CRSP

CRSP Daily and Monthly US Stock Database

CRSP provides annual updates of 2 databases; end-of-day and month-end. These contain price, volume, return, distribution, and name history data on NYSE, AMEX and Nasdaq common stocks with basic market indices.

  • End-of-Day and Month-End Data: NYSE/AMEX data includes: High, low, bid, ask, closing price, trading volume, shares outstanding, capital appreciation, income appreciation, total return, year-end capitalization, and year-end capitalization portfolio. Nasdaq data also includes: closing bid, ask, number of trades, historical traits information, market maker count, trading status, and NASD classification.
  • History: NYSE - monthly data begins December 1925, daily July 1962. AMEX - both monthly and daily data begin July 1962. Nasdaq - both monthly and daily data begins December, 14 1972.
  • Identifying Information: Offering seamless and accurate time series analysis, CRSP data includes unique permanent issue and company identifiers, PERMNO and PERMCO. --Complete Name History records for each security containing all historical: PERMNO, PERMCO, CUSIPs, exchange codes, ticker symbols, SIC codes, share classes, share codes, and security delisting information.
  • Distribution Information: descriptions of all distributions, dividend amounts, factors to adjust price and shares, declarations, ex-distributions, record and payment dates, and security and company linking information.

CRSP US Indices Database

The CRSP Stock File Indices include Value- and Equal-Weighted Indices, with or without dividends, the S&P 500 Composite Index and returns, NASDAQ Composite Index with return, and security data needed to link stocks to the CRSP US Market Cap-Based Portfolios, the US Government Consumer Price Index, CRSP Treasury and Inflation Index (CTI) and the CRSP Risk-Free Rates File.

CRSP US Monthly Treasury Database

CRSP provides complete historical descriptive information and market data including prices, returns, accrued interest, yields and durations for US Treasury bills, notes and bonds. The CRSP US Treasury Databases are available in two periodicities: end-of-day and month-end. The data is updated annually. The monthly product contains data for approximately 5,000 bonds, notes, and bills since 1925. The CRSP US Government Bills, Notes, and Bonds

Location

The CRSP Databases can be accessed via WRDS.

CRSP data are also accessible from the PCs in the Research Data Laboratory, (Room 3.08, Level 3, Spot Building) for faculty and postgraduate students.

The CRSP databases have been installed on a network SQL server. They may be accessed by all faculty staff from their own computers.

The network address is: \\EcomSS-SQL-01\DataBase\CRSP

This drive may be accessed  in three ways:

  •  Through the Start menu using the Run command.
  •  By setting a windows network drive.
  •  By typing the address in Internet Explorer.

File Formats: ASCII, SAS and Microsoft Access(selected subsets)

www.crsp.com