CRSP US Stock and Indices Database

Description      Issues or Changes      Access & Installation      Documentation

Description

The Center for Research in Securities Prices (CRSP), located in the center of the Chicago financial district, is an integral part of the University of Chicago's Graduate School of Business. The GSB is renowned for cutting-edge financial and economic research.

CRSP's flagship databases include:

  • common stocks on the NYSE (from 1926),
  • AMEX (from 1962) and NASDAQ (from 1972);
  • CRSP Indices; NASDAQ and S&P 500 Composite Indices;
  • NASDAQ and AMEX Industry Indices;
  • US Treasury Bonds;
  • Survivor-Bias-Free Mutual Funds;
  • market capitalization reports;
  • proxy graphs for 10K SEC filings;
  • and custom datasets.

Additionally, in partnership with Compustat, CRSP provides the CRSP/Compustat Merged Database, and in partnership with the Ziman School of Real Estate at UCLA's Anderson School of Business, the CRSP/Ziman REIT Data Series.


Update Schedule

  • CRSP US Stock Databases and Indices Databases WILL NOW BE updated Quarterly.

  • CRSP US Treasury Databases are updated based on annual renewal: ready in February or March.

  • CRSP Mutual Fund Database is updated quarterly. 

       

Database Available at ND

Daily and Monthly CRSP US Stock Databases
The CRSP US Stock Databases offer comprehensive and accurate security-level historical coverage of common stocks trading on NYSE, AMEX, and NASDAQ.

CRSP US Indices and Stock Security Portfolio Assignment Module (its constituents)
The CRSP Indices Database and Stock Security Portfolio Assignment Module provides market indices on daily, monthly, quarterly, and annual frequencies.
The database also includes unique decile indices, developed by CRSP, based on the CRSP US Stock database.

Monthly CRSP US Treasury Database
This database contains complete historical descriptive information and market data using CRSP's unique historical treasury identifier CRSPID with price, interest, yield and duration data for US Treasury bills, notes, and bonds.

For more information regarding CRSP products, visit the CRSP home page

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Issues or Changes

CRSP Treasury Data Changes

 
1. Changes in Data files
  • Consolidation of the Treasury files into a single Daily/Monthly product which means we also have access to Daily files data
  • In addition, legacy monthly only and daily only products are also available in their entirety.
  • The data is also available in binary files format which can be accessed through CRSPAccess Utilities.
2. Changes in Directory structure on R drive 
  • New Treasury files (consolidated files) are available in the directory: R:\cb_data\crsp\treasury\N_Treasury
  • Legacy Monthly only files (which is in the same foramt as we used to have earlier) are available in the directory: R:\cb_data\crsp\treasury\L_Treasury\mtreasury
  • Legacy Daily only files (we did not have access to the daily data before) are available in the directory: R:\cb_data\crsp\treasury\L_Treasury\dtreasury
  • CRSPAccess version of the data is available in the directory: R:\cb_data\crsp\treasury\B_Treasury

3. Changes in Data and New Data items

       
  • Three new Risk-free series; 4-weeks, 13-weeks, and 26-weeks. For more information please refer to the CRSP documentation available here.
  • A new tool in CRSPSift, TRSQuery, allows for easy navigation to treasury data. To access the December 2010 data in CRSPSift,it is necessary to use the new version (3.21).
  • New data items, Daily and monthly NOMINAL PRICE and NOMINAL PRICE FLAG items have been added to the database.
  • To allows users to extract both daily and monthly series in the same query using the consolidated data, many item names in the new database are modified from their names in the legacy flat files. Time series items in the new database are preceded with the letters TD, for Treasury Daily, or TM, for Treasury Monthly.
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Access & Installation


                                                     
           

CRSP Data available at ND

           
                   
  • Daily and Monthly CRSP US Stock Databases
  •                
  • CRSP US Indices Database
  •                
  • CRSP Mutual Fund Database
  •                
  • Monthly CRSP US Treasury Database
  •            
           

The data can be found at the research server: R:\cb_data\crsp\.

           

Data are updated annually in February or March, except for the Mutual Fund Database which is updated quarterly.

           
           

Data access at ND

Accessing CRSP Data            
               
          
           
           

ND Fortran Sample Programs

           

There are several sample codes included in the CRSP package.

           

Additionally, MCOB IT developed two packages of sample codes for Notre Dame users both in Fortran-77 and Fortran-95.

           

The ND Sample codes for Fortran-95 can be found at R:\cb_programs\crsp\fortran95\ND_Samples.

           

The ND Sample codes for Fortran-77 can be found at R:\cb_programs\crsp\fortran

           

 

           

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Documentation

CRSP Data Guides

Data Descriptions Guide Contains: Overview, array layout, data description, calculations, and coding schemes for the Stock and Indices Database. (6/09)

CRSP/COMPUSTAT Merged Database (CCM) Contains:  Overview, array layout, data descriptions, utility software access, and programming access to the CRSP/COMPUSTAT Merged Database. (6/09)

CRSP US Treasury Guide Contains US Treasury consolidated Data Guide (1/11)

Legacy Daily data GuideDaily US Treasury Database Guide (8/10)

Legacy Daily Monthly GuideMonthlyUS Treasury Database Guide (11/10)

CRSP 2010 Relsease NotesConatins information on Changes in 2010 Treasury Data

CRSP Survivor-Bias-Free US Mutual Fund Guide Contains:  Overview, array layout, data descriptions, and general access information for the Mutual Fund Database. (01/10)  

 

User guides

Programmers Guide Contains: C and FORTRAN programming information for the stock and indices database. (6/09)

FORTRAN-77 to FORTRAN-95 Migration Guide Contains: Converting CRSPAccess FORTRAN-77 programs to run with FORTRAN-95. All information pertaining to FORTRAN-77 is consolidated in this document. See the CRSP Programmers Guide for complete descriptions of FORTRAN-95 structures and access tools. (2/05)

SASECRSP Engine Contains: Information for SAS users on utilizing SASECRSP to access time-series data residing in CRSPAccess databases with a interface between CRSP, COMPUSTAT and SAS data processing. (6/09)

User Guide for FORTRAN-95 Contains: Information for converting CRSPAccess FORTRAN-77 programs to run with FORTRAN-95. (6/09)

Utilities Guide Contains: Data utility software information to access the stock and indices data without programming. (6/09)

 

(Last update 02/03/2012)     (back to top) 

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