Us Stock and Index Databases
This page is divided into the following sections:
You can read the sections below online by clicking the HTML link. Alternately, click the PDF links to download a printable document. Finally, you can see the entire Data section in one document by clicking here:
An overview of the development history of CRSP's data files. Also included are descriptions of the CRSP stock data universe, CRSP calendars, and CRSP data sources.
CRSP stock and index variables organized alphabetically by name.
Formulas and methodologies used to derive CRSP variables in the stock and index files and generated by the CRSP data utilities.
CRSP provides a wide range of indexes that can be used as benchmarks of market performance. Broad market indexes are provided with CRSP stock files. Additional market indexes, stock portfolios, bond indexes, and inflation series are provided with CRSP index files.
|Data Coding Schemes
Various data in CRSP databases, such as share types, distribution events, and delisting events, are represented by numeric codes. Follow the links below to view tables of codes and their meanings.
This section describes each stock data array included in the CRSPAccess database. Accessibility and data structures between C and FORTRAN are only slightly different. When they differ, a description and layout is included for each.
The CRSPAccess software includes utilities that may be used to extract CRSP stock and index data from the CRSP proprietary databases on Linux and Solaris platforms. They also include files necessary for C and Fortran-95 programming for use on Windows platforms as well as Linux and Solaris. The access tools are available with a Developer License.
The CRSPAccess utilities and programming files may be used to access the CRSP US 1925 and 1962 Stock and Stock with Index Databases.
CRSPAccess is made up of a number of tools used to accomplish four major categories of tasks: creating reports, searches and database inquiries, creating subsets, and moving databases and files across machine types. Documentation on these software categories is available individually below, or you can download the entire CRSP Utilities and Program Libraries Guide in one file.
The reporting tools can extract time-series output, stock event data, and decile-level index data.
Data are accessed from the reporting tools through identifier keys. The primary identifier key, and the one the CRSP recommends for the CRSP Stock databases, is PERMNO, CRSP permanent security level identifier. Other identifier keys that may be used include PERMCO, CRSP’s company level identifier, current and historical CUSIPs, Tickers, and SIC codes. INDNO, CRSP’s index identifier, is used to access index data through ts_print and ind_print.
|ts_print - To extract time-series data over fixed or relative date ranges.|
|stk_print - To extract event histories including name and identifier changes, delisting information, and distributions, as well as time series data extractions.|
|ind_print - To extract indexes and decile-level returns, levels, counts, and weights data.|
Search and Inquiry Tools
CRSP provides header files for each CRSPAccess database. These name lists are useful for finding identifiers and name histories of securities when only partial information is known. The identifiers can then be used as input to other CRSP reporting utilities or programs. The files are fixed format text files and be accessed with system utilities or other tools. CRSP provides search utilities for header files.
|dstksearch - To search the daily data header files|
|mstksearch- To search the monthly data header files|
|dindsearch- To search the daily index header files|
|mindsearch- To search the monthly index header files|
|crsp_show_db_info - To display parameters associated with a specific database|
|crsp_set_db_info - To change parameters associated with a specific database|
These utilities can be used to create copies of CRSP databases, restricted for example on the basis of exchange and share codes, or a select group of PERMNOs.
|stk_partial - Creates a stock database from an existing one or to append securities from one existing database to another.|
|ind_partial - Creates an index database from an existing one or to append indexes from one existing database to another.|
|crsp_stk_subset - Creates a stock database from an existing one by subsetting data.|
|crsp_ind_subset - Creates an index database from an existing one by subsetting data|
Database File Tools
|rewrite_crspdb - Copies a CRSPAccess database to a new directory or converts data from one binary type to another|
|crsp_stk_scd_load - Creates secondary indexes or keys for a database|
|crsp_stk_headall - Creates a header file with user-specified options|
|crsp_ind_headall - Creates a header file for an index database, used primarily for a subset database|
|crsp_crlf2lf - Removes carriage returns|
|crsp_lf2crlf - Adds carriage returns|
|crsp_cutc - Select columns from fixed-width text files can be written to an output file.|
Contains: Database Access Functions for FORTRAN-95 Programmers
Contains: C and FORTRAN programming information for the stock and index database. (9/06)
Contains: Information for SAS users on utilizing SASECRSP to access and time-series data residing in CRSPAccess databases with a seamless interface between CRSP, COMPUSTAT, and SAS data processing.
Guides for Supported Versions CRSPAccess 2.97 and Earlier
Contains: Overview, array layout, data description, calculations, and coding schemes for the Stock and Index Database. (5/08)
Contains: Data utility software information to access the stock and index data without programming. (1/07)
Contains: Instructions for installing and getting started with CRSPSift 2.0. (6/08)
Contains: Instructions for installing and getting started with CRSPSift 1.2. (6/08)