I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the firms that have multiple share classes (A, B, C etc.). They are 78 firms with daily data from 2006 till 2017, which is about 190.800 observations.
I can't really figure out the best way to filter for the primary share class so that I can drop the excess observations? Does anyone have experience with this to offer some help?
I have access to the closing price, share code, share class, permco, permno and shares outstanding. I thought at least one of these variables would be a feasible way to identify a firms primary share class (the one most traded / accessible to the masses) but since not all firm's set up their share class in the same way, it's proving to be difficult.