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
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  • Basic Information
  • 1. Identifying Information (33)
  • 2. Time Series Information (31)
  • 3. Share information (6)
  • 4. Distribution Information (17)
  • 5. NASDAQ Information (2)
  • 6. Market Information (NYSE/AMEX/NASDAQ/ARCA) (5)
  • More detailed information
  1. CRSP Data

Information

Basic Information

Six categories of variables can be accessed through the dataset. Here, I use the daily dataset as an example. For the monthly data, the variables are similar.

1. Identifying Information (33)

  • PERMNO (PERMNO)

  • Security Information Start Date (SecInfoStartDt)

  • Header CUSIP - 8 Characters (HdrCUSIP)

  • Security Information End Date (SeclnfoEndDt)

  • Header CUSIP - 9 Characters (HdrCUSIP9)

  • Begin Date of Stock Data (SecurityBegDt)

  • CUSIP (CUSIP)

  • End Date of Stock Data (SecurityEndDt)

  • CUSIP9 (CUSIP9)

  • Security Header Flag (SecurityHdrFlg)

  • Primary Exchange (PrimaryExch)

  • Conditional Type (ConditionalType)

  • Exchange Tier (ExchangeTier)

  • Trading Status Flag (TradingStatusFIg)

  • Security Name (SecurityNm)

  • Share Class (ShareClass)

  • US Incorporation Flag (USIncFIg)

  • Issuer Type (IssuerType)

  • Security Type (SecurityType)

  • Security Sub-Type (SecuritySubType)

  • Share Type (ShareType)

  • Ticker (Ticker)

  • Trading Symbol (TradingSymbol)

  • PERMCO (PERMCO)

  • Sic Code (SICCD)

  • NAICS Code (NAICS)

  • Security Active Flag (SecurityActiveFIg)

  • ICB Industry Code (ICBIndustry)

  • Delisting Corporate Action Type (DelActionType)

  • Issuer Name (IssuerNm)

  • Delisting Completion Status Type (DelStatusType)

  • Delisting Reason Type (DelReasonType)

  • Delisting Payment Summary Type (DelPaymentType)

2. Time Series Information (31)

  • YYYYMMDD - Daily Calendar Period Key (YYYYMMDD)

  • Daily Calendar Date (DlyCalDt)

  • Daily Delisting Flag (DlyDelFlg)

  • Daily Price (DlyPrc)

  • Daily Price Flag (DlyPrcFlg)

  • Daily Capitalization (DlyCap)

  • Daily Capitalization Flag (DlyCapFlg)

  • Daily Previous Price (DlyPrevPrc)

  • Daily Previous Price Flag (DlyPrevPrcFlg)

  • Daily Previous Price Date (DlyPrevDt)

  • Daily Previous Capitalization (DlyPrevCap)

  • Daily Previous Capitalization Flag (DlyPrevCapFIg)

  • Daily Price Return (DlyRetx)

  • Daily Return Missing Flag (DlyRetMissFlg)

  • Daily Total Return (DlyRet)

  • Daily Return Duration Flag (DlyRetDurFIg)

  • DlyRetl

  • Daily Ordinary Dividend Amount (DlyOrdDivAmt)

  • Daily Factor To Adjust Price (DlyFacPrc)

  • Daily Distribution Return Impact Flag (DlyDistRetFlg)

  • Daily Volume (DlyVol)

  • Daily Non-Ordinary Dividend Amount (DlyNonOrdDivAmt)

  • Daily Close (DlyClose)

  • Daily Low (DlyLow)

  • Daily High (DlyHigh)

  • Daily Bid (DlyBid)

  • Daily Ask (DlyAsk)

  • Daily Open (DlyOpen)

  • Daily Number Of Trades (DlyNumTrd)

  • Daily Market Maker Count (DlyMMCnt)

  • Daily Price Volume (DlyPrcVol)

3. Share information (6)

  • Share Information Start Date (ShrStartDt)

  • Share Information End Date (ShrEndDt)

  • Shares Outstanding (ShrOut)

  • Share Change Source Type (ShrSource)

  • Share Factor Type (ShrFacType) Share Adr Flag (ShrAdrFlg)

4. Distribution Information (17)

  • Ex-Distribution Date (DisExDt)

  • Distribution Sequence Number (DisSeqNbr)

  • Distribution Ordinary Dividend Flag (DisOrdinaryFlg)

  • Distribution Type (DisType) Distribution Frequency Type (DisFreqType)

  • Distribution Payment Method Type (DisPaymentType)

  • Distribution Detail Type (DisDetailType)

  • Distribution Tax Status Type (DisTaxType)

  • Distribution Original Currency Type (DisOrigCurType)

  • Dividend Amount (DisDivAmt)

  • Factor To Adjust Price (DisFacPr)

  • Factor To Adjust Shares (DisFacShr)

  • Declaration Date (DisDeclareDt)

  • Record Date (DisRecordDt)

  • Payment Date (DisPayDt)

  • PERMNO of the Security Received (DisPERMNO)

  • PERMCO of the Issuer Providing Payment (DisPERMCO)

5. NASDAQ Information (2)

  • Nasdaq Company Number (NASDCompno)

  • Nasdaq Issue Number (NASDIssuno)

6. Market Information (NYSE/AMEX/NASDAQ/ARCA) (5)

  • Value-weighted return including dividends (vwretd)

  • Value-weighted return excluding dividends (vwretx)

  • Equal-weighted return including dividends (ewretd)

  • Equal-weighted return excluding dividends (ewretx)

  • Return on the S&P 500 Index (sprtrn)

More detailed information

Note that some of the above variables are very important. We will illustrate their meanings in detail.

  • For the SIC Code, it denotes the industries that the company belongs to.

SIC CODE
Industries

1-999

Agriculture, Forestry and Fishing

1000-1499

Mining

1500-1799

Construction

2000-3999

Manufacturing

4000-4999

Transportation and other Utilities

5000-5199

Wholesale Trade

5200-5999

Retail Trade

6000-6799

Finance, Insurance and Real Estate

7000-8999

Services

9000-9999

Public Administration

  • For the Exchange Code, it denotes the exchange that the company is traded in.

    • NYSE, 1. (31 for stocks when-issued trading, such as during a reorganization.)

    • NYSE MKT (AMEX), 2. (32 for stocks when-issued trading, such as during a reorganization.)

    • NASDAQ, 3. (33 for stocks when-issued trading, such as during a reorganization.)

    • ARCA, 4. (34 for stocks when-issued trading, such as during a reorganization.)

  • For some research, we need to exclude the financial firms, we can use one-digit SIC codes of six to identify them.

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Last updated 1 year ago