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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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242 views

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 return ...
3 votes
1 answer
405 views

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 ...
2 votes
0 answers
133 views

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 ...
2 votes
0 answers
101 views

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 ...
0 votes
0 answers
238 views

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 ...
1 vote
0 answers
35 views

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 ...
0 votes
1 answer
2k views

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 ...
1 vote
0 answers
85 views

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. ...
5 votes
0 answers
590 views

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 ...
0 votes
1 answer
1k views

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 ...
1 vote
1 answer
270 views

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? ...