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.
A Calendar Name and an integer Calendar Identification Number identify each calendar. The calendars supported in CRSPAccess databases are:
|Daily||100||Daily Trading Calendar||19251231|
|Monthly||101||Month-end Trading Calendar||19251231|
|Annual||300||Annual Trading Calendar||19251231|
|Quarterly||310||Quarterly Trading Calendar||19251231|
|Weekly||500||Weekly Trading Calendar||19260102|
Stock Data Universe
CRSP stock data includes data from NYSE, NYSE MKT LLC, NASDAQ, and NYSE Arca stock exchanges.
The following items are included in our stock databases:
- Common Stocks
- Shares of Beneficial Interest
- Units (Depository Units, Units of Beneficial Interest, Units of Limited Partnership Interest, Depository Receipts, etc.
- Closed-End Mutual Funds
- Foreigns on NYSE, NYSE MKT, NASDAQ, and NYSE Arca
- Americus Trust Components (Primes and Scores)
- HOLDRs Trusts
- REITs (Real Estate Investment Trusts)
CRSP stock databases exclude:
- Rights and Warrants
- Units Representing Common Stocks Bundled with Rights or Warrants
- Over the Counter Bulletin Board Issues
- When Issued Trading
Development of the CRSP Stock Files
CRSP Stock File Data Dates By Exchange
|Exchange||Monthly Stock Files Beginning Date||Daily Stock Files Beginning Date|
The CRSP Data Files were developed by the Center for Research in Security Prices (CRSP), Booth School of Business, University of Chicago. Lawrence Fisher and James Lorie, during their tenure at the University of Chicago, built the CRSP stock file and originated its basic design and content.
The original CRSP stock file contained month-end prices and returns from the New York Stock Exchange (NYSE) dating from December, 1925. Daily and monthly American Stock Exchange (NYSE MKT data and Daily NYSE data beginning in July, 1962, were respectively combined into monthly and daily NYSE/NYSE MKT files providing price and return information on NYSE/NYSE MKT common stock securities. CRSP’s data coverage expanded in 1987 to include NASDAQ daily and monthly stock data, with information for domestic common stocks and ADRs traded on the NASDAQ Stock Market beginning December 14, 1972.
In 2005, CRSP completed the compilation and merging of daily data between 1925 and 1962 for securities that traded on NYSE in that period, resulting in seamless daily and monthly data for securities trading on NYSE between as early as December 1925.
NYSE Arca daily and monthly data were added in July 2007 for securities with primary listings on that exchange. NYSE Arca coverage begins on March 8, 2006.
On October 1, 2008, NYSE Euronext completed its acquisition of the American Stock Exchange LLC.
The NASDAQ Stock MarketSM consists of three subsets of securities, the NASDAQ Global Market, Global Select Market, and the NASDAQ Capital Market. The Securities are tiered based on criteria setting minimum levels for: annual income, numbers of publicly traded shares, market capitalization, share price, and number of market makers. A security may move between tiers as its status changes.
Prior to July 2006, the Global and Global Select Markets were combined in a single tier called the NASDAQ National Market. The NASDAQ Capital Market was called the NASDAQ SmallCap Market. The NASDAQ National Market was initiated in April 1982 for larger and generally more actively traded NASDAQ securities. The NASDAQ National Market Securities had to meet higher financial and non-financial criteria than other NASDAQ stocks, and were subject to last-sale reporting. In June of 1992 the regular NASDAQ segment of The NASDAQ Stock Market was renamed The NASDAQ SmallCap Market and for the first time these became subject to real-time price and volume reporting.
The CRSPAccess NASDAQ security data include closing bid, closing ask, and the number of trades, formerly included in the CRSP Supplemental NASDAQ Data File. The latter data items have been reported for issues listed on The NASDAQ National Market since November 1, 1982. Issues listed on The NASDAQ SmallCap Market have had these data reported since June 15, 1992.
