Data Definitions - R

Record Date Returns on Income
Related Assignment Information Returns on Income, Cumulative
Restriction Begin Date (Partition or Index) Returns Without Dividends
Restriction End Date (Partition or Index) Returns Without Dividends, Cumulative
Returns Return of Delisted Issues Flag
Returns, Cumulative  

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.

General Information
Primary Concepts Distribution Event Array
Data Type integer number
Unit of Item YYYYMMDD date
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /di
C Usage
Object dists_arr
Array dists[ ]
Element rcrddt
FORTRAN-95 Usage
Type or Subtype dists_arr
Member and/or Array dists()
Element rcrddt
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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.

General Information
Primary Concepts Index Header
Data Type structure
Unit of Item Set (partition assignment)
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element assign
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array assign
Element n/a
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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.

General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item YYYYMMDD date
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element induniv.begdt or partuniv.begdt
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array induniv or partuniv
Element begdt
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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.

General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item YYYYMMDD date
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element induniv.enddt or partuniv.enddt
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array induniv or partuniv
Element enddt
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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

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.
General Information
Primary Concepts Price, Volume, and Return Time Series Arrays
Data Type real number
Unit of Item Ratio
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print Daily Usage ret/0
ts_print Monthly Usage mret/0
stk_print Option(s) /pr, /dd, /dr, /dx
C Usage
Object ret_ts
Array ret[ ]
Element  
FORTRAN-95 Usage
Type or Subtype ret_ts
Member and/or Array ret()
Element  
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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.

Category Returns
Data Type Floating Point
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID cumtret
Monthly ITEMID mcumtret
Header Cumtret
SUBNO 0
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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.

Category Returns
Data Type Floating Point
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID reti
Monthly ITEMID mreti
Header Reti
SUBNO 0
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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.

Category Returns
Data Type Floating Point
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID cumiret
Monthly ITEMID mcumiret
Header Cumiret
SUBNO 0
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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

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.
Category Returns
Data Type Floating Point
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID retx
Monthly ITEMID mretx
Header Retx
SUBNO 0
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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.

Category Returns
Data Type Floating Point
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID cumaret
Monthly ITEMID mcumaret
Header Cumaret
SUBNO 0
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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:

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
General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item code
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element flags.delretflag
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array flags
Element delretflag
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