CRSP10 YEAR US STOCK DATABASE - CRSP - The …

CRSP10 YEAR US STOCK DATABASE

XLSX FILE FORMAT

R CENTER FOR RESEARCH IN SECURITY PRICES, LLC

An Affiliate of the University of Chicago Booth School of Business

CENTER FOR RESEARCH IN SECURITY PRICES, LLC An Affiliate of the University of Chicago Booth School of Business 105 West Adams, Suite 1700 Chicago, IL 60603 Phone: 312.263.6400 Fax: 312.263.6430 Email: support@ Website: DISCLAIMER

CRSP?, PERMNO?, PERMCO? and INDNO? are registered trademarks of the University of Chicago. See your subscription agreement for proper use of identifiers.

?2020 Center for Research in Security Prices | CRSP?. All rights reserved. Modified November 10, 2020

CRSP 10-YEAR US STOCK DATABASE

OVERVIEW

CRSP is pleased to introduce CRSP10, a variation of its research-quality stock database that holds 10 years of monthly history for active and inactive securities. The full dataset is contained in a single Excel workbook and contains the time series and event history data for which CRSP is renowned.

All categories of data are included in the Excel workbook, one tab for each:

STOCK FILES

DESCRIPTION

Security Header Information Current Security Identifiers, Exchange, Industry, Status Codes

Name History

History of changes associated with a security ? names, identifiers, shares, exchange listing, industry codes

Distributions

History of cash dividends, stock splits, and other corporate actions

Delists

Delisting reasons, returns, other relevant information

Shares History

History of shares outstanding including derived shares adjusted

Time Series - Monthly

Data derived from daily series, including beginning and end of month prices, capitalization, and monthly returns. Additional commonly accessed data items included for ease of use

The amount of data in each tab is easily manageable with standard Excel functions. We encourage its use in the classroom or workshops to facilitate teaching simple concepts and calculations, to demonstrate the impact of complex corporate actions, or to expose students and new users to high quality research data with a familiar tool. For more information, contact subscriptions@ or call 312-263-6400 ? Option 1.

STOCK DATA FILE LAYOUTS

SECURITY HEADER INFORMATION

All values are current as of the last day of available prices of a security.

COLUMN KYPERMNO CUSIP CUSIP9 HTICK

PERMCO COMPNO

ISSUNO HEXCH

HSICCD

BEGDT

ENDDT

NAME

DESCRIPTION

PERMNO

CRSP Permanent Security identifier

CUSIP

8-character CUSIP

CUSIP 9

9-character CUSIP

Ticker

An alphabetic symbol assigned to a security by an exchange - Current ticker for active securities, blank for delisted issues

PERMCO

Unique permanent company identification number assigned by CRSP

NASDAQ Company Number Unique integer assigned by NASDAQ to each company with a listed security on the NASDAQ exchange

NASDAQ Issue Number

Unique integer assigned by NASDAQ to each listed security on its exchange

Exchange Code

Numeric value exchange code on a CRSP-followed exchange. (1 = NYSE, 2 = NYSE American, 3 = NASDAQ, 4 = NYSE Arca, 5 = Bats, 6 = IEX)

SIC Code

Non-zero Standard Industry Classification code used to group companies with similar products or services

Begin of Stock Data

First date that stock data is followed by CRSP. In MM/DD/YYYY format, may be as early as 1925

End of Stock Data

Last date that stock data is followed by CRSP. If active, will be the date through which the data product is active. In MM/DD/YYYY format

PAGE 3

COLUMN HDLSTCD HCOMNAM HTSYMBOL

NAME Delisting Code Company Name Trading Ticker Symbol

HSNAICS HSHRCD

NAICS Code Share Code

HPRIMEXCH Primary Exchange HTRDSTAT Trading Status HSECSTAT Security Status

DESCRIPTION

Security's delisting reason as of the end date of the file. 100 if active Company name Trading symbol listed by exchanges and consolidated quote systems, including all temporary values, share classes and share type suffixes North American Industry Classification System 6-character industry code Share code that provides information about the type of security. Code describing the reason of the delisting event. See Flags and Data Coding Schemes for Share Code details Code indicating the exchange on which a security has its primary listing. N = NYSE, A = NYSE American, Q = NASDAQ, R = NYSE Arca, B = Bats, I = IEX Code indicating the current status of a security. A = Active, H = Halted, S = Suspended. H and X are not valid for HTRDSTAT Code indicating the current status of a security. R = Regular Way, R is the only valid value for Header

NAME HISTORY

Values reflect attributes of securities for each date range of Name Begin Date to Name End Date.

COLUMN

NAME

DESCRIPTION

KYPERMNO PERMNO

CRSP Permanent Security identifier

NAMEDT

Name Begin Date

Start date for name history information

NAMEENDDT Name End Date

End date for name history information

NCUSIP

CUSIP

8-character CUSIP

NCUSIP9 CUSIP 9

9-character CUSIP

TICKER

Ticker

An alphabetic symbol assigned to a security by an exchange

COMNAM Company Name

Name of a security issuer as of the Price Date

SHRCLS

Share Class

Character identifying the class of stock, generally left blank. Assigned by the exchange in cooperation with the company

SHRCD

Share Code

Code provides information about the type of security. Code describing the reason of the delisting event. See Flags and Data Coding Schemes for Share Code details

EXCHCD

Exchange Code

Numeric value representing the exchange on which the security is trading

SICCD

SIC Code

Standard Industry Classification code used to group companies with similar products or services

TSYMBOL

Trading Ticker Symbol Trading symbol listed by exchanges and consolidated quote systems, including all temporary values, share classes and share type suffixes

SNAICS

NAICS Code

North American Industry Classification System 6-character industry code

PRIMEXCH Primary Exchange

Code indicating the exchange on which a security has its primary listing. N = NYSE, A = NYSE American, Q = NASDAQ, R = NYSE Arca, B = Bats, X = Other, I = IEX

TRDSTAT

Trading Status

Code indicating the status of a security at the end of the period. A = Active, H = Halted, S = Suspended, X = Unknown

SECSTAT

Security Status

Code indicating the status of a security at the end of the period. R = Regular Way, Q = Non-leading when Issued, X = Untracked Exchange or Unknown. E and W are not valid for file

CRSP10 YEAR US STOCK DATABASE

PAGE 4

DISTRIBUTIONS

COLUMN NAME

DESCRIPTION

KYPERMNO PERMNO

CRSP Permanent Security identifier

DISTCD

Distribution Code

4-digit code describing cash dividends, stock split, or other corporate action. See Flags and Data Coding Schemes for Distribution Code details

DIVAMT

Dividend Amount

Dollar value per share of distributions resulting from cash dividends, spin-offs, mergers, exchanges, reorganizations, liquidations, and rights issues

FACPR

Factor to Adjust Prices

Factor used to adjust prices after distributions so that equivalent comparisons can be made between prices, before and after distributions

FACSHR

Factor to Adjust Shares

Factor used to adjust shares observations due to a stock split, stock dividend or other distribution impacting shares. The expected percentage increase in shares outstanding

DCLRDT

Distribution Declaration Date Date on which the board of directors declares a distribution. In MM/DD/YYYY format

EXDT

Ex-Distribution Date

Date on which the security is first traded without the right to receive the distribution. In MM/DD/YYYY format

RCRDDT Record Date

Date on which the stockholder must be registered as a holder of record in order to receive a distribution. In MM/DD/YYYY format

PAYDT

Payment Date

Date on which the dividends are available or other distributions are made. In MM/DD/YYYY format

ACPERM Acquiring PERMNO

PERMNO of another security linked to this distribution where a stock was received in a spin-off, exchange, merger, or other distribution event

ACCOMP Acquiring PERMCO

PERMCO of another company linked to this distribution

DELIST

COLUMN KYPERMNO DLSTDT DLSTCD NWPERM NWCOMP NEXTDT DLPRC DLPDT DLAMT

DLRET

DLRETX

NAME

DESCRIPTION

PERMNO

CRSP Permanent Security identifier

Delist Date

Date on which the security delisted, formatted as MM/DD/YYYY

Delist Code

Code describing the reason of the delisting event. See Flags and Data Coding Schemes for Delisting Code details

New PERMNO

PERMNO of a security received as stock when an issue ceases trading as a result of a merger or exchange from the acquiring company

New Company

PERMCO of a company assigned when an issue ceases trading as a result of a merger or exchange when shareholders receive some payment from an acquiring company

Next Date

Date of the next price information DLPRC, when available

Delisting Price

Refers to a trade price or a price quote (given as the average of bid and ask quotes) on another exchange or over-the-counter. Negative sign indicates Bid/Ask

Delisting Payment Date Effective date of the Delisting Amount value used in the Delisting Return calculations

Delisting Amount

Total value of a security after it has delisted, used to calculate a delisting return. It can either be an off-exchange price, an off-exchange quote, or the value of distribution payments

Delisting Return

Total return of a security after it has delisted from a CRSP-followed exchange. Calculated as the change between the price on the last day of trading and the delisting amount. Usually a daily return, but could be longer

Delisting Return without Dividends

Total return of a security after it has delisted from a CRSP-followed exchange. Calculated as the change between the price on the last day of trading and the delisting amount, excluding ordinary dividends

CRSP10 YEAR US STOCK DATABASE

PAGE 5

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download