Record Date is the record date on which the stockholder must be registered as holder of record on the stock transfer records of the company in order to receive a particular distribution directly from the company. This integer date is coded as YYYYMMDD, and set to 0 if unavailable.
For a merger, exchange, or total liquidation in which the company disappeared, Record Date is, by convention, set equal to the date of the last price or Delisting Date.
Record dates of liquidating payments after delisting are reported when available, and set to 0 when unavailable.
Related Assignment Information is a group of fields defining the time periods and associated indexes used to form portfolios. It primarily defines the rebalancing periods when the portfolio is reformed based on new information. Related Assignment Information contains the fields Basic Assignment Type Code, INDNO of Associated Index, Portfolio Number in Associated Index, Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and Calendar Identification Number of Calculations Calendar.
Restriction Begin Date is the first date, in YYYYMMDD format, of data included in a partition universe restriction or an index universe restriction. Restriction Begin Date is set to 0 if there is no date restriction.
Restriction End Date is the last date, in YYYYMMDD format, of data included in a partition universe restriction or an index universe restriction. Restriction End Date is set to 0 if there is no date restriction.
A return is the change in the total value of an investment in the security over some period of time per dollar of initial investment. Holding Period Total Return is the return for a sale on the given day. It is based on a purchase on the most recent time previous to this day when the security had a valid price. Usually, this time is the previous calendar period.
Daily: In daily databases, dividends are reinvested on the Ex-Distribution Date.
Monthly: In monthly databases, returns are holding period returns from month-end to month-end, not compounded from daily returns, and ordinary dividends are reinvested at month-end.
A series of special missing return codes specify the reason a return is missing.
-88.0
Code
Reason For Missing Return
-66.0
Valid current price but no valid previous price. Either first price, unknown exchange between current and previous price, or more than 10 periods between time t and the time of the preceding price t'.
-77.0
Not trading on the current exchange at time t.
-88.0
Outside the security's price range.
-99.0
Missing return due to missing price at time t; usually due to suspension in trading or trading on unknown exchange.
Daily: Daily total returns compounded from the beginning day in the calendar range. Each trading day in the time series contains a cumulative return since the beginning calendar period.
Monthly: Monthly total returns compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Return on dividends, the difference between total return and return without dividends.
Compounding income returns over a longer time series interval using CRSP software does not produce the difference between the associated compounded total return and compounded return without dividends. Compounding income return produces results irrespective of capital appreciation on the reinvested dividend amount over the time period.
Daily: Daily returns on income compounded from the beginning day in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Monthly: Monthly returns on income compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Daily: Day-to-day capital appreciation of a security, calculated as a change in price, or bid/ask average if prices not available.
Monthly : Month-end to month-end capital appreciation of a security, calculate as a change in price only.
While ordinary and certain other regular taxable dividends are excluded from the returns calculation, non-ordinary distributions are included.
A series of special return codes specify the reason a return is missing:
-88.0
Code
Reason For Missing Return
-66.0
Valid current price but no valid previous price. Either first price, unknown exchange between current and previous price, or more than 10 periods between time t and the time of the preceding price t'.
-77.0
Not trading on the current exchange at time t.
-88.0
Outside the security's price range.
-99.0
Missing return due to missing price at time t; usually due to suspension in trading or trading on unknown exchange.
Daily: Daily returns without dividends compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Monthly: Monthly returns without dividends compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Return of Delisted Issues Flag is a code describing whether delisting returns are applied to securities delisting from the exchange during a rebalancing period of an index. The following codes are used:
Code
Reason For Missing Return
0
Unknown or not applicable
1
Delisting return is applied to issues that delist during the period
2
Issues must have price during period on target exchange to be included in index
Subscription Information
Record Date
Record Date is the record date on which the stockholder must be registered as holder of record on the stock transfer records of the company in order to receive a particular distribution directly from the company. This integer date is coded as YYYYMMDD, and set to 0 if unavailable.
For a merger, exchange, or total liquidation in which the company disappeared, Record Date is, by convention, set equal to the date of the last price or Delisting Date.
Record dates of liquidating payments after delisting are reported when available, and set to 0 when unavailable.
Related Assignment Information
Related Assignment Information is a group of fields defining the time periods and associated indexes used to form portfolios. It primarily defines the rebalancing periods when the portfolio is reformed based on new information. Related Assignment Information contains the fields Basic Assignment Type Code, INDNO of Associated Index, Portfolio Number in Associated Index, Calendar Identification Number of Rebalancing Calendar, Calendar Identification Number of Assignment Calendar, and Calendar Identification Number of Calculations Calendar.
Restriction Begin Date (Partition or Index)
Restriction Begin Date is the first date, in YYYYMMDD format, of data included in a partition universe restriction or an index universe restriction. Restriction Begin Date is set to 0 if there is no date restriction.
Restriction End Date (Partition or Index)
Restriction End Date is the last date, in YYYYMMDD format, of data included in a partition universe restriction or an index universe restriction. Restriction End Date is set to 0 if there is no date restriction.
Returns
A return is the change in the total value of an investment in the security over some period of time per dollar of initial investment. Holding Period Total Return is the return for a sale on the given day. It is based on a purchase on the most recent time previous to this day when the security had a valid price. Usually, this time is the previous calendar period.
Daily: In daily databases, dividends are reinvested on the Ex-Distribution Date.
Monthly: In monthly databases, returns are holding period returns from month-end to month-end, not compounded from daily returns, and ordinary dividends are reinvested at month-end.
A series of special missing return codes specify the reason a return is missing.
-88.0
Returns, Cumulative
Daily: Daily total returns compounded from the beginning day in the calendar range. Each trading day in the time series contains a cumulative return since the beginning calendar period.
Monthly: Monthly total returns compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Returns on Income
Return on dividends, the difference between total return and return without dividends.
Compounding income returns over a longer time series interval using CRSP software does not produce the difference between the associated compounded total return and compounded return without dividends. Compounding income return produces results irrespective of capital appreciation on the reinvested dividend amount over the time period.
Returns on Income, Cumulative
Daily: Daily returns on income compounded from the beginning day in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Monthly: Monthly returns on income compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Returns Without Dividends
Daily: Day-to-day capital appreciation of a security, calculated as a change in price, or bid/ask average if prices not available.
Monthly : Month-end to month-end capital appreciation of a security, calculate as a change in price only.
While ordinary and certain other regular taxable dividends are excluded from the returns calculation, non-ordinary distributions are included.
A series of special return codes specify the reason a return is missing:
-88.0
Returns Without Dividends, Cumulative
Daily: Daily returns without dividends compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Monthly: Monthly returns without dividends compounded from the beginning month in the calendar range. Each period in the time series contains a cumulative return since the beginning calendar period.
Return of Delisted Issues Flag
Return of Delisted Issues Flag is a code describing whether delisting returns are applied to securities delisting from the exchange during a rebalancing period of an index. The following codes are used: