How many historical databases does CRSP provide?
CRSP provides six databases:
- CRSP US Stock Database
- CRSP US Index Database
- CRSP US Treasuries Database
- CRSP US Survivor-Bias-Free Mutual Funds Database
- CRSP/COMPUSTAT Merged Database
- CRSP/Ziman Real Estate Data Series
How often are the databases updated?
- Stock & Index and Treasuries databases all ship on the 12th trading day of the month for monthly subscribers.
- TheCRSP/Compustat Merged database ships on the 10th trading day after the CRSP Researchers complete the monthly Stock update.
- The CRSP/Ziman REIT data ships on the last trading day of each month.
- All quarterly subscribers receive databases shipped at the end of the month following the most recently completed calendar quarter with data current through that calendar quarter.
- Mutual Funds are transitioning to monthly updates, but will continue to ship quarterly. Targeted for July 2009, this represents an improvement that reduces the quarterly lag to a monthly lag, consistent with CRSP’s other quarterly shipments.
What information and data variables are included in the CRSP US Stock database?
The database includes:
- Common stock issues, certificates, and ADRSs listed on NYSE, NYSE American, NASDAQ, and ARCA exchanges
- Security level historical descriptive information and end-of-day market data; price, volume, return, distribution and name
- For data variables click here: More detail
- Market indexes are included for use with the stock data
- CRSP Market Indexes (Value- and Equal-Weighted Indexes with or without dividends
- S&P 500 Composite Index and returns
- NASDAQ Composite Index and returns
Does CRSP have corporate actions?
Yes. Our highly accurate and complete corporate action data for US equities is considered the gold standard. We offer descriptions of all distributions, dividend amounts, factors to adjust price and shares, declarations, ex-distribution, record and payment dates and security and company linking information.
How far back do the CRSP data go?
Subscribers depend on CRSP as it provides the most extensive and accurate historical data on US equities.
- NYSE daily data begin December 1925
- NYSE American daily data begin July 1962
- NASDAQ daily data begin December 1972
- ARCA daily data begin March 2006
How many companies are in the CRSP stock universe?
CRSP end-of-day historical data covers roughly 26,500 stocks – active and inactive -- listed on the NYSE, NYSE American, NASDAQ, and ARCA exchanges. OTC bulletin board stocks are not included.
Does CRSP follow securities that trade on an over-the-counter listing service such as Pink Sheets or OTCBB?
No. At this time, CRSP follows securities with primary listings on NYSE, NYSE American, NASDAQ, and ARCA exchanges.
What is the source of CRSP equity data?
Professors James H. Lorie and Lawrence Fisher developed the design and manually collected the data for the original Master in 1960. It contained month-end prices and returns on NYSE common stocks from 1926. Over time, CRSP added end-of-day data from NYSE American and NASDAQ exchanges. Currently we receive NASDAQ data directly from the exchange, and end-of-day NYSE and NYSE American data from Interactive Data Corp. CRSP also utilizes several additional sources for its in-depth historical research.
What are the US Index and Portfolio Assignments?
Index and Portfolio Assignments are provided as a separate product or can be included with a CRSP stock database. Returns, levels, and counts are provided for various indexes and decile portfolios created from the CRSP universe. They are calculated on daily, monthly, quarterly, and annual frequencies.
What indexes does CRSP offer?
There are four types of indexes:
- CRSP US Stock File Indexes
- CRSP Market Cap-Based Portfolios
- CRSP Indexes for the S&P 500 Universe
- CRSP US Treasury and Inflation Series
Detailed information is available here.
How does CRSP identify the stocks in the database?
CRSP developed a unique permanent security-level identification number, which we call PERMNO. Together with PERMCO, our unique and permanent company identification number, CRSP can identify all NYSE, ARCA, NYSE American, and NASDAQ companies and their share classes. We also provide complete name history, all historical CUSIPs, Tickers, SICs, share classes codes, exchange codes, and security delisting information.
Do CRSP identifiers ever change?
No. Unlike CUSIP or ticker, our PERMNO and PERMCO identifiers are permanent. That means that once the identifier is assigned, it is never reassigned. This allows for extremely accurate historical analysis because CRSP identifiers track any and all changes over time in the issues of a company, in its name, CUSIP, ticker, exchange or other company identifiers.
CUSIP numbers are not permanent and can change over time. Since CUSIP allows a security to be associated with more than one CUSIP number over its lifespan, this frequently makes for very poor match rates between different databases. This is especially problematic when researching the entire database of US equities, which includes many inactive stocks, thus creating serious inaccuracies and incomplete histories when backtesting data. CRSP's name history for a security, accessible by the unique identifier PERMNO, tracks changes in its CUSIP number. In CRSP, a PERMNO can be associated with more than one eight-digit CUSIP number over time, but an eight-digit CUSIP number can only be associated with one PERMNO.
Does CRSP have international data?
CRSP does not have international data, but is currently reviewing data from several sources for the likelihood of commencing a project to build an international product over the next few years.
Does CRSP produce stock performance graphs?
CRSP no longer provides this. To obtain a stock performance graph, please contact Zacks Investment Research at (800)767-3771 x 9214.