CRSP us stock databases
CRSP is renowned for its expertise in building and maintaining unequaled, historical, academic research quality stock market databases. The CRSP® US Stock Database provides a unique research source characterized by its unmatched breadth, depth, and completeness. It includes CRSP's unique permanent identifiers allowing for clean and accurate backtesting, time-series and event studies, measurement of performance, accurate benchmarking, and securities analysis.
The CRSP US Stock Database contains end-of-day and month-end prices on all listed NYSE, AMEX, and NASDAQ common stocks along with basic market indices, and includes the most comprehensive distribution information available, with the most accurate total return calculations.
Key Features include:
Data for Individual NYSE, AMEX and NASDAQ Securities:
- Bid or Low Price
- Ask or High Price
- Open Price
- NYSE open price data beginning on December 31, 1925 and continuing to June 1962; beginning in June 1992 and continuing through the most recent update
- Closing Price
- Holding Period Return
- Year-end Capitalization
- Shares Outstanding and Security Delisting Information
- Distribution Information:
- Description of Distribution
- Dividend Amount
- Factors to Adjust Price and Shares
- Security and Company Linking Information
- Dates: Declaration, Ex-distribution, Record and Payment
- Year-end Capitalization Portfolio
- Trading Volume
- Historical Descriptive Information:
- Name
- Share Class
- CUSIP
- Share Code
- Ticker
- Exchange Code
- SIC Code
- NYSE Data - All data series begin on December 31, 1925
- AMEX Data - All data series begin on July 2, 1962
- NASDAQ Data - All data series begin on December 14, 1972
Identifying Information:
- PERMNO, CRSP’s unique and permanent issue identification number
- PERMCO, CRSP’s unique and permanent company identification number
Market Indices:
- Value-Weighted Returns, excluding dividends
- Value-Weighted Returns, including all distributions
- Equal-Weighted Returns, including all distributions
- Equal-Weighted Returns, excluding dividends
- Total Market Capitalization
Benchmark Indices:
- Total Market Count
- S&P 500 Composite Index
- NASDAQ Composite Index
Supplemental Data for Individual NASDAQ Securities:
- Historical Traits Information:
- Market Maker Count
- NASD Classification
- Trading Status
- Number of Trades
- Closing Bid and Ask
Delivery Format and Method:
- CRSP stock data is delivered in little- and big-endian binary on DVD.
- The database is provided in the proprietary CRSPAccess format.
- CRSPAccess provides data management to multiple levels of users, enhancing the distribution and processing of the data.
- The Installation programs and scripts copy data and program files from the Tools and Installation CD-ROM to disk, and set the necessary parameters.
- CRSP-provided data access includes:
- Precompiled utility software for processing and sub-setting data for non-programmers.
- Direct- or sequential-access programming support, via CRSP-provided access functions with pre-compiled FORTRAN-95 and C-language software libraries.
- Data can also be accessed via CRSP’s DOS-based stk_print (stock data report writer).
- Third party access is provided via the WRDS (Wharton Research Data Services) internet platform (for academic and government subscribers only)
- Third party access is also provided via the SAS SASECRSP engine.
- Shipment Schedule:
- Annual Updates: The database is updated with data for the most recent year, and the annual update is made available the following February.
- Quarterly Updates:The database is updated with data for the most recent quarter, and the quarterly update is made available at the end of the following month.
- Monthly Updates: The database is updated with data for the most recent month, and the monthly update is made available after the 12th trading day of the following month.
For additional information regarding the CRSP US Stock Databases, please contact subscriptions@crsp.ChicagoGSB.edu or call Subscriptions at 312-263-6400.