Understanding CRSP Data Services in WRDS
Exploring the basics of CRSP data services in WRDS, this content covers the popularity of CRSP, highlights of the data, types of CRSP data available, and how the data is structured. It delves into the stock market data for US equities, including historical identifiers and key information on prices, returns, and more. Additionally, it showcases examples of monthly CRSP data for IBM and how tickers change in daily CRSP data.
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WHARTON RESEARCH DATASERVICES CRSP in WRDS: The Basics April 15, 2020
CRSP in WRDS: The Basics 1. How popular is CRSP? 2. Highlights 3. Types of CRSP data 4. How the Data looks 2 Wharton Research Data Services
1. How Popular is CRSP data?
4 Wharton Research Data Services
Stock Market data for US Equities Daily and Monthly Frequency. Since 1926. Covers 16 business cycles. Clean data Well defined Universe No Survivor-biased Keep Historical Identifiers. Provide Permanent Identifiers. Prices, Returns with Dividends, Shares Outstanding, Adjustment Factors, Industrial Codes, Delisting returns 6 Wharton Research Data Services
Types of CRSP data 1 Stock Markets Data (daily and monthly) 2 CRSP/COMPUSTAT Merged database 3 Mutual Funds 4 Other Databases 8 Wharton Research Data Services
Monthly CRSP data for IBM PERMNO date 20190131IBM 20190228IBM 20190329IBM 20190430IBM 20190531IBM 20190628IBM 20190731IBM 20190830IBM 20190930IBM 20191031IBM 20191129IBM 20191231IBM TICKER PRC RET 0.182546 0.03928 0.021501 -0.00588 -0.08313 0.085912 0.074982 -0.07481 0.072973 -0.08039 0.017498 -0.00305 SHROUT 908,794 889,866 889,866 886,643 886,643 886,643 885,875 885,875 885,875 885,637 885,637 885,637 12490 12490 12490 12490 12490 12490 12490 12490 12490 12490 12490 12490 134.42 138.13 141.1 140.27 126.99 137.9 148.24 135.53 145.42 133.73 134.45 134.04 10 Wharton Research Data Services
Example when Ticker change on CRSP daily data PERMNO date TICKER COMNAM PERMCO PRC 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 16940 20190201 20190204 20190205 20190206 20190207 20190208 20190211 20190212 20190213 20190214 20190215 20190219 20190220 20190221 20190222 20190225 20190226 20190227 20190228 BSTI BSTI BSTI BSTI BSTI BSTI BSTI BSTI BSTI BSTI BSTI BEST BEST BEST BEST BEST BEST BEST BEST BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC BEST INC 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 56072 4.53 4.73 5.09 5.13 5.00 4.74 5.08 5.44 6.23 5.97 5.89 5.90 5.79 5.81 6.00 6.19 6.14 6.14 6.10 11 Wharton Research Data Services
Dealing with Stock Splits: Example Apple 7-for-1 split June 2014 PERMNO date TICKER PRC RET SHROUT CFACPR 14593 20140603 AAPL 637.54 0.01414 861,381 7 14593 20140604 AAPL 644.82 0.01142 861,381 7 14593 20140605 AAPL 647.35 0.00392 861,381 7 14593 20140606 AAPL 645.57 -0.00275 861,381 7 14593 20140609 AAPL 93.70 0.01600 6,029,667 1 14593 20140610 AAPL 94.25 0.00587 6,029,667 1 14593 20140611 AAPL 93.86 -0.00414 6,029,667 1 14593 20140612 AAPL 92.29 -0.01673 6,029,667 1 12 Wharton Research Data Services
Dealing with M&A: Example Energy Transfer Partners LP and Sunoco Logistic Partners. PERMNO date NCUSIP TICKER COMNAM ACPERM PRC 84400 26/4/2017 29273R10 ETP ENERGY TRANSFER PARTNERS L P 36.39 84400 27/4/2017 29273R10 ETP ENERGY TRANSFER PARTNERS L P 35.93 28/4/2017 29273R10 84400 ETP ENERGY TRANSFER PARTNERS L P 89304 PERMNO date NCUSIP TICKER COMNAM ACPERM PRC 89304 26/4/2017 86764L10 SXL SUNOCO LOGISTICS PARTNERS 24.27 89304 27/4/2017 86764L10 SXL SUNOCO LOGISTICS PARTNERS 24.03 28/4/2017 86764L10 1/5/2017 89304 SXL SUNOCO LOGISTICS PARTNERS 23.94 89304 29278N10 ETP ENERGY TRANSFER PARTNER LP 23.42 89304 2/5/2017 29278N10 ETP ENERGY TRANSFER PARTNER LP 23.69 89304 3/5/2017 29278N10 ETP ENERGY TRANSFER PARTNER LP 23.08 13 Wharton Research Data Services
Summary 1. How popular is CRSP? 2. Highlights 3. Types of CRSP data 4. How the Data looks 14 Wharton Research Data Services
