CRSP Stock Files

The DATASOURCE Procedure

CRSP Stock Files

The Center for Research in Security Prices provides comprehensive security price data via two primary stock files, the NYSE/AMEX file and the NASDAQ file. These files are composed of master and return components, available separately or combined. CRSP stock files are further differentiated by the frequency at which prices and returns are reported, daily or monthly. Both daily and monthly files contain annual data fields.

CRSP data files come either in binary or character tape format, or in CRSP Access97 CDROM format.

CRSP stock data are provided in two files, a main data file containing security information and a calendar/indices file containing a list of trading dates and market information associated with those trading dates. If security data do not fit on one tape, they are split into two or more files, each one of which resides on a different self-contained tape. The calendar/indices file is on the first tape only.

The file types for CRSP stock files are constructed by concatenating CRSP with a D or M to indicate the frequency of data, followed by B,C, or I to indicate file formats. B is for host binary, C is for character, and I is for IBM binary formats. The last character in the file type indicates if you are reading the Calendar/Indices file (I), or if you are extracting the security (S) or annual data (A). For example, the file type for the daily NYSE/AMEX combined tape in IBM binary format is CRSPDIS. Its calendar/indices file can be read by CRSPDII, and its annual data can be extracted by CRSPDIA.

Starting in 1995, binary data tapes use split records (RICFAC=2) so the 1995 filetypes (CR95*) should be used for 1995 and 1996 binary data.

If you use utility routines supplied by CRSP to convert a character format file to a binary format file on a given host, then you need to use host binary file types (RIDFAC=1) to read those files in. Note that you can not do the conversion on one host and transfer and read the file on another host.

If you are using the CRSP Access97 Database, you will need to use the utility routine (stk_dump_bin) supplied by CRSP to generate the UNIX binary format of the data. You can access the UNIX (or SUN) binary data by using PROC DATASOURCE with the CRSPDUS for daily or CRSPMUS for monthly stock data. See the example on Example 10.11 later in this chapter.

For CRSP file types, the INFILE= option must be of the form

   INFILE=( calfile security1 < security2 ... > )

where calfile is the fileref assigned to the calendar/indices file, and securty1 < securty2 ... > are the filerefs given to the security files, in the order in which they should be read.

CRSP Calendar/Indices Files


Data Files	Database is stored in a single file.
INTERVAL=	DAY	for products DA, DR, DX, EX, NX and RA
	MONTH	for products MA, MX and MZ
BY variables	None
Series Variables	VWRETD	Value-Weighted Return (including all distributions)
	VWRETX	Value-Weighted Return (excluding dividends)
	EWRETD	Equal-Weighted Return (including all distributions)
	EWRETX	Equal-Weighted Return (excluding dividends)
	TOTVAL	Total Market Value
	TOTCNT	Total Market Count
	USDVAL	Market Value of Securities Used
	USDCNT	Count of Securities Used
	SPINDX	Level of the Standard & Poor's Composite Index
	SPRTRN	Return on the Standard & Poor's Composite Index
	NCINDX	NASDAQ Composite Index
	NCRTRN	NASDAQ Composite Return
Default KEEP List	All variables will be kept.

CRSP Daily Security Files


Data Files	INFILE=( calfile securty1 < securty2 ... > )
INTERVAL=	DAY
BY variables	CUSIP	CUSIP Identifier (character)
	PERMNO	CRSP Permanent Number (numeric)
	COMPNO	NASDAQ Company Number (numeric)
	ISSUNO	NASDAQ Issue Number (numeric)
	HEXCD	Header Exchange Code (numeric)
	HSICCD	Header SIC Code (numeric)
Sorting Order	BY CUSIP
Series Variables	BIDLO	Bid or Low
	ASKHI	Ask or High
	PRC	Closing Price of Bid/Ask Average
	VOL	Share Volume
	RET	Holding Period Return
		missing=( -66.0 = .p -77.0 = .t -88.0 = .r -99.0 = .b )
	BXRET	Beta Excess Return
		missing=( -44.0 = . )
	SXRET	Standard Deviation Excess Return
		missing=( -44.0 = . )
Events	NAMES	NCUSIP	Name CUSIP
		TICKER	Exchange Ticker Symbol
		COMNAM	Company Name
		SHRCLS	Share Class
		SHRCD	Share Code
		EXCHCD	Exchange Code
		SICCD	Standard Industrial Classification Code
	DIST	DISTCD	Distribution Code
		DIVAMT	Dividend Cash Amount
		FACPR	Factor to Adjust Price
		FACSHR	Factor to Adjust Shares Outstanding
		DCLRDT	Declaration Date
		RCRDDT	Record Date
		PAYDT	Payment Date
	SHARES	SHROUT	Number of Shares Outstanding
		SHRFLG	Share Flag
	DELIST	DLSTCD	Delisting Code
		NWPERM	New CRSP Permanent Number
		NEXTDT	Date of Next Available Information
		DLBID	Delisting Bid
		DLASK	Delisting Ask
		DLPRC	Delisting Price
		DLVOL	Delisting Volume
			missing=( -99 = . )
		DLRET	Delisting Return
			missing=( -55.0=.s -66.0=.t -88.0=.a -99.0=.p );
	NASDIN	TRTSCD	Traits Code
		NMSIND	National Market System Indicator
		MMCNT	Market Maker Count
		NSDINX	NASD Index
Default KEEP Lists	All periodic series variables will be output to the OUT= data set and all event variables will be output to the OUTEVENT= data set.

