Questions tagged [crsp]
A collection of price, return, and volume data for securities listed on the NYSE, AMEX, and NASDAQ stock markets.
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Should I use common equity or total equity for book value? (when replicating Lewellen's 2015 paper on a cross section of expected stock returns)
I'd hereby would like to ask if any of you know whether I should use common equity or the total equity value, when computing monthly BM ratio's as done by Lewellen is his 2015 paper on a cross section ...
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Luck versus Skill in Mutual Fund Returns (Fama-French 2010)
I am reading carefully Luck versus Skill in Mutual Fund Returns (Fama-French 2010), and actually trying to replicate their findings. I have always found Fama-French papers well written, but they seem ...
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CRSP Permco Aggregation
I saw that for one CRSP Permco, there could be multiple CRSP Permnos. Could anybody provide guidance on how to aggregate the market capitalization, returns, etc... by permco and date? I am currently ...
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how to merge these two crsp data sets
I'm not totally confident on how to merge these two monthly CRSP data sets. As I write this, it comes from two databases: crsp.mse and ...
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Where to find Entries into an Index on CRSP (WRDS)
I am trying to find index entry events (not delisting events) on CRSP (i.e., when a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am ...
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Standard Industrial Classification (SIC) Code in Compustat Fundamentals
I would like to sort companies according to the Fama-French 48 industry levels. For that, I need the Compustat Standard Industrial Classification (SIC) code. In the web interface of WRDS, I could ...
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Replication of results shown in 'Empirical Asset Pricing: The Cross Section of Returns' by Bali, Engle, and Murray
I'm currently trying to reproduce some results shown in the book 'Empirical Asset Pricing: The Cross Section of Returns' by Bali, Engle, and Murray. More precisely, I try to compute Table 7.3 and 9.1. ...
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CRSP: Return including dividends
Using CRSP data, I tried to compute the historical returns (including dividends) of stocks according to
Total Return = (adjprc + (divamt / cumfacpr / facpr)) / prev_adjprc – 1,
where divamt is the ...
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R studio yearly return from monthly stock file
I have merged Compustat and CRSP but I have been stuck on this issue for a long time.
I wanted to create the variables:
RET ="contemporaneous annual stock returns calculating using CRSP monthly ...
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How to download all stocks from NYSE, AMEX and Nasdaq from CRSP without entering individual company codes?
I was wondering if there is an efficient way to extract data on all the stocks from the CRSP dataset?
In the Query Form I only have the option to enter company codes individually or to upload a .txt ...
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Downloading all stocks of an index from CRSP
I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly?
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