Gibbs est of C, $/share
Gibbs est of c, log
Gibbs est, std dev of random walk component, $/share
Gibbs est, std dev of log random walk component
CRSP, most recent valid closing price as of sampleEndDate
log equity market capitalization ($ Million) as of sampleEndDate