CRSP Monthly Security Files


Data Files	INFILE=( calfile securty1 < securty2 ... > )
INTERVAL=	MONTH
BY variables	CUSIP	CUSIP Identifier (character)
	PERMNO	CRSP Permanent Number (numeric)
	COMPNO	NASDAQ Company Number (numeric)
	ISSUNO	NASDAQ Issue Number (numeric)
	HEXCD	Header Exchange Code (numeric)
	HSICCD	Header SIC Code (numeric)
Sorting Order	BY CUSIP
Series Variables	BIDLO	Bid or Low
	ASKHI	Ask or High
	PRC	Closing Price of Bid/Ask average
	VOL	Share Volume
	RET	Holding Period Return
		missing=( -66.0 = .p -77.0 = .t -88.0 = .r -99.0 = .b );
	RETX	Return Without Dividends
		missing=( -44.0 = . )
	PRC2	Secondary Price
		missing=( -44.0 = . )
Events	NAMES	NCUSIP	Name CUSIP
		TICKER	Exchange Ticker Symbol
		COMNAM	Company Name
		SHRCLS	Share Class
		SHRCD	Share Code
		EXCHCD	Exchange Code
		SICCD	Standard Industrial Classification Code
	DIST	DISTCD	Distribution Code
		DIVAMT	Dividend Cash Amount
		FACPR	Factor to Adjust Price
		FACSHR	Factor to Adjust Shares Outstanding
		EXDT	Ex-distribution Date
		RCRDDT	Record Date
		PAYDT	Payment Date
	SHARES	SHROUT	Number of Shares Outstanding
		SHRFLG	Share Flag
	DELIST	DLSTCD	Delisting Code
		NWPERM	New CRSP Permanent Number
		NEXTDT	Date of Next Available Information
		DLBID	Delisting Bid
		DLASK	Delisting Ask
		DLPRC	Delisting Price
		DLVOL	Delisting Volume
		DLRET	Delisting Return
			missing=( -55.0=.s -66.0=.t -88.0=.a -99.0=.p );
	NASDIN	TRTSCD	Traits Code
		NMSIND	National Market System Indicator
		MMCNT	Market Maker Count
		NSDINX	NASD Index
Default KEEP Lists	All periodic series variables will be output to the OUT= data set and all event variables will be output to the OUTEVENT= data set.

CRSP Annual Data


Data Files	INFILE=( securty1 < securty2 ... > )
INTERVAL=	YEAR
BY variables	CUSIP	CUSIP Identifier (character)
	PERMNO	CRSP Permanent Number (numeric)
	COMPNO	NASDAQ Company Number (numeric)
	ISSUNO	NASDAQ Issue Number (numeric)
	HEXCD	Header Exchange Code (numeric)
	HSICCD	Header SIC Code (numeric)
Sorting Order	BY CUSIP
Series Variables	CAPV	Year End Capitalization
	SDEVV	Annual Standard Deviation
		missing=( -99.0 = . )
	BETAV	Annual Beta
		missing=( -99.0 = . )
	CAPN	Year End Capitalization Portfolio Assignment
	SDEVN	Standard Deviation Portfolio Assignment
	BETAN	Beta Portfolio Assignment
Default KEEP Lists	All variables will be kept.

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