README
CRSP daily stock return data is strictly restrict to the data replication project of RBUS510.
Sample Period: Jan 1, 2020 to December 30 2022.
Data file format: SAS format in two separate files
Variables:
• PERMCO is a unique permanent identifier assigned by CRSP to all companies with issues on a CRSP file. This number is permanent for all securities issued by this company regardless of name changes. The mnemonics PERMCO and COMPNO are interchangeable. If the value in this field is less than 20,000, CRSP has used the Nasdaq-assigned Company Number, for when the company had an issue trading on The Nasdaq Stock Market(SM). A value over 20,000 indicates that the number was assigned by CRSP
• Date: trading date in SAS YYYYMMDD. Format
• EXCHCD is a code indicating the exchange on which a security is listed. Normal exchange codes are respectively 1,2, and 3 for NYSE, AMEX and the Nasdaq Stock MarketSM. An exchange code of zero indicates that a security is either trading on an unknown exchange, or is temporarily not trading at all. Adding 30 to the normal exchange codes (31, 32 & 33) delineates when-issued trading, such as during a reorganization. See Appendix A.1 for additional Exchange Code information.
• SHRCD is a two-digit code describing the type of shares traded. The first digit describes the type of security traded.
• Primary Exchange is a one-character code which identifies the primary exchange on which the security trades.
• Ask is available both daily and monthly for all securities on the three major exchanges: NYSE, AMEX and NASDAQ. Ask prices for NASDAQ are handled a little differently than for NYSE/AMEX and outlined as follows:
NASDAQ
Asks is available for issues trading on the NASDAQ Stock Market during time periods when Ask or High Price can contain the high price.
Since July 1980, NASDAQ has used the inside quotations as the closing bid and ask, with the close being at 4:00PM Eastern time. The inside quotation is the highest bid and lowest ask for each trade date.
NYSE/AMEX
The ask for NYSE and AMEX securities is not the inside quotation, but the bid price from the last representative quote before the markets close for each trading date. Due to source limitations, only an unrepresentative quote was available on many days. These unrepresentative quote showed very large spreads, frequently a bid of a penny and an ask of approximately double the price. These were usually posted by a market marker not on the primary listed exchange, who was required to post a quote but not interested in making a trade. From 1992 on, Bid and Ask were set to 0 when CRSP determined that the available quote was unrepresentative of trading activity, pending further research.
• Bid is available both daily and monthly for all securities on the three major exchanges: NYSE, AMEX and NASDAQ. Bid prices for NASDAQ are handled a little differently than for NYSE/AMEX and outlined as follows:
NASDAQ
Bid is available for issues trading on the NASDAQ Stock Market during time periods when Bid or Low Price can contain the high price.
Since July 1980, NASDAQ has used the inside quotations as the closing bid and ask, with the close being at 4:00PM Eastern time. The inside quotation is the highest bid and lowest ask for each trade date.
NYSE/AMEX
The bid for NYSE and AMEX securities is not the inside quotation, but the bid price from the last representative quote before the markets close for each trading date. Due to source limitations, only an unrepresentative quote was available on many days. These unrepresentative quote showed very large spreads, frequently a bid of a penny and an ask of approximately double the price. These were usually posted by a market marker not on the primary listed exchange, who was required to post a quote but not interested in making a trade. From 1992 on, Bid and Ask were set to 0 when CRSP determined that the available quote was unrepresentative of trading activity, pending further research.
Bid data for NYSE are available from D
• SHROUT is the number of publicly held shares, recorded in thousands
• RETX contains returns without dividends. Ordinary dividends and certain other regularly taxable dividends are excluded from the returns calculation. The formula is the same as for RET except d(t) is usually 0.
The data replication project requires the calculation of returns for holidays weekend. The PDF file contains the historical holidays between 1996 and 2017.
Software:
It is recommended to use SAS to finish this data replication project. The commands that you may use include proc rank; proc sql; proc expand (i.e., time series operation to determine previous trading day, and previous closing price).