For a more detailed description of how to identify The NASDAQ Market Tiers, see the NASDAQ National Market Indicator definition in the NASDAQ information history array described in the data definitions section.
Data Accuracy of the CRSP Stock Data
CRSP stock files are designed for research and educational use and have proven to be highly accurate. Considerable resources are expended in ongoing efforts to check and improve data quality both historically and in the current update. Data corrections to historical information are made as errors are identified and are detailed in the Release
Historical corrections to security data may result in changes to historical CRSP index returns and levels. In any given year, the calendar year-end stock database may ship as the standard “Z-Cut”, as well as a second “X-Cut” if there have been substantial or significant corrections applied at year end. Both data cuts reflect corrections, however, the “Z-Cut” contains routine minor monthly corrections while the “X-Cut’s” year-end data edits typically required more extensive research efforts and may hold a greater potential to impact the CRSP indexes.
Original CRSP Monthly Database
- December 1925-January 1928: Commercial and Financial Chronicle, “Bank and Quotation Section”
- February 1928-December 1960: Bank and Quotation Record, an expansion of the Bank and Quotation Section.
The collection and initial correction of cash dividends in the original CRSP Monthly Database was performed as follows:
- 1937-1960: annual issues of Moody’s, Standard and Poor’s Dividend Records, or the annual section of the Standard Corporation Records were used, depending on which was in the University of Chicago Library
- 1926-1936: Moody’s Quarterly Dividend Record
Since the only known complete file of this last publication was in Moody’s New York offices, the data from the earlier period were recorded in the Moody’s offices by trainees working for the research division of Merrill Lynch, Pierce, Fenner & Smith Inc.
The primary source for the Pre62 daily data was The New York Times newspaper. In cases where the stock information was either missing from The New York Times or the available data were questionable, The Wall Street Journal Newspaper served as CRSP’s secondary data source. For the years prior to 1933, CRSP compared distribution data from The New York Times and The Wall Street Journal with that in the original database. CRSP determined that The New York Times and The Wall Street Journal ex-date data were more complete and accurate than the original data. Based on these findings, CRSP made the decision to rely on The New York Times as the primary data source for distribution ex-date data from 1925 through 1933.
CRSP US Stock & Index Database
NYSE and NYSE MKT
- July 1962-September 1, 1972: daily price and dividend data provided by Standard & Poor’s Price Tape and Punched Card Dividend Service
- July 1962-March 1987: High, low, and volume data provided by Interactive Data Services, Inc. (IDSI), a subsidiary of Interactive Data Corporation (IDC)
- September 1972-April 1987: Interactive Data Corporation (IDC)
The Standard & Poor’s Price Tape and Punched Card Dividend Service was acquired by IDC.
- April 1987-September 1999: Interactive Data Services, Inc. (IDSI)
- 1999-present: Interactive Data Corporation
- March 2006-present: Interactive Data Corporation (IDC)
Coverage of companies with primary listings on NYSE Arca who have traded since 3/8/2006.
- December 12, 1972-August 31, 1984: Interactive Data Corporation (IDC)
- November 1, 1982-present (with the exception of February 1986): National Association of Securities Dealers (NASD)
- November 1, 1982-August 31, 1984: Interactive Data Corporation (IDC) was used as a secondary source to NASD
- February 1986: Interactive Data Services, Inc. (IDSI)
- March 2004-present: Interactive Data Corporation used as secondary source
Mergent was the primary source for SIC Code for NYSE, NYSE MKT & ARCA securities from 20010824 through 2009. IDC has always been a continuous alternate source of SIC codes, so no holes in coverage were introduced by the elimination of the Mergent data. The differences in codes resulting from our change in source did not impact the CRSP Indexes.
In the December 2009 Stock Database, CRSP removed NAICS codes provided by our source, Mergent, and replaced them with NAICS codes from Interactive Data Corporation. Mergent was CRSP’s only source for NAICS beginning 20010824. The IDCI NAICS codes begin 20040610.