News & Updates

CRSP Reports

CRSP Market Indexes US Market Update - July 2024

CRSP continues with its monthly series for July 2024.

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CRSP Count™ Q2 2024

Using CRSP Market Indexes Methodology, CRSP Count™ tracks changes in the number of securities by market cap segments - Mega, Mid, Small and Micro - through time.

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CRSP IPO Report - Q2 2024

CRSP US Total Market Index includes most of the new IPOs within five trading days of listing. A new report from CRSP looks at the trends in IPOs and their impact on CRSP Market Indexes.

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CRSP in the News

Stefan Nagel, Fama Family Distinguished Service Professor of Finance, is appointed to CRSP’s Fiduciary Board

Professor Nagel served as Executive Editor of the Journal of Finance, one of the leading academic finance journals in the world, from 2016 to 2022. Previously, he was an editor at the Review of Financial Studies from 2014-2015 and an associate editor at various top journals. He is also a research associate at the National Bureau of Economic Research (Cambridge, MA) and a research fellow at the Centre for Economic Policy Research (London, UK) and CESifo (Munich, Germany).

Lubos Pastor Joins Vanguard’s Board of Directors

CRSP would like to congratulate Lubos Pastor on being elected to Vanguard's Board of Directors. Lubos will be stepping down from CRSP’s Fiduciary Board, but will be remain on CRSP’s Academic Advisory Board.

Douglas Diamond wins Nobel Prize for research on banks and financial crises

Douglas W. Diamond, professor of the University of Chicago and longtime member of the CRSP Advisory Board, has been awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2022.

How Big Tech Broke Smaller-Company Investing

The behemoths of the stock market have become so big that they’re distorting gauges that define company size. CRSP’s definition of large stocks includes those in the top 85% of the entire market. The norm from other index providers is to count stocks from the biggest down and define those after a certain number as small.

Visit Us at the 2023 FMA International Annual Meeting

Come visit us in Booth 208 at the 2023 FMA International Annual Meeting in Chicago from October 11-14!

Best value ETFs

The Vanguard Value ETF seeks to track the performance of the CRSP U.S. Large Cap Value Index, which measures the returns of large-cap value stocks. The fund holds about 350 different stocks.

Passive ETFS Hit by Billion-Dollar Rebalancing Costs

Research shows US index trackers lose out on nearly $4bn a year due to price moves created by front-running.

Why active fixed income consistently outperforms the Agg

While the Agg is often viewed as representing “the U.S. bond market,” it in fact captures just 52% of the U.S. public bond market. Compare that with equity indices like the S&P 500, which covers 81% of the U.S. public equity market — or better yet, the CRSP U.S. Total Market Index, which covers 96%.

The Mutual Fund That Ate Wall Street - Based on an Index Few People Know About

Vanguard’s Total Stock Market Fund, at $1.3 trillion in assets, is a market unto itself - powered by an unassuming index called CRSP.

When It Comes to Indexes, the Devil is in the Details

Indexes have broad reach, but the amount of the U.S. market’s investable market capitalization they capture varies. Broad diversification ensures that investors have a stake in the market’s winners and mitigates the impact of owning a lot of losers. This article describes how the CRSP Indexes seek to deliver optimal and comprehensive market exposure.

Vanguard Is Now Using Blockchain Technology To Help Manage $1.3 Trillion In Index Funds

Vanguard, the 44-year-old mutual giant famous for popularizing index investing, has completed one of the most noteworthy implementations of blockchain technology for a financial institution to date.

It’s Nvidia’s Stock Market. You Choose How to Live in It.

"In the boom years of the 1950s, the 10 biggest companies, including AT&T, DuPont, and General Motors, regularly exceeded 30% of the value of all U.S. stocks. In July 1955, GM alone—up 78% over the previous 12 months—amounted to 6.8% of the value of the entire U.S. stock market, according to the Center for Research in Security Prices."

Private Equity Scrambles to Find an Alternative to IPOs to Unlock $3 Trillion

In this article on private equity's quest for IPO alternatives, Bloomberg notes, "The number of public companies in the US has almost halved since it peaked at around 7,500 in late 1997, according to the Center for Research in Security Prices."

Why Concentrated Stock Positions Are A 'Loser's Game'

"Antti Petajisto contributed to the literature on the risks of concentrated positions with his June 2023 study, “Underperformance of Concentrated Stock Positions.” His data sample was from CRSP and covered U.S. stocks over the period 1926-2022."

Commentary: The IPO window isn't closed. It's broken.

