U-033 ACCESSING the CRSP DATA

CONTENTS

INTRODUCTION

The Center for Research in Security Prices (CRSP) provides comprehensive security price data via two primary stock sources, the NYSE/AMEX and NASDAQ. This information is presented in two master files, one monthly and one daily.

The master files provide five kinds of information on individual securities:

  1. Identifying information, which includes complete name histories, all historical CUSIP numbers (U. S. Department of Commerce's Committee on Uniform Security Identification Procedures), share classes, tickers, SIC (U. S. Department of Commerce's Standard Industrial Classification) codes and other identifiers.
  2. Price histories and trading volumes for the period a security is traded on the New York Stock Exchange (NYSE), the American Exchange (AMEX), or the National Association of Security Dealers Automated Quotations (NASDAQ) system.
  3. Information on why a security stopped trading.
  4. Complete distribution histories including all dividends, stock splits, and special distributions.
  5. Shares-outstanding values and year-end market capitalization.

DOCUMENTATION

A copy of the current CRSP Stock File Guide and the CRSP NASDAQ File Guide are available, for reference only, at the ITC Help Desk, Wilson Hall, room 235. There is also information available on the CRSP data sets (including a link to the CRSP home page) available in the Research Computing area of ITCWeb.

DATA FILES AVAILABLE

There are two year-end sets of data available, that for 1996 and 1997. Each set has both monthly and daily data files. Both monthly and daily files include NYSE, AMEX, and NASDAQ data.

On the daily files, the calendar lists all of the trading dates from July 2, 1962, through the last trading day of December of the year (December 1996 for the 1996 data set). The monthly index file has all month-end trading days from December 1925 through December of the year.

All of the data is available from ITC's RS/6000 systems in character format.
The daily 1996 data set is in the
/net/public/crsp/daily.1996 directory.
The monthly 1996 data set is in the
/net/public/crsp/monthly.1996 directory.
The daily 1997 data set is in the
/net/public/crsp/daily.1997 directory.
The monthly 1997 data set is in the
/net/public/crsp/monthly.1997 directory.

SAMPLE PROGRAMS

The FORTRAN programs and utilities have been copied and modified to work on ITC's RS/6000s. Additionally, ITC has developed several shell scripts to facilitate access of the CRSP data. These sample programs and scripts are located in ITCWeb at (the sample programs work with all of the data sets):

http://www.itc.virginia.edu/desktop/cgi-dtc/newhints.cgi?unix/financial/crsp/programs

NOTES ON FORTRAN PROGRAMS AND UTILITIES PROVIDED BY CRSP

The FORTRAN programs provided by CRSP will run on the RS/6000s with some modifications. These are all at:

http://www.itc.virginia.edu/desktop/cgi-dtc/newhints.cgi?unix/financial/crsp/programs

Note that beginning in 1996 the CRSP data set modified several variable definitions. These new definitions are incorporated into the include files (designated with a .txt extension) that are part of the 96/97 program set. You cannot access the 1996 and 1997 data sets with programs compiled using the 1995 (or older) include files (simply recompile your programs with the 1996/1997 include files).

WE REALLY WANT TO KNOW...
Have you found this publication useful? Are there ways we might improve or supplement it or other ITC publications? Did you find this document in Web or in hard copy? We really want your opinion. Send e-mail to:  newsdesk@virginia.edu

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