Calendar Associated with a Time Series is a pointer in a CRSP time series object to the associated CRSPAccess calendar structure needed to assign the time to data in a time series array.
General Information
Primary Concepts
Base CRSPAccess Data Structures, Calendar Objects, Time Series Objects
Calendar Identification Number is an integer code assigned by CRSP to trading calendars. A Calendar Name and Calendar Identification Number identify each calendar. The calendars supported in CRSPAccess databases are:
Calendar Identification Number of Assignment Calendar
Calendar Identification Number of Assignment Calendar identifies a calendar that determines the dates when index breakpoints and buy/sell rules are valid. The assignment calendar is used when using rebalancing information to assign issues to a portfolio. The calendar periods of the Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and Calendar Identification Number of Calculations Calendar are synchronized, although the actual date ranges for each period may differ. The assignment calendar uses the same calendars listed in Calendar Identification Number.
Calendar Identification Number of Calculations Calendar
Calendar Identification Number of Calculations Calendar identifies a calendar that determines the range of dates used to calculate statistics to form portfolios. The calendar periods of the Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and Calendar Identification Number of Calculations Calendar are synchronized, although the actual date ranges for each period number may differ. The calculations calendar uses the same calendars described in Calendar Identification Number.
Calendar Identification Number of Rebalancing Calendar
Calendar Identification Number of Rebalancing Calendar identifies a calendar that determines the time periods when the portfolios in the index are held. The new portfolio universe is held from the end of one period in the rebalancing calendar until the end of the next period. The calendar period numbers of the Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and the Calendar Identification Number of Calculations Calendar are synchronized, although the actual date ranges for each period number may differ. The rebalancing calendar uses the same calendars listed in Calendar Identification Number.
Calendar Name is a text description of a calendar. These include: Daily Trading Calendar, Month-End Trading Calendar, Annual Trading Calendar, Quarterly Trading Calendar, Weekly Trading Calendar.
Calendar Period Grouping Identifiers are integers assigned for each trading period in a calendar. These identifiers can be used as alternate names to Calendar Trading Date for the calendar periods. The values stored for each period in Calendar Period Grouping Identifier for the current calendars are:
Calendar Name
Date Format
Daily Trading Calendar
YYYYWW
Month-End Trading Calendar
YYYYMM
Annual Trading Calendar
YYYY
Quarterly Trading Calendar
YYYYMM
Weekly Trading Calendar
YYYYWW
where YYYY is the 4-digit year, MM the month, and WW the week within the current year. The last week of the previous year is continued for the entire week when the year changes.
Calendar Time Period Description Code is a code that indicates the type of calendar array best used to read a CRSP Stock or Index time series. This code equals 2, indicating that calendar time periods are identified by the last trading date in the period using Calendar Trading Date.
General Information
Primary Concepts
Base CRSPAccess Data Structures, Time Series Objects
Trading date in the CRSP output calendar for the period. (Last trading day in week for weekly, month for monthly, and so on.)
Calendar Trading Date contains the list of trading dates for a CRSP calendar. Each date represents the last date in a calendar period, in YYYYMMDD (year, month, day) format. These dates begin in the first element of the array and continue to the Number of Periods in Calendar. Calendar dates for weekends and trading holidays are not included.
Calendar Type Availability Flag identifies the calendar available for use with the data. It is set to 1 if Calendar Period Grouping Identifier is available, 2 if Calendar Trading Date is available, and 3 if both are available.
Closing price * shares outstanding (in 1000s), as of end of the period. If an index, capitalization is the total market value of the issues used in the index at the beginning of the period.
Closing price * shares outstanding (in 1000s) at the end of the previous period. If an index, capitalization is the total market value of the issues used in the index at the beginning of the previous period.
Company name effective at the end of the period reported.
Company Name is the name of the company at the time of its name history record. CRSP allocates a 35 character name description field for all securities. Preference is given to the spellings and abbreviations provided in Standard & Poor's CUSIP Directory. In cases where name sources provide descriptions in excess of 35 characters, CRSP furnishes its own abbreviations.Daily: The daily file includes all historical names included in the file beginning in 1925.
Count at End of Rebalancing Period is the count of entities belonging to a portfolio at the end of a rebalancing period. It is set to zero if unavailable.
Count Available as of Rebalancing is the total count of entities available in the universe eligible for a portfolio at the beginning of a rebalancing period. It is set to zero if unavailable.
Cumulative Factor to Adjust Prices Over a Date Range
Cumulative factor from a base date used to adjust prices after distributions so that equivalent comparisons can be made between prices before and after the distribution.
Cumulative Factor to Adjust Shares/Volume Over a Date Range
Cumulative factor from a base date used to adjust shares and volume after distributions so that equivalent comparisons can be made between values before and after the distribution. Represented as a ratio of the additional shares out expected after the distribution to the last known observation.
The 8 character CUSIP identifier for a security at the end of the period reported.
Extended Information
CUSIP refers to the CUSIP identifier valid during the date range of a name structure. All non-blank CUSIPs are 8 characters long.
The CUSIP Agency will often change an issue's CUSIP identifier to reflect name or capital structure changes. CRSP has preserved all CUSIPs assigned to a given issue over time. CUSIP identifiers were first assigned in 1968. All CUSIPs in a name history before that date are unavailable. Dummy CUSIP identifiers are not included in the name history.
For more details of the CUSIP identifier; See CUSIP - Header.
The latest 8 character CUSIP identifier for a security.
Extended Information
CUSIP - Header is the latest 8 character CUSIP identifier for the security through the end of the file. CUSIP identifiers are supplied to CRSP by the CUSIP Service Bureau, Standard & Poor's, a division of McGraw-Hill, Inc., American Bankers Association database, Copyright 1987.
CUSIP identifiers were first assigned in 1968 as integers and expanded in 1984 to include alphabetic characters. The first six characters (including leading zeroes) identify the issuer, while the last two characters identify the issue. CUSIP issuer identifiers are assigned to maintain an approximately alphabetical sequence. The CUSIP identifier may change for a security if its name or capital structure changes.
No header or historical CUSIP is reused on our files. For securities no longer in existence or that were never assigned an official CUSIP identifier, CRSP has assigned a dummy CUSIP identifier for use in this field in accordance with the rules published in the CUSIP Directory. There are two potential types of dummy CUSIP - Headers which are assigned by CRSP. One, ***99*9*, (containing a 9 in the fourth, fifth, and seventh character positions) represents a CRSP-assigned CUSIP with a dummy issuer number (the first 6 character positions) and a dummy issue number (the last 2 character positions). The other, ******9*, (containing a 9 in the seventh character position) represents a CRSP-assigned CUSIP with a real issuer number but a dummy issue number. For example:
A CUSIP - Header such as 12399099 or 12345699 is assigned by CRSP, and an identifier such as 12345610 is assigned by the CUSIP Agency.
Securities actively traded on an international basis, domiciled outside the United States and Canada, will be identified by a CINS (CUSIP International Numbering System) number. CINS numbers employ the same identifier system set by the CUSIP Numbering System: Issuer (6 characters) plus Issue (2 characters) per 8 characters. It is important to note that the first portion of a CINS code is always represented by an alphabetic character, signifying the issuer's country code (domicile) or geographic region. For more information, see the current CUSIP Directory and see Share Types.
Subscription Information
Calendar Associated with a Time Series
Calendar Associated with a Time Series is a pointer in a CRSP time series object to the associated CRSPAccess calendar structure needed to assign the time to data in a time series array.
Calendar Identification Number
Calendar Identification Number is an integer code assigned by CRSP to trading calendars. A Calendar Name and Calendar Identification Number identify each calendar. The calendars supported in CRSPAccess databases are:
n/an/an/aCalendar Identification Number of Assignment Calendar
Calendar Identification Number of Assignment Calendar identifies a calendar that determines the dates when index breakpoints and buy/sell rules are valid. The assignment calendar is used when using rebalancing information to assign issues to a portfolio. The calendar periods of the Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and Calendar Identification Number of Calculations Calendar are synchronized, although the actual date ranges for each period may differ. The assignment calendar uses the same calendars listed in Calendar Identification Number.
n/an/a/hrCalendar Identification Number of Calculations Calendar
Calendar Identification Number of Calculations Calendar identifies a calendar that determines the range of dates used to calculate statistics to form portfolios. The calendar periods of the Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and Calendar Identification Number of Calculations Calendar are synchronized, although the actual date ranges for each period number may differ. The calculations calendar uses the same calendars described in Calendar Identification Number.
n/an/a/hrCalendar Identification Number of Rebalancing Calendar
Calendar Identification Number of Rebalancing Calendar identifies a calendar that determines the time periods when the portfolios in the index are held. The new portfolio universe is held from the end of one period in the rebalancing calendar until the end of the next period. The calendar period numbers of the Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and the Calendar Identification Number of Calculations Calendar are synchronized, although the actual date ranges for each period number may differ. The rebalancing calendar uses the same calendars listed in Calendar Identification Number.
n/an/a/hrCalendar Name
Calendar Name is a text description of a calendar. These include: Daily Trading Calendar, Month-End Trading Calendar, Annual Trading Calendar, Quarterly Trading Calendar, Weekly Trading Calendar.
n/an/an/aCalendar Period Grouping Identifier
Calendar Period Grouping Identifiers are integers assigned for each trading period in a calendar. These identifiers can be used as alternate names to Calendar Trading Date for the calendar periods. The values stored for each period in Calendar Period Grouping Identifier for the current calendars are:
where YYYY is the 4-digit year, MM the month, and WW the week within the current year. The last week of the previous year is continued for the entire week when the year changes.
n/an/an/aCalendar Time Period Description Code
Calendar Time Period Description Code is a code that indicates the type of calendar array best used to read a CRSP Stock or Index time series. This code equals 2, indicating that calendar time periods are identified by the last trading date in the period using Calendar Trading Date.
n/an/an/aCalendar Trading Date
Trading date in the CRSP output calendar for the period. (Last trading day in week for weekly, month for monthly, and so on.)
Calendar Trading Date contains the list of trading dates for a CRSP calendar. Each date represents the last date in a calendar period, in YYYYMMDD (year, month, day) format. These dates begin in the first element of the array and continue to the Number of Periods in Calendar. Calendar dates for weekends and trading holidays are not included.
Calendar Type Availability Flag
Calendar Type Availability Flag identifies the calendar available for use with the data. It is set to 1 if Calendar Period Grouping Identifier is available, 2 if Calendar Trading Date is available, and 3 if both are available.
n/an/an/aCapitalization, End of Period
Closing price * shares outstanding (in 1000s), as of end of the period. If an index, capitalization is the total market value of the issues used in the index at the beginning of the period.
Capitalization, End of Previous Period
Closing price * shares outstanding (in 1000s) at the end of the previous period. If an index, capitalization is the total market value of the issues used in the index at the beginning of the previous period.
Company Name - Header
Company Name - Header is the most current Company Name tracked in the specific security's name history array. Names can be up to 35 characters long.
comnam|SUBNO2mcomnam|SUBNO2/hh , /hr , /hrl , /hnCompany Name, End of Period
Company name effective at the end of the period reported.
Company Name is the name of the company at the time of its name history record. CRSP allocates a 35 character name description field for all securities. Preference is given to the spellings and abbreviations provided in Standard & Poor's CUSIP Directory. In cases where name sources provide descriptions in excess of 35 characters, CRSP furnishes its own abbreviations.Daily: The daily file includes all historical names included in the file beginning in 1925.
Company Name, End of Previous Period
Company name effective at the end of the period preceding the period reported.
Company Name, Most Recent
The most recent company name known to CRSP.
Count at End of Rebalancing Period
Count at End of Rebalancing Period is the count of entities belonging to a portfolio at the end of a rebalancing period. It is set to zero if unavailable.
n/an/a/rs#Count Available as of Rebalancing
Count Available as of Rebalancing is the total count of entities available in the universe eligible for a portfolio at the beginning of a rebalancing period. It is set to zero if unavailable.
n/an/a/rs#Count Used as of Rebalancing
Count Used as of Rebalancing is the count of entities in a portfolio as of the beginning of a rebalancing period. It is set to zero if unavailable.
n/an/a/rb#Cumulative Factor to Adjust Prices Over a Date Range
Cumulative factor from a base date used to adjust prices after distributions so that equivalent comparisons can be made between prices before and after the distribution.
Cumulative Factor to Adjust Shares/Volume Over a Date Range
Cumulative factor from a base date used to adjust shares and volume after distributions so that equivalent comparisons can be made between values before and after the distribution. Represented as a ratio of the additional shares out expected after the distribution to the last known observation.
CUSIP, End of Period
The 8 character CUSIP identifier for a security at the end of the period reported.
Extended Information
CUSIP refers to the CUSIP identifier valid during the date range of a name structure. All non-blank CUSIPs are 8 characters long.
The CUSIP Agency will often change an issue's CUSIP identifier to reflect name or capital structure changes. CRSP has preserved all CUSIPs assigned to a given issue over time. CUSIP identifiers were first assigned in 1968. All CUSIPs in a name history before that date are unavailable. Dummy CUSIP identifiers are not included in the name history.
For more details of the CUSIP identifier; See CUSIP - Header.
CUSIP, End of Previous Period
The 8 character CUSIP identifier for a security at the end of period preceding the period reported.
CUSIP, Header
The latest 8 character CUSIP identifier for a security.
Extended Information
CUSIP - Header is the latest 8 character CUSIP identifier for the security through the end of the file. CUSIP identifiers are supplied to CRSP by the CUSIP Service Bureau, Standard & Poor's, a division of McGraw-Hill, Inc., American Bankers Association database, Copyright 1987.
CUSIP identifiers were first assigned in 1968 as integers and expanded in 1984 to include alphabetic characters. The first six characters (including leading zeroes) identify the issuer, while the last two characters identify the issue. CUSIP issuer identifiers are assigned to maintain an approximately alphabetical sequence. The CUSIP identifier may change for a security if its name or capital structure changes.
No header or historical CUSIP is reused on our files. For securities no longer in existence or that were never assigned an official CUSIP identifier, CRSP has assigned a dummy CUSIP identifier for use in this field in accordance with the rules published in the CUSIP Directory. There are two potential types of dummy CUSIP - Headers which are assigned by CRSP. One, ***99*9*, (containing a 9 in the fourth, fifth, and seventh character positions) represents a CRSP-assigned CUSIP with a dummy issuer number (the first 6 character positions) and a dummy issue number (the last 2 character positions). The other, ******9*, (containing a 9 in the seventh character position) represents a CRSP-assigned CUSIP with a real issuer number but a dummy issue number. For example:
Securities actively traded on an international basis, domiciled outside the United States and Canada, will be identified by a CINS (CUSIP International Numbering System) number. CINS numbers employ the same identifier system set by the CUSIP Numbering System: Issuer (6 characters) plus Issue (2 characters) per 8 characters. It is important to note that the first portion of a CINS code is always represented by an alphabetic character, signifying the issuer's country code (domicile) or geographic region. For more information, see the current CUSIP Directory and see Share Types.
CUSIP, Most Recent
The most recently used 8 character CUSIP identifier for a security through the end of the file.