"The number of publicly listed companies has halved since 1996 and public exits have dropped over 70% since their 2021 highs. Small and mid-sized companies are finding the public market increasingly burdensome, leading to a rise in private equity activity to fill the gap."

Research Papers Using CRSP Data

Broken Rung: Female Employees in Higher-Paying Positions and Firm Performance

CRSP/Compustat Merged Database

Chuchu Liang | University of California, Irvine

Ben Lourie | University of California, Irvine

Alexander Nekrasov | University of Illinois at Chicago

Terry Shevlin | University of California, Irvine

Broken Rung: Female Employees in Higher-Paying Positions and Firm Performance

Climate Change Risk

CRSP/Compustat Merged Database, CRSP US Stock Databases, CRSP US Treasury Database

Ravi Bansal | Fuqua School of Business, Duke University

Dana Kiku | University of Illinois at Urbana-Champaign

Marcelo Ochoa | Federal Reserve Board

Climate Change Risk

Measuring Corporate Culture Using Machine Learning

CRSP/Compustat Merged Database

Kai Li | Sauder School of Business, University of British Columbia

Feng Mai | Stevens Institute of Technology

Rui Shen | Nanyang Business School, Nanyang Technological University

Xinyan Yan | School of Business Administration, University of Dayton

Measuring Corporate Culture Using Machine Learning

News & Updates

CRSP Reports

CRSP Market Indexes US Market Update - July 2024

CRSP Count™ Q2 2024

Using CRSP Market Indexes Methodology, CRSP Count™ tracks changes in the number of securities by market cap segments - Mega, Mid, Small and Micro - through time.

CRSP IPO Report - Q2 2024

CRSP US Total Market Index includes most of the new IPOs within five trading days of listing. A new report from CRSP looks at the trends in IPOs and their impact on CRSP Market Indexes.

CRSP in the News

Stefan Nagel, Fama Family Distinguished Service Professor of Finance, is appointed to CRSP’s Fiduciary Board

Lubos Pastor Joins Vanguard’s Board of Directors

CRSP would like to congratulate Lubos Pastor on being elected to Vanguard's Board of Directors. Lubos will be stepping down from CRSP’s Fiduciary Board, but will be remain on CRSP’s Academic Advisory Board.

Douglas Diamond wins Nobel Prize for research on banks and financial crises

Douglas W. Diamond, professor of the University of Chicago and longtime member of the CRSP Advisory Board, has been awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2022.

How Big Tech Broke Smaller-Company Investing

Visit Us at the 2023 FMA International Annual Meeting

Come visit us in Booth 208 at the 2023 FMA International Annual Meeting in Chicago from October 11-14!

Best value ETFs

The Vanguard Value ETF seeks to track the performance of the CRSP U.S. Large Cap Value Index, which measures the returns of large-cap value stocks. The fund holds about 350 different stocks.

Passive ETFS Hit by Billion-Dollar Rebalancing Costs

Research shows US index trackers lose out on nearly $4bn a year due to price moves created by front-running.

Why active fixed income consistently outperforms the Agg

The Mutual Fund That Ate Wall Street - Based on an Index Few People Know About

Vanguard’s Total Stock Market Fund, at $1.3 trillion in assets, is a market unto itself - powered by an unassuming index called CRSP.

When It Comes to Indexes, the Devil is in the Details

Vanguard Is Now Using Blockchain Technology To Help Manage $1.3 Trillion In Index Funds

Vanguard, the 44-year-old mutual giant famous for popularizing index investing, has completed one of the most noteworthy implementations of blockchain technology for a financial institution to date.

It’s Nvidia’s Stock Market. You Choose How to Live in It.

Private Equity Scrambles to Find an Alternative to IPOs to Unlock $3 Trillion

In this article on private equity's quest for IPO alternatives, Bloomberg notes, "The number of public companies in the US has almost halved since it peaked at around 7,500 in late 1997, according to the Center for Research in Security Prices."

Why Concentrated Stock Positions Are A 'Loser's Game'

"Antti Petajisto contributed to the literature on the risks of concentrated positions with his June 2023 study, “Underperformance of Concentrated Stock Positions.” His data sample was from CRSP and covered U.S. stocks over the period 1926-2022."

Commentary: The IPO window isn't closed. It's broken.

"The number of publicly listed companies has halved since 1996 and public exits have dropped over 70% since their 2021 highs. Small and mid-sized companies are finding the public market increasingly burdensome, leading to a rise in private equity activity to fill the gap."

Research Papers Using CRSP Data

Broken Rung: Female Employees in Higher-Paying Positions and Firm Performance

Climate Change Risk

Measuring Corporate Culture Using Machine Learning

The difference is clear.