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glossary

Absolute Time

Absolute time synchronizes data based on actual calendar time. Time periods are specified as the actual calendar dates when the observations occurred, unlike event time where time periods are relative to specified events.

adjdt (Base Date)

Data on the base date are unadjusted, and other data are converted based on the split events between the base date and the time of that data. /djYYYYMMDDn

ask (Ask)

The closing ask price on a trading day. /pa

askhi (Ask/High)

DAILY The highest trading price during the day or the closing ask price on days when a closing price is not available. /ph

askhi (Ask/High)

MONTHLY The highest daily Price or Bid/Ask Average during the month. /ph

Associated Index

An associated index is a single predefined index series chosen as a benchmark when comparing performance results of a security, user portfolio, or other index. Examples of associated indices are the S&P 500 Composite or the CRSP Cap-Based 9-10 Portfolio on the NYSE/AMEX/NASDAQ National Market.

Associated Portfolio Type

An associated portfolio type is a predefined index group of portfolios chosen as a benchmark when comparing performance results of a security, user portfolio, or other index. When an associated portfolio type is used as a benchmark, the security portfolio assignment for the portfolio is used to determine which portfolio series to use as a benchmark at each point in time. An example of associated portfolios is the CRSP Cap-Based Portfolios on the NYSE/AMEX/NASDAQ National Market.

Base Amt

/ds “YYYYMMDD|base.amt|”

Base Date

/ds “YYYYMMDD|base.amt|”

bid (Bid)

The closing bid price on a trading day. /pb

bidlo (Bid/Low)

DAILY The lowest trading price during the day, or the closing bid price on days when a closing price is not available. /pl

bidlo (Bid/Low)

MONTHLY The lowest daily Price or Bid/Ask Average during the month. /pl

Binary Code

A binary code is a numeric flag based on the bitwise “or” of several possible values. It is also known as a bit flag or mask. A flag that is the sum of multiple pieces is valid for all those pieces.

Calendar

A CRSP calendar is a set of time periods with header information about those time periods. The calendar time periods are chosen as points of interest rather than all calendar days, and therefore a daily calendar contains only the dates where trading was conducted on a major US exchange. Data are never provided on weekends or trading holidays. The standard identification of a time period is the date, an integer in YYYYMMDD format, at the end of the period. There are currently five calendars provided with CRSPAccess databases: daily, monthly, weekly, quarterly, and annual. The daily calendar is used to derive the others so that the last trading date in each month, week, quarter, or year is used to build those respective calendars. Time series data are always associated with one of these calendars. The list of time series observations is synchronized with a calendar so that the nth time series observation is associated with the nth calendar period.

Calendar/Indices

In the CRSPAccess FORTRAN sample programming usage one calendar is available and is combined with selected market index data in a Calendar/Indices structure. The calendar periods are the first field in the file, followed by results and statistics of a value-weighted index, an equal-weighted index, and a composite index. In this format the calendar/indices calendar is applicable to all time series in the corresponding stock file except portfolios.

Calendar Mapping

Calendar mapping is the operation of converting data to be reported at the frequency of a given calendar. The result data reported for each target calendar period depend on the type of input data and conventions used. Header and event data can be mapped by finding the applicable event or making a composite value from all events relevant to the calendar period. Time series data can also be mapped to different calendars by summarizing observations in a time series with a more frequent calendar, or by reporting an average value in a time series with a less frequent calendar.

Capital Appreciation

Capital appreciation is another name for Returns without Dividends. It is the return for a security or index with ordinary dividends excluded.

Corporate Actions

Corporate actions is another name for Dividend and Delisting information.

CRSPAccess Format

CRSPAccess is the name given to the format of CRSP stock and indices data files introduced in 1996. The CRSPAccess format is a binary format with data utilities and C and FORTRAN random access data libraries supported on multiple platforms. The data specifications of the data are not available; access to the data must use the data utilities or application program interfaces provided. A CRSPAccess database contains a set of binary computer files in a single directory and is identified by the path of this directory.

CRSPDB

CRSPDB is another name for a database in CRSPAccess format

cusip (Header CUSIP)

The latest 8 character CUSIP identifier for a security through the end of the file. /ky cusip

Data Object

A data object is a set of data organized in a common structure. Data in CRSP files use four basic data objects. These are header data, event arrays, time series, and calendars.

daterange (Date Range)

Dates can be entered in YYYYMMDD, YYYYMM, or YYYY formats. Enter a single date or a range of dates separated by a dash.

Decile Index

A Decile Index is a Market Segment Index with the market divided into ten portfolios each period.

delist (Delists)

Delisting events in the history of a security. /de

dists (Distributions)

Distributions made to shareholders of a security from company profits. /di

Dividend Yield

Dividend Yield is another name for Income Return. It is the ratio of the ordinary dividends of a security or index to the previous price.

Entity

In CRSP documentation and utility programs, an entity refers to a single security, portfolio, or index. CRSP databases are organized by entity. Stock databases are organized by security, and Indices databases are organized by index.

Equal-Weighted Portfolio

In an equal-weighted portfolio or index, the same amount is invested in all securities each period. A daily equal-weighted portfolio is reweighted each day, while a monthly equal-weighted portfolio is reweighted each month. Therefore compounded daily index returns over a month are not equivalent to monthly index returns for an equal-weighted portfolio. An equal-weighted portfolio incurs large transaction costs in practice, especially if maintained daily, since shares must be bought and sold each period as prices change to maintain weighting.

Event Arrays

An event array contains a list of unscheduled transactions, or observation or status changes. There is a count of the number of events. The fields in each event are dependent on the specific data item. The time of the event and relevant information are stored for each observation. Unscheduled transactions record events as they occur. The status observations and changes usually contain information that is in effect until modified by another similar event. Examples of event arrays in CRSP Stock files are the name history and the distribution history. The name history has a new name observation recorded when any name information changes. The distribution history records information about all distributions made to shareholders of a security. CRSP provides utilities and programming tools to retrieve event data, or to convert relevant event data into time series.

Event Study

An event study synchronizes the time series history of securities relative to a selected event in order to measure the effects of that event.

Event Time

Event time is the time relative to a defined event. Each event contains a security and event date supplied by a user based on CRSP data or outside information. Event time is the number of calendar periods in a time series before or after the event.

Exchange Screening

Exchange screening is used to restrict data to issues listed on one or more specified exchanges.

factype (Adj Flag)

Toggles whether to use all price factors to adjust data, or only stock splits and stock dividends. /djYYYYMMDDn

Fractile Index

A fractile index is a general name for a Market Segment Index covering segmentation of the market into a selected number of portfolios.

grouptype (Group Types)

Historical membership in a predefined group, such as the S&P 500 Universe /hr

hcusip (Historical CUSIP)

A list of any CUSIPs in a security's name history, plus the header CUSIP if no names exist in the name history. /ky hcusip

Header Data

Header data is information relevant to the entire history of an entity. It usually includes identifiers, summary data, and data ranges. All entities have some kind of header data. The components of the header are specific to the header type. The CRSP stock file header data include the PERMNO, the header CUSIP, and date ranges of a security. CRSP indices file header data include index identifier and flags describing the index methodology.

Header ID and Date Ranges

Include date ranges in the report. /hr

Header Identification

A set of variables that identifies an issue and summarizes its classification. Contains the most current information on the issue maintained in the file. /hh

Index Groups

Index group refers to a set of related index series, where each member in the set is one portfolio made up of different subsets of the total universe. The set of all series in a portfolio index is an index group. Index groups are convenient for example, when comparing a security whose membership may fluctuate from portfolio to portfolio over time. Index groups are available only in the CRSP US Indices Database and Security Portfolio Assignment Module.

Index Reweighting

In a portfolio, the weight of each entity is based on the rules of that portfolio. The weight indicates the relative holdings of the security within the portfolio. Reweighting refers to the rules for changing the weights of the existing portfolio components over time.

Index Series

An index series refers to data and results of a single portfolio of securities. A single market index, a standard selection of securities, or one decile from a set of decile portfolio indices is an index series. For example, Portfolio 10 of the CRSP Cap-Based Portfolios for NYSE is an index series, whereas all the portfolios of the CRSP Cap-Based Portfolios for NYSE comprise an index group.

INDNO

In CRSPAccess databases, all indices are assigned an INDNO. See “Chapter 3: CRSP Index Methodologies” on page 25 of the Data Description Guide for a full list of available CRSP indices and information on the composition and methodologies for calculating the different indices.

Market Index

A market index is a portfolio of all eligible issues in the market, where the market is defined using constant universe restrictions each period based on some identification or data restriction.

Market Segment Index

A market segment index is a type of index where the market of eligible issues is divided into a fixed number of portfolios at different rebalancing intervals based on some rule or statistic. The breakpoint function is continuous so that all eligible issues are in exactly one portfolio during each period. The partitioning rules and index calculations are dependent on the specific index methodology. The partitions can be used to define composite portfolios combining the membership of portfolios. A market segment index is also commonly called a Decile Index if there are ten portfolios, and can also be called a Fractile Index in the general case when there are more or less than ten portfolios.

names (Names)

Identification variables effective at specified times during the history of a security. /n

NASDAQ National Market Screening

NASDAQ National Market screening is used to further restrict NASDAQ data based on The NASDAQ Stock Market listings of The NASDAQ National Market and the NASDAQ SmallCap Market.

nasdin (NASDAQ Info)

History of an issue’s trading status and classification on The NASDAQ Stock Market (SM). /q

Non-Ordinary Distributions

Non-ordinary distributions are distributions made to shareholders of a security representing the return of capital. These are factored into the capital appreciation of the security. Any criteria not included in the Ordinary Distribution description (Page 138) are considered non-ordinary.

numtrd (Num Trades)

Daily only: The number of trades made on the NASDAQ Stock Market each date for a security. /pn

openprc (Open)

Daily only: The first trade after a market opens. /po

Ordinary Distributions

Ordinary distributions are distributions made to shareholders of a security from company profits. These represent income to the shareholder and are not included in the capital appreciation of the security. CRSP returns calculations use the distribution codes to determine whether a distribution is ordinary or non-ordinary. A distribution is considered ordinary if any of the following conditions are true:

• First digit of the Distribution Code is 1 (1***, where *=anything)
• First digit of the Distribution Code is 2, third digit is anything but 3, and fourth digit is 2 or 8 (2*‡2, 2*‡8 where *=anything and ‡=anything except 3)
• Any Distribution Code with a Factor to Adjust Price of either 0 or -1
• First digit of the Distribution Code is 6 and the fourth digit is 2 or 8 (6**2, 6**8 where *=anything)

permco (permco)

A unique permanent company identification number assigned by CRSP to all companies with issues on a CRSP File. This number is permanent for all securities issued by a company regardless of name changes. /ky permco

permno (PERMNO)

A unique permanent identification number assigned by CRSP to each security. You can track a security through its entire trading history in CRSP’s files with one PERMNO, regardless of name or capital structure changes. /ky permno

Portfolio Rebalancing

Rebalancing refers to the act of reforming a portfolio according to rules in the portfolio methodology. This periodic event involves reapplying the rules of the portfolio to buy, sell, or keep issues in the portfolio.

porttypes (Portfolio Data)

Statistics and assignments relative to a predefined index group of portfolios available as a benchmark. /dy

prc (Price)

The closing price of a security at the end of a calendar period. If unavailable, the number in the price field is replaced with a bid/ask average (marked by a leading dash). /pp

Price and Index Levels

/ds “YYYYMMDD|base.amt|”

Price, Ask/High, Bid/Low, Volume, Return

/dd

Price, Returns, Returns w/o Divs

/dr

Price, Shares, Returns

/dx

Raw Shares

Observation of publicly held shares of a security, including only observations directly reported by the company or source. Recorded in 1000s. /sh

ret (Return)

The change in the total value of an investment in a security over some period of time per dollar of initial investment. /pr

retx (Ret w/o Divs)

The capital appreciation of a security. Ordinary dividends and certain other regularly taxable dividends are excluded from the returns calculation. /px

Selected Index

A selected index is an index where the universe of eligible issues is supplied by an outside source, with given issues or companies and the ranges of membership for each. Selection criteria are dependent on the specific index methodology.

Set Identifier

Set identifier is a predefined subset of a set type in a CRSPAccess database. Data for two different set identifiers with the same set type use the same data variables, but have different characteristics within those structures. For example, daily and monthly stock sets have different set identifiers since the time series are associated with different calendars and different available portfolio types. Multiple set identifiers of the same set type can be present in one CRSPAccess database. The predefined set identifiers in CRSPAccess stock and indices files are:

Data	Set Type	Set Identifiers
CRSP Stock Data	STK	10 Daily 20 Monthly
CRSP Indices Data	IND	400 Monthly Index Groups 420 Monthly Index Series 440 Daily Index Groups 460 Daily Index Series

Set Type

Set type is a predefined type of financial data supported in a CRSPAccess database. Stock databases support stock (STK), index (IND), and calendar (CAL) set types. Data for each set type have the same data variables, identifiers, and CRSP programming library access functions.

Share Code Screening

Share code screening is used to restrict data to issues with selected share type characteristics. The share types are based on the CRSP share code. Restrictions can be based on the primary type or secondary type of share and company classification included in the share code.

shares (Shares)

Observations of publicly held shares of a security, including observations directly reported by the company or source, or imputed from distribution events. Recorded in 1000s. /sa

shrout (Shares Out)

The unadjusted number of publicly held shares on NYSE, AMEX, and the NASDAQ stock exchange, recorded in 1000s. /ps

siccd (SIC Code)

A code used to group companies with similar products or services. /ky siccd

spread (Spread)

The difference between the closing bid and ask quotes for a security, or a secondary price if only bid or only ask is available. /p2

Stock Subset

A stock subset is the selected history of data that meets criteria based on time range and identifying information. CRSP allows subsetting by date range, exchange code, share type, NASDAQ National Market status, and when-issued status. Data in the history that do not meet the selected restrictions are excluded before any extractions or calculations are done.

ticker (Active Ticker)

An alphabetic symbol assigned to a security by an exchange. /ky ticker

Time Series

A time series is a list of observations synchronized with a specific calendar of time periods. There is a beginning and ending of valid data and a link to a calendar defining the time periods. Each entity has exactly one observation for each period within its valid range. The observations can be simple values or contain multiple components, depending on the time series. The values of different variables are generated by checking a value at a consistent time in each time period or by summarizing events occurring during the time period. The primary data variables in the CRSP files such as prices and returns are time series. In daily databases there are observations for each trading day, and in monthly databases there are observations for each month. In both databases there are portfolio time series with statistics and assignments generated when portfolios are rebalanced, usually annually. Components of a time series include the type of data, the array of data, the associated calendar, and the beginning and ending range of data for an entity. It is possible to manipulate event and header data into time series, or to convert between different time series items, or to convert between different frequencies of observations. CRSP provides utilities and programming options to manipulate the CRSP variables into a wide range of time series data types.

Value-Weighted Portfolio

In a value-weighted portfolio or index, securities are weighted by their market capitalization. Each period the holdings of each security are adjusted so that the value invested in a security relative to the value invested in the portfolio is the same proportion as the market capitalization of the security relative to the total portfolio market capitalization.

vol (Volume)

DAILY The integer raw number of shares traded during the day, expressed in units of one share. /pv

vol (Volume)

MONTHLY The integer raw number of shares traded during the month, Expressed in units of one hundred shares. /pv