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CRSP Notes

CRSP Notes. CRSP Files. Crsp.dsf – daily stock file (all firms covered). DATE Num 4 YYMMDDN8. YYMMDD8. Date of Observation HEXCD Num 6 Header Exchange Code HSICCD Num 6 Header SIC Code

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CRSP Notes

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  1. CRSP Notes

  2. CRSP Files • Crsp.dsf – daily stock file (all firms covered). • DATE Num 4 YYMMDDN8. YYMMDD8. Date of Observation • HEXCD Num 6 Header Exchange Code • HSICCD Num 6 Header SIC Code • ISSUNO Num 6 Nasdaq Issue Number • NMSTRD Num 8 Number of trades • PERMCO Num 6 CRSP Permanent Company Number • PERMNO Num 6 CRSP Permanent Number • PRC Num 8 Closing Price or Bid/Ask average • RET Num 8 Holding Period Return • RETX Num 8 Return Without Dividends • SHROUT Num 8 Shares Outstanding • SXRET Num 8 Standard Deviation Excess Return • VOL Num 8 Share Volume • Crsp.msf – monthly stock file (looks similar).

  3. Events files • CRSP - has several “events” files that contain information regarding: • Distributions (EVENT:DISTS) • Change in shares outstanding (EVENT: SHARES) • Change of Exchange (EVENT: NAMES) • Delisting (EVENT:DELIST) • Name Change (EVENT: NAMES) • The dataset dse - contains all of the events. There also event-specific files • Dsedist, dsedelist, dseexchdates, dsenames, dsechares, dsenasdin

  4. CRSP Files • Crsp.dsedelist • DLAMT Num 8 Amount after delisting • DLPDT Num 6 YYMMDDN8. YYMMDD8. Date of delisting payment • DLPRC Num 8 Delisting price/next price after delist • DLRET Num 8 Delisting Return • DLRETX Num 8 Delisting return without dividends • DLSTCD Num 8 Delisting Code • DLSTDT Num 4 YYMMDDN8. YYMMDD8. Delisting Date • NEXTDT Num 6 YYMMDDN8. YYMMDD8. Date of next available information • NWCOMP Num 8 New permco • NWPERM Num 8 New CRSP permanent number • PERMCO Num 8 CRSP Permanent Company Number • PERMNO Num 8 CRSP Permanent Number

  5. Delistings • CRSP:“The calculation of delisting returns is a rather complex issue, and CRSP obviously has to make some assumptions and decisions regarding these calculations. For example, under what circumstances should a delisting return be calculated? Which data should be included in the calculation? Which data should not be included? What kind of price data should be accepted and what kind should be rejected?” -CRSP -White Paper 2001. • Good idea to test the sensitivity of your results to various assumptions about delisting. • Examples - • If missing and the firm delists due to liquidation or forced delisting, set delisting return = -1. • Limit delisting returns to +/- 1.

  6. Delisting Codes • Delisting Codes - More detail available in CRSP manual

  7. Portfolio Files • There are also files that contain size-adjusted returns. • erm(d)port1 – NYSE/AMEX/NASDQ • Includes ret and decret -erm(d)port2 – NYSE/AMEX -erm(d)port3 – NASDQ -erm(d)port4 – NYSE -erm(d)port5 - AMEX Note these already use historical exchange codes.

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