DATA DESCRIPTIONS GUIDE

CRSP US STOCK & US INDEX DATABASES

CENTER FOR RESEARCH

R

IN SECURITY PRICES, LLC

An Affiliate of the University of Chicago Booth School of Business
CRSP CONTACT INFORMATION

105 West Adams, Suite 1700

Chicago, IL 60603

Phone: 312.263.6400
Fax: 312.263.6430

Email: [email protected]

For further information, please visit our website at www.crsp.org or email [email protected]
CONTENTS

CHAPTER 1: BACKGROUND. . ........................................................... 4

CHAPTER 2: DATA DEFINITIONS...................................................... 7

CHAPTER 3: CRSP CALCULATIONS.. ............................................... 97

CHAPTER 4: INDEX METHODOLOGIES.......................................... 104

CHAPTER 5: DATA CODING SCHEMES.......................................... 114

CHAPTER 6: DATABASE STRUCTURES.. ........................................ 123

Document last modified February 2, 2021

 Chapter 1: BACKGROUND

CRSP CALENDARS ‚ Shares of Beneficial Interest

‚ Units (Depository Units, Units of Beneficial Interest,
A CRSP calendar is a set of time periods with header Units of Limited Partnership Interest, Depository
information about those time periods. The calendar time Receipts, etc.
periods are chosen as points of interest rather than all ‚ ETFs
calendar days, and therefore a daily calendar contains only the ‚ Closed-End Mutual Funds
dates where trading was conducted on a major US exchange. ‚ Foreigns on NYSE, NYSE MKT, NASDAQ, Arca and Bats
Data are never provided on weekends or trading holidays. ‚ Americus Trust Components (Primes and Scores)
The standard identification of a time period is the date, an ‚ HOLDRs Trusts
integer in YYYYMMDD format, at the end of the period. ‚ REITs (Real Estate Investment Trusts)
CRSP stock databases exclude:
There are currently five calendars provided with CRSPAccess
databases: daily, monthly, weekly, quarterly, and annual. The ‚ Rights and Warrants
daily calendar is used to derive the others so that the last ‚ Preferreds
trading date in each month, week, quarter, or year is used to ‚ Units Representing Common Stocks Bundled with Rights
build those respective calendars. or Warrants
‚ Over the Counter Bulletin Board Issues
Time series data are always associated with one of these
‚ When Issued Trading
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. DEVELOPMENT OF THE CRSP STOCK FILES

A Calendar Name and an integer Calendar Identification

CRSP STOCK FILE DATA DATES BY EXCHANGE
Number identify each calendar. The calendars supported in
EXCHANGE MONTHLY STOCK FILES DAILY STOCK FILES
CRSPAccess databases are: BEGINNING DATE BEGINNING DATE
NYSE 12/31/1925 12/31/1925
Calendar ID Name Beginning Date
NYSE MKT 07/31/1962 07/02/1962
Daily 100 Daily Trading Calendar 19251231 NASDAQ 12/29/1972 12/14/1972
Monthly 101 Month-end Trading Calendar 19251231 Arca 03/31/2006 03/08/2006
Annual 300 Annual Trading Calendar 19251231 Bats 01/31/2012 01/24/2012
Quarterly 310 Quarterly Trading Calendar 19251231
Weekly 500 Weekly Trading Calendar 19260102 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
STOCK DATA UNIVERSE Lorie, during their tenure at the University of Chicago,
built the CRSP stock file and originated its basic design and
CRSP stock data includes data from NYSE, NYSE MKT, content.
NASDAQ, Arca and Bats stock exchanges.
The original CRSP stock file contained month-end prices
The following items are included in our stock databases: and returns from the New York Stock Exchange (NYSE)
dating from December, 1925. Daily and monthly American
‚ Common Stocks Stock Exchange (NYSE MKT) data and Daily NYSE data
‚ Certificates beginning in July, 1962, were respectively combined into
‚ ADRs monthly and daily NYSE/NYSE MKT files providing

Stock and Index Data Description Guide • PAGE 4

5 price and return information on NYSE/NYSE MKT closing bid, closing ask, and the number of trades,
common stock securities. CRSP’s data coverage formerly included in the CRSP Supplemental
expanded in 1987 to include NASDAQ daily and NASDAQ Data File. The latter data items have been
monthly stock data, with information for domestic reported for issues listed on The NASDAQ National
common stocks and ADRs traded on the NASDAQ Market since November 1, 1982. Issues listed on The
Stock Market beginning December 14, 1972. NASDAQ SmallCap Market have had these data
Chapter 1: Background

reported since June 15, 1992.

In 2005, CRSP completed the compilation and
merging of daily data between 1925 and 1962 for For a more detailed description of how to identify
securities that traded on NYSE in that period, resulting The NASDAQ Market Tiers, see the NASDAQ
in seamless daily and monthly data for securities National Market Indicator definition in the NASDAQ
trading on NYSE between as early as December 1925. information history array described in the data
definitions section.
Arca daily and monthly data were added in July 2007
for securities with primary listings on that exchange.
Arca coverage begins on March 8, 2006. DATA ACCURACY OF THE CRSP STOCK DATA
CRSP stock files are designed for research and
On October 1, 2008, NYSE Euronext completed its
educational use and have proven to be highly accurate.
acquisition of the American Stock Exchange LLC.
Considerable resources are expended in ongoing
Stock and Index Data Description Guide

The Bats exchange was added with data beginning efforts to check and improve data quality both
January 24, 2012. historically and in the current update. Data corrections
to historical information are made as errors are
NASDAQ MARKETS identified and are detailed in the Release Notes that
accompany each data cut.
The NASDAQ Stock MarketSM consists of three
subsets of securities, the NASDAQ Global Market,
Historical corrections to security data may result in
Global Select Market, and the NASDAQ Capital
changes to historical CRSP index returns and levels.
Market. The Securities are tiered based on criteria
In any given year, the calendar year-end stock database
setting minimum levels for: annual income, numbers
may ship as the standard “Z-Cut”, as well as a second
of publicly traded shares, market capitalization, share
“X-Cut” if there have been substantial or significant
price, and number of market makers. A security may
corrections applied at year end. Both data cuts reflect
move between tiers as its status changes.
corrections, however, the “Z-Cut” contains routine
minor monthly corrections while the “X-Cut’s”
Prior to July 2006, the Global and Global Select
year-end data edits typically required more extensive
Markets were combined in a single tier called the
research efforts and may hold a greater potential to
NASDAQ National Market. The NASDAQ Capital
impact the CRSP indexes.
Market was called the NASDAQ SmallCap Market.
The NASDAQ National Market was initiated in April
1982 for larger and generally more actively traded DATA SOURCES
NASDAQ securities. The NASDAQ National Market
Securities had to meet higher financial and non- ORIGINAL CRSP MONTHLY DATABASE
financial criteria than other NASDAQ stocks, and
‚ December 1925-January 1928: Commercial and
were subject to last-sale reporting. In June of 1992 the
Financial Chronicle, “Bank and Quotation Section”
regular NASDAQ segment of The NASDAQ Stock
Market was renamed The NASDAQ SmallCap Market ‚ February 1928-December 1960: Bank and Quotation
and for the first time these became subject to real-time Record, an expansion of the Bank and Quotation
price and volume reporting. Section.

The CRSPAccess NASDAQ security data include The collection and initial correction of cash dividends
6 in the original CRSP Monthly Database was performed ‚ April 1987-September 1999: Interactive Data
as follows: Services, Inc. (IDSI)
‚ 1999-present: Interactive Data Corporation
‚ 1937-1960: annual issues of Moody’s, Standard and Arca
Poor’s Dividend Records, or the annual section
of the Standard Corporation Records were used, ƒ March 2006-present: Interactive Data Corporation
Chapter 1: Background

depending on which was in the University of (IDC)

Chicago Library
Coverage of companies with primary listings on Arca
‚ 1926-1936: Moody’s Quarterly Dividend Record who have traded since 3/8/2006.

Since the only known complete file of this last NASDAQ

publication was in Moody’s New York offices, the data
from the earlier period were recorded in the Moody’s ‚ December 12, 1972-August 31, 1984: Interactive
offices by trainees working for the research division of Data Corporation (IDC)
Merrill Lynch, Pierce, Fenner & Smith Inc. ‚ November 1, 1982-present (with the exception of
February 1986): National Association of Securities
PRE62 DATABASE Dealers (NASD)
‚ November 1, 1982-August 31, 1984: Interactive Data
The primary source for the Pre62 daily data was The
Corporation (IDC) was used as a secondary source
New York Times newspaper. In cases where the stock
Stock and Index Data Description Guide

to NASD
information was either missing from The New York
‚ February 1986: Interactive Data Services, Inc. (IDSI)
Times or the available data were questionable, The
‚ March 2004-present: Interactive Data Corporation
Wall Street Journal Newspaper served as CRSP’s
used as secondary source
secondary data source. For the years prior to 1933,
CRSP compared distribution data from The New SIC Codes
York Times and The Wall Street Journal with that
in the original database. CRSP determined that The Mergent was the primary source for SIC Code for
New York Times and The Wall Street Journal ex- NYSE, NYSE MKT & Arca securities from 20010824
date data were more complete and accurate than the through 2009. IDC has always been a continuous
original data. Based on these findings, CRSP made the alternate source of SIC codes, so no holes in coverage
decision to rely on The New York Times as the primary were introduced by the elimination of the Mergent
data source for distribution ex-date data from 1925 data. The differences in codes resulting from our
through 1933. change in source did not impact the CRSP Indexes.

CRSP US STOCK & INDEX DATABASE NAICS Codes

NYSE and NYSE MKT In the December 2009 Stock Database, CRSP removed
NAICS codes provided by our source, Mergent, and
‚ July 1962-September 1, 1972: daily price and
replaced them with NAICS codes from Interactive
dividend data provided by Standard & Poor’s Price
Data Corporation. Mergent was CRSP’s only source
Tape and Punched Card Dividend Service
for NAICS beginning 20010824. The IDCI NAICS
‚ July 1962-March 1987: High, low, and volume data
codes begin 20040610.
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.
 CHAPTER 2: Data Definitions
A. Begin of Stock Data, 17 Count at End of Rebalancing
Period, 25
Acquiring PERMCO, 11 Begin of Valid Data, 18
Count Available as of Rebalancing, 25
Acquiring PERMNO, 11 Bid Adjusted, End of Period, 18
Count Used as of Rebalancing, 25
Amount After Delisting, 12 Bid Adjusted, Last Available
Nonmissing, 18 Cumulative Factor to Adjust Prices
Array Structure Size, 12 Over a Date Range, 26
Bid, End of Period, 18
Array Type Code, 12 Cumulative Factor to Adjust Shares/
Bid, Last Available Nonmissing, 19 Volume Over a Date Range, 26
Ask Adjusted, End of Period, 13
Bidlo Adjusted, Minimum in CUSIP, End of Period, 26
Ask Adjusted, Last Available Period, 19
Nonmissing, 13 CUSIP, End of Previous Period, 27
Bidlo, Minimum in Period, 20
Ask, End of Period, 13 CUSIP, Header, 27
C.
Ask, Last Available Nonmissing, 14 CUSIP, Most Recent, 27
Calendar Associated with a Time
Askhi Adjusted, Maximum in Series, 20 D.
Period, 14
Calendar Identification Number, 21 Data Secondary Subtype Code, 28
Askhi, Maximum in Period, 14
Calendar Identification Number of Data Subtype Code, 28
Associated Index Returns, 15 Assignment Calendar, 21
Date, 28
Associated Index Returns, Calendar Identification Number of
Cumulative, 15 Calculations Calendar, 21 Date - YYYYMMDD Trading Date
(partial period data), 29
Associated Index Returns on Calendar Identification Number of
Income, 15 Rebalancing Calendar, 22 Delisting Code, 29

Associated Index Returns on Income, Calendar Name, 22 Delisting Code - Header, 29

Cumulative, 16
Calendar Period Grouping Delisting Date of Next Available
Associated Index Returns Without Identifier, 23 Information, 30
Dividends, 16
Calendar Time Period Description Delisting Payment Date, 30
Associated Index Returns Without Code, 23
Dividends, Cumulative, 16 Delisting Price, 31
Calendar Type Availability Flag, 23
Associated Portfolios Returns, 16 Delisting Return, 31
Capitalization, End of Period, 24
Associated Portfolios Returns on Delisting Return without
Income, 17 Capitalization, End of Previous Dividends, 32
Period, 24
Associated Portfolios Returns Without Distribution Code, 32
Dividends, 17 Company Name, End of Period, 24
Distribution Declaration Date, 33
B. Company Name, End of Previous
Period, 24 Dividend Amount in Period,
Begin of Group Data, 17 Adjusted, 33
Company Name, Most Recent, 25

