CRSP & COMPUSTATS Data Playbook (Stock Data)
  • Introduction
  • CRSP Data
    • Information
    • CRSP Preprocessing
  • COMPUSTATS Data
    • Page
    • Finance Variable
  • Merge CRSP and COMPUSTATS
  • Some Other Macro-Economy Data
    • FRED-MD
    • SIMFA Data
Powered by GitBook
On this page

Introduction

The contents are going to be included in this playbook, and the background information of the datasets.

I built this playbook because, during my learning and research, CRSP and COMPUSTATS datasets are the most important datasets used for asset pricing. To summarize my work on these datasets will be valuable for my future learning and research processes, and this might help some people who also work on these datasets.

The contents of this book mainly come from three sources:

  • My learning from the course MGT 6090 at Gatech.

  • My learning the course FIN 726 at Emory University.

  • Some of my own research.

They can be categorized as the following:

  • CRSP dataset basic information, data preprocessing technique, and some basic calculation examples using it.

  • COMPUSTATS dataset basic information, data preprocessing technique, and some basic calculation examples using it.

  • How to combine CRSP and COMPUSTATS datasets in different ways, and some basic calculation examples using both datasets at the same time.

  • Some more examples show how to combine them with other datasets to do the research.

Best,

Yiyang Zhang

NextCRSP Data

Last updated 1 year ago