We are supposed to filter by market cap and trading volume. The trading volume is not in CCM, but it is in CRSP, in both the daily and monthly files. Do you want us to use the monthly stock file, then multiply price by volume, divide by 30, and then merge back into our data from CCM?

Ideally we would have subscription to Compustat/CCM quarterly data which has average trading volume, but we do not. Merging between CRSP and CCM is much too difficult for this exercise. We would use CCM's CSHTR_F (trading volume per year) divided by 252 to get average number shares per day, and multiply by a representative price such as PRCC_F (closing price). This will give an $AvgVol which we desire to have above $250,000 deflated by 2.5% per annum.