Insights

50th Anniversary Issue: Rates of Return of Investments in Common Stocks

In 1960, when Jim Lorie and Larry Fisher, then both faculty members at Chicago Booth, partnered with Louis Engel of Merrill Lynch to develop CRSP, it is hard to imagine that even they could have foreseen the enduring legacy of their work. It is not an overstatement to suggest that academics, individual investors, and investment practitioners have all been profoundly impacted by the development of CRSP.

With a pioneering spirit, CRSP and Chicago Booth applied the earliest available technology in creating machine readable databases. In 1964, with the publication of their seminal research paper entitled, Rates of Return, Fisher and Lorie for the first time in the history of finance established the long-term “total market return.” With more than half a century of meticulous and continuous data curation, led by the efforts of Fisher and Lorie, CRSP serves multiple generations of scholarly researchers with research-quality data.

The results of their research and the data underpinning the analysis continue to serve as the foundations for quantitative advancements in finance, economics and related disciplines. Today, nearly 500 leading academic institutions rely on CRSP data to underpin research and teaching. CRSP is also widely used in the commercial market for backtesting and performance benchmarking. Moreover, our recent development of the investable CRSP Indexes demonstrates CRSP’s commitment to preserving the legacy of Fisher and Lorie and building on their achievements.

We present this 50th year commemorative edition of the Rates of Return paper and the stories of Fisher, Lorie and Engel in recognition of these industry luminaries.

David K. Barclay
Chief Operating Officer
CRSP | Center for Research in Security Prices
Chicago Booth