Stock and Index Data Description Guide • PAGE 7

DATA DEFINITIONS INDEX, ALPHABETICAL

Dividend Amount in Period, Beginning Excess Returns Without Dividends vs. Index Function Code for Buy Rules, 46
Basis, 33 Index Series, Cumulative, 39
Index Function Code for Generating
Dividend Amount in Period, Ordinary, Exchange Code, End of Period, 39 Statistics, 46
Adjusted, 34
Exchange Code, End of Previous Index Function Code for Sell Rules, 46
Dividend Amount in Period, Ordinary, Period, 40
Beginning Basis, 34 Index Group Name, 47
Exchange Code, Most Recent, 40
Dividend Cash Amount, 34 Index Income Return, 47
Exchange Code - Header, 40
E. Index Ineligible Issues Flag, 47
F.
End of Group Data, 35 Index Level of Returns, 48
Factor to Adjust Price in Period, 41
End of Stock Data, 35 Index Level of Returns on Income, 48
Factor to Adjust Shares
End of Valid Data, 35 Outstanding, 41 Index Level of Returns Without
Dividends, 48
Entity Begin Date Range or Event First Date Included in List, 42
Date, 36 Index Level of Total Returns, 48
G.
Entity End Date Range, 36 Index Method Type Code, 49
Group Flag of Associated Index, End
Ex-Distribution Date, 36 of Period, 42 Index Missing Data Flag, 49

Excess Returns on Income vs. Group Flag of Associated Index, End Index Name, 50
Associated Portfolios, 36 of Previous Period, 42
Index New Issues Flag, 50
Excess Returns on Income vs. Group Flag of Associated Index, Last
Associated Portfolios, Cumulative, 37 Flag, All Periods, 43 Index Primary Link, 50

Excess Returns on Income vs. Index H. Index Primary Methodology Type, 51

Series, 37
Highest Close, 43 Index Rebalancing Begin Date, 51
Excess Returns on Income vs. Index
Series, Cumulative, 37 Holding Period Total return, 43 Index Rebalancing End Date, 51

Excess Returns vs. Associated I. Index Returns without Dividends, 52

Portfolios, 37
Index Basic Assignment Types Index Reweighting Timing Flag, 52
Excess Returns vs. Associated Code, 44
Portfolios, Cumulative, 38 Index Reweighting Type Flag, 52
Index Basic Exception Types Code, 44
Excess Returns vs. Index Series, 38 Index Secondary Methodology
Index Basic Rule Types Code, 44 Group, 53
Excess Returns vs. Index Series,
Cumulative, 38 Index Capital Appreciation Return, 45 Index Statistic Grouping Code, 53

Excess Returns Without Dividends vs. Index Count Total, 45 Index Subcategory Code, 53
Associated Portfolios, 38
Index Count Used, 45 Index Subset Screening Structure, 54
Excess Returns Without Dividends vs.
Index Series, 39 Index Exception Handling Flags, 45 Index Total Return, 54

Stock and Index Data Description Guide • PAGE 8

DATA DEFINITIONS INDEX, ALPHABETICAL

Index Total Value, 54 Period, 61 Open price, 68

Index Used Value, 55 NASDAQ Market Makers, End of P.

Previous Period, 62
INDNO, 55 Partition Subset Screening
NASDAQ Market Makers, Most Structure, 69
INDNO of Associated Index, 55 Recent, 62
Payment Date, 69
Interest Rate or Strike Price - NASDAQ National Market Indicator,
Header, 56 End of Period, 62 Permanent Number of Securities in
Index List, 70
L. NASDAQ National Market Indicator,
End of Previous Period, 63 PERMCO/INDCO, 70
Last Date Included in List, 56
NASDAQ National Market Indicator, PERMNO/INDNO, 70
Last Date of Name, 56 Most Recent, 63
Portfolio Assignment, 70
Lowest Close, 57 NASDAQ Number of Trades, 63
Portfolio Building Rules Structure, 71
M. NASDAQ Status Code, End of
Period, 63 Portfolio Number if Subset Series, 71
Maximum Count During Period, 57
NASDAQ Status Code, End of Portfolio Number in Associated
Member Portfolio Returns, Previous Period, 64 Index, 71
Cumulative, 58
NASDAQ Status Code, Most Portfolio