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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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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 ...
LisaBinder's user avatar
2 votes
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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 ...
phdstudent's user avatar
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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 ...
Guyon Van Rooij's user avatar
1 vote
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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 ...
carlogambino's user avatar
1 vote
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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. ...
LisaBinder's user avatar
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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 ...
Taylor's user avatar
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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 return ...
Maria Aguilera Garcia's user avatar