CRSP

Contents

• Availability
• Description
• Vendor information
• Accessing CRSP

Availability

CRSP databases can be accessed both through a web interface and via Unix, programming in SAS or Fortran. To facilitate access, Kellogg has subscribed to Wharton Research Data Services (WRDS). WRDS's servers is the main access environment for CRSP data, offering the most current files.

CRSP can be accessed by Kellogg faculty and doctoral students using their WRDS accounts. MBA students may obtain a temporary account and password to the WRDS's web interface in the context of a course, if the faculty member uses it for instructional purposes and applies for a class account. Otherwise, for automatic login (controlled by IP address) from the first and second floors in the Jacobs Center, as well as the lab workstations in Wieboldt Hall, please point your web browser to wrds.wharton.upenn.edu/connect.

Faculty members may install CRSP in their office workstations. The complete installation (including the merged CRSP/Compustat files) takes about 3GB of space. Contact Research Computing to borrow the media.

Description

CRSP is a collection of datasets with basic and derived information for securities traded in on U.S. exchanges (NYSE, AMEX, and NASDAQ). Monthly data starts generally in 1925, while daily data starts in 1962. Kellogg is subscribed to the following CRSP datasets:

• US Stock databases: The end-of-day and month-end files include high, low and closing prices, trading volumes, shares outstanding, total returns, year-end capitalization, distribution information, etc.

• US Indices database and security portfolio assignment module: These files provide market indices on a daily, monhtly, quarterly and annual basis, additional market and security level portofolio statistics and decile portfolio assignment data.

• US Treasury databases: These files contain data on US Treasury bills, notes and bonds, providing complete historical descriptive information and market data including prices, returns, accrued interest, yields and durations. Four groups of supplemental files extract term structures and risk-free rates (Treasury bill term structure files, Fama-Bliss discount bond files, risk-free rates file, maturity portfolio returns file).

• Survivor-Bias Free US Mutual Fund database: This database provides survivor-bias free open-ended data for funds of all investment objectives, such a s monthly and annual returns, monthly total net assets, monthly net asset values and distributions.

• CRSP/Compustat Merged database: Contains the Compustat data reformmated into CRSPAccess format with "CRSPLink", linking CRSP data and Compustat data. CRSPLink links Compustat unique identifier for companies (GVKEY) with CRSP's unique identifiers (PERMNO and PERMCO).

Security identifiers such as name, CUSIP, and ticker, are linked to unique CRSP identifiers, allowing complete time-series analysis even if the security identifiers change over time.

Vendor information

CRSP, Center for Research in Security Prices
University of Chicago Graduate School of Business
Technical support request form

Accessing CRSP

Faculty and doctoral students may apply for accounts on request form. The login and password are sent to Kellogg's representatives for WRDS, Patricia Ledesma and Damba Lkhagvasuren. Faculty and doctoral students may also apply for an account on Kellogg's Unix server, skew3, where they can use a wide variety of mathematical and statistical software to analyze data extracted from WRDS.

Some useful links about CRSP:

• CRSP documentation online at Kellogg
• Contents of CRSP SAS data files in the WRDS server
• Sequential access and PERMNO=12677 in CRSP 2000: Users have reported a problem with the PERMNO 12677 when using the "BIGET" routines. Refer to the link above for a full description of the problem and a workaround suggested by WRDS.
• Archives of CRSP-L@LISTSERV.TAMU.EDU
• CRSP-L FAQ
• CRSP Data Access and Analysis, by Don Cram (MIT)
• SIC codes
• Database biases and errors (references)
• Sample programs
• Fortran subroutines and functions with applications to CRSP databases, by Pamela Peterson, Florida State University
• Training/reference documents:
  
  • Accessing data through Wharton Research Data Services' web interface (Updated: May 11, 2001)
  • Data retrieval from CRSP and Compustat using Wharton's WRDS server (Revised: February 17, 2002).
  • Winter 2002 faculty and doctoral student training workshops
  • Using CRSP and Compustat: An Introduction, an introduction using the WRDS' Unix server (January 31, 2001)