The DATASOURCE Procedure |
CRSP Stock Files |
The Center for Research in Security Prices provides comprehensive security price data through two primary stock files, the NYSE/AMEX file and the NASDAQ file. These files contain 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 are distributed in CRSPAccess format. See Chapter 35, The SASECRSP Interface Engine, for more about accessing your CRSPAccess database. You can convert your CRSPAccess data to binary format (SFA format) by using the CRSP-supplied utility (STK_DUMP_BIN). Use the DATASOURCE procedure for SFA format access and use SASECRSP Interface for CRSPAccess.
CRSP stock data (in SFA format) 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.
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 data 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 used 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 cannot do the conversion on one host and transfer and read the file on another host.
If you are using the CRSPAccess 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.
For the four-digit year data, use the Y2K-compliant filetypes for that data type.
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 security1 < security2 ...> are the filerefs given to the security files, in the order in which they should be read.
Metadata Field Types |
Metadata Fields |
Metadata Labels |
---|---|---|
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. |
Metadata Field Types |
Metadata Fields |
Metadata Labels |
|
---|---|---|---|
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. |
Metadata Field Types |
Metadata Fields |
Metadata Labels |
|
---|---|---|---|
Data Files |
INFILE=( calfile security1 < security2 ...> ) |
||
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. |
Metadata Field Types |
Metadata Fields |
Metadata Labels |
---|---|---|
Data Files |
INFILE=( security1 < security2 ...> ) |
|
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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