Understanding CRSP Useful Variables for Financial Analysis
Explore CRSP useful variables for analyzing financial data, including negative prices, adjusting prices and shares for splits, returns with dividends, delisting returns, and more. Learn about adjusting prices and shares for splits, delisting dates, and daily vs. monthly delisting returns. Gain insights into how these variables can impact your financial research and analysis.
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WHARTON RESEARCH DATASERVICES CRSP useful variables April 15, 2020
CRSP useful variables Negative Prices Adjusting Prices and Shares for Splits Returns with Dividends Delisting Returns Market Capitalization. 2 Wharton Research Data Services
Negative Prices 4 Wharton Research Data Services
2. Adjusting Prices and Shares for Splits
Adjusting Prices and Shares for Splits Adjusted prices = abs(PRC) / CFACPR date TICKER PRC CFACPR 20140603 AAPL 637.54 7 Adjusted shares = SHROUT * CFACSHR 20140604 AAPL 644.82 7 20140605 AAPL 647.35 7 20140606 AAPL 645.57 7 CFACSHR is not always equal to CFACPR. This can be caused by less common distribution events, spin-offs, and rights. 20140609 AAPL 93.70 1 20140610 AAPL 94.25 1 20140611 AAPL 93.86 1 20140612 AAPL 92.29 1 6 Wharton Research Data Services
3. Returns with Dividends
Return with Dividends RET (t) = ?????? ? +??????(?)/??????(?) ??????(? 1) 1 8 Wharton Research Data Services
4. CRSP Delisting Returns
CRSP Delisting Returns Delisting Date dlamt dlret Delisted Period Listed Period 10 Wharton Research Data Services
Delisting Returns: daily vs monthly Daily Data PERMNO 27474 20150529 24.80 0.3% 27474 20150601 24.67 -0.5% 27474 20150602 24.95 1.1% 27474 20150603 24.91 -0.2% Date PRC RET PERMNO Date Delisting Code 241 Delisting Amount 24.98 Delisting Payment Date 20150608 Delisting Return 8.2% -7.1% 27474 20150604 23.13 27474 20150605 23.09 -0.2% 27474 20150605 Monthly Data PERMNO Date PRC RET Delisting Code Amount After Delisting Date of Delisting Payment Delisting Return 27474 20150529 24.80 PERMNO Date 3.0% 27474 20150630 27474 20150630 241 24.98 20150608 0.7% 11 Wharton Research Data Services
Missing Delisting Returns Type Of Delisting* Percentage is missing Missing Non-Missing 1% M&A (dlstcd=200s) 96 13,194 Dropped (Price below acceptable level, Bankruptcy, Insolvent) (dlstcd=500s) 30% 3,094 7,118 12% Issue Liquidated (dlstcd=400s) 190 1,418 Issue Exchanged (dlstcd=300s) 1% 8 1,010 * From daily crsp files What to do? Delisting Returns and Their Effect on Accounting-Based Market Anomalies (Beaver, McNichols, Price) JAE, 2007. Nothing (assume dlret=0). Bias. -100% -30% Use average DLRET from non-missing three-digit delisting cases. 12 Wharton Research Data Services
Market Cap MarketCap (t) = [ abs ??? ? /??????(?) ] x [ SHROUT ? x ???????(?) ] In Most of the cases MarketCap (t) = abs ??? ? x SHROUT ? 14 Wharton Research Data Services
Summary Negative Prices Adjusting Prices and Shares for Splits Returns with Dividends Delisting Returns Market Capitalization. 15 Wharton Research Data Services
