Us Stock and Indices Databases
This page is divided into the following sections:
Guides for Supported Versions CRSPAccess 2.97 and Earlier
Data
You can read the sections below online by clicking the HTML link. Alternately, click the PDF link to download that section as a printable document. Finally, you can see the entire Data section in one document by clicking here:
Download Data Description Guide in Adobe PDF format
| Background An overview of the development history of CRSP's data files. Also included are descriptions of the CRSP stock data universe, CRSP calendars, and CRSP data sources. |
| Data Definitions CRSP stock and indices variables organized alphabetically by name. |
| Calculations Formulas and methodologies used to derive CRSP variables in the stock and index files and generated by the CRSP data utilities. |
| Index Methodologies CRSP provides a wide range of indices that can be used as benchmarks of market performance. Broad market indices are provided with CRSP stock files. Additional market indices, stock portfolios, bond indices, and inflation series are provided with CRSP indices files. |
| Data Coding Schemes Various data in CRSP databases, such as share types, distribution events, and delisting events, are represented by numeric codes. Follow the links below to view tables of codes and their meanings. |
| Database Structures This section describes each stock data array included in the CRSPAccess database. Accessibility and data structures between C and FORTRAN are only slightly different. When they differ, a description and layout is included for each. |
Software
The CRSPAccess software includes utilities that may be used to extract CRSP stock and index data from the CRSP proprietary databases on Linux and Solaris platforms. They also include files necessary for C and Fortran-95 programming for use on Windows platforms as well as Linux and Solaris. The access tools are available with a Developer License.
The CRSPAccess utilities and programming files may be used to access the CRSP US 1925 and 1962 Stock and Stock with Indices Databases.
CRSPAccess is made up of a number of tools used to accomplish four major categories of tasks: creating reports, searches and database inquiries, creating subsets, and moving databases and files across machine types. Documentation on these software categories is available individually below, or you can download the entire CRSPAccess Software Guide in one file.
Download the CRSPAccess Software Guide in Adobe PDF format
Reporting Tools
The reporting tools can extract time-series output, stock event data, and decile-level indices data.
Data are accessed from the reporting tools through identifier keys. The primary identifier key, and the one the CRSP recommends for the CRSP Stock databases, is PERMNO, CRSP permanent security level identifier. Other identifier keys that may be used include PERMCO, CRSP’s company level identifier, current and historical CUSIPs, Tickers, and SIC codes. INDNO, CRSP’s index identifier, is used to access index data through ts_print and ind_print.
| ts_print - To extract time-series data over fixed or relative date ranges. |
| stk_print - To extract event histories including name and identifier changes, delisting information, and distributions, as well as time series data extractions. |
| ind_print - To extract indices and decile-level returns, levels, counts, and weights data. |
Search and Inquiry Tools
CRSP provides header files for each CRSPAccess database. These name lists are useful for finding identifiers and name histories of securities when only partial information is known. The identifiers can then be used as input to other CRSP reporting utilities or programs. The files are fixed format text files and be accessed with system utilities or other tools. CRSP provides search utilities for header files.
| dstksearch - To search the daily data header files |
| mstksearch- To search the monthly data header files |
| dindsearch- To search the daily index header files |
| mindsearch- To search the monthly index header files |
| crsp_show_db_info - To display parameters associated with a specific database |
| crsp_set_db_info - To change parameters associated with a specific database |
Subsetting Tools
These utilities can be used to create copies of CRSP databases, restricted for example on the basis of exchange and share codes, or a select group of PERMNOs.
| stk_partial - Creates a stock database from an existing one or to append securities from one existing database to another. |
| ind_partial - Creates an index database from an existing one or to append indices from one existing database to another. |
| crsp_stk_subset - Creates a stock database from an existing one by subsetting data. |
| crsp_ind_subset - Creates an index database from an existing one by subsetting data |
Database File Tools
| rewrite_crspdb - Copies a CRSPAccess database to a new directory or converts data from one binary type to another |
| crsp_stk_scd_load - Creates secondary indices or keys for a database |
| crsp_stk_headall - Creates a header file with user-specified options |
| crsp_ind_headall - Creates a header file for an index database, used primarily for a subset database |
| crsp_crlf2lf - Removes carriage returns |
| crsp_lf2crlf - Adds carriage returns |
| crsp_cutc - Select columns from fixed-width text files can be written to an output file. |
Programming Access
Database Access from FORTRAN-95 Programs
Contains: Database Access Functions for FORTRAN-95 Programmers
Contains: C and FORTRAN programming information for the stock and indices database. (9/06)
Contains: Information for converting CRSPAccess FORTRAN-77 programs to run with FORTRAN-95. (6/06)
Contains: Information for SAS users on utilizing SASECRSP to access and time-series data residing in CRSPAccess databases with a seamless interface between CRSP, COMPUSTAT, and SAS data processing.
Guides for Supported Versions CRSPAccess 2.97 and Earlier
Contains: Overview, array layout, data description, calculations, and coding schemes for the Stock and Indices Database. (5/08)
Contains: Data utility software information to access the stock and indices data without programming. (1/07)
Contains: Instructions for installing and getting started with CRSPSift 2.0. (6/08)
Contains: Instructions for installing and getting started with CRSPSift 1.2. (6/08)