CRSP

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CRSP

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CRSP, Center for Research in Security Prices, maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets. Additional CRSP files provide stock indices, beta-based and cap-based portfolios, treasury bond and risk-free rates, etc. CEIBS users can access to US Stock and Indices databases.

The CRSP U.S. Stock Databases contain end-of-day and month-end prices on primary listings for the NYSE, NYSE MKT, NASDAQ, and Arca exchanges, along with basic market indices. They are characterized by their comprehensive corporate action information and highly accurate total return calculations.

The CRSP Index Database contains five groups of CRSP indexes: Stock File Indexes, Cap-Based Portfolios, Indexes for the S&P 500 Universe, Treasury and Inflation (CTI) Indexes, and the Select Treasury Indexes. 

Center for Research in Security Prices, LLC is a wholly-owned subsidiary of the University of Chicago.

【Language】English

【Date】1925 - this year

【Update】Annually

【Region】U.S.

【Provider】Chicago Booth

【Retrieval Platform】WRDS

【Full Access】(Queries) Data

【Download Data】(WRDS)

• Fixed-Width or Tab-Delimited Text (.txt)
• Excel (.xlsx) / comma-delimited text (.csv)
• HTML Table (.htm) / dBase (.dbf)
• SAS (.sas7bdat) / STATA (.dta) / SPSS (.sav)
• Choose Compression Type: zip (.zip) / gzip (.gz)
• Choose Date Format

【Data Source】US Stock & Index Database

• Standard & Poor’s Price Tape and Punched Card Dividend Service
• Interactive Data Services, Inc. (IDSI)
• Interactive Data Corporation (IDC)
• National Association of Securities Dealers (NASD)
• Mergent

【Data Coverage】

• 10 Year U.S. Stock: 2011.01 - 2021.12
• Index - Version 2: 1925.01.01 - 2022.06.30
• Index / Cap-Based Portfolios: 1925.12.31 - 2021.12.31
• Index / CRSP Select Series: 1925.12.31 - 2021.12.31
• Index / Portfolio Assignments: 1925.12.31 - 2021.12.31
• Index / S&P 500 Indexes: 1925.12.31 - 2021.12.31
• Index / Stock File Indexes: 1925.12.31 - 2021.12.31
• Index / Treasury and Inflation: 1925.12.31 - 2021.12.31
• Stock - Version 2: 1925.01.01 - 2022.06.30
• Stock / Events: 1925.12.31 - 2021.12.31
• Stock / Security Files: 
  （Daily / Monthly Stock File）1925.12.31 - 2022.03.31; 
  （Stock Market Indexes）1925.01.01 - 2022.03.31

【Data Query】Web Query Forms

【Tools】

• Daily Extract with Time Window
• Exchange Code Search
• Returns + Decile Assignments
• Stock, Portfolio and Index Returns
• Translate to PERMCO/PERMNO