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CRSP

Data found in the crsp data library on WRDS (/wrds/crsp/sasdata/ on SAS server)

Introduction

As discussed here, "since 1960, CRSP has provided research-quality data to scholarly researchers and advanced the body of knowledge in finance, economics and related disciplines. Today, nearly 500 leading academic institutions in 35 countries rely on CRSP data for academic research and to support classroom instructions."

Additional tables

Most of the tables maintained in the crsp schema are imported from WRDS using fairly straightforward application of the wrds_udpate function from the wrds2pg package. However, there are some additional table that the code in this directory produces:

  • crsp.rets: Daily stock returns compounded with delisting returns. This purpose of this table is to dramatically speed up calculation of event returns, but creation of this table take some time. This table is used by functions such as get_event_cum_rets.R in the farr package available here.

  • crsp.mrets: Monthly stock returns compounded with delisting returns. This table is used by functions such as get_event_cum_rets_mth.R in the farr package available here.

  • tfz_ft: The table crsp.tfz_ft is available through the WRDS web interface, but does not exist as a separate SAS file or PostgreSQL table. According to WRDS, "behind the scenes the web query form is joining two tables on the fly. The tables this query is joining are crsp.tfz_idx and either crsp.tfz_dly_ft or crsp.tfz_mth_ft (depending on whether you want daily or monthly data) by the variable kytreasnox." Here are some links to the information about these tables: crsp.tfz_idx, crsp.tfz_dly_ft, crsp.tfz_mth_ft.

  • trading_dates: A simple table comprising two fields: date and td. Here, date is a trading date available on crsp.dsi (or, equivalently, crsp.dsf) and td is a simple sequence of integers starting at 1 for the first trading date and increasing by one for each subsequent date.

  • anncdates: A simple table comprising three fields: anncdate, date and td. Here, anncdate is any date on or after 1925-12-31, whether or not a trading date, and date is the next available trading date. This table allows any date to be mapped to the first date on which trading occurs on or after that date. See here for more on the problem that trading_dates and anncdates are intended to solve and illusrations of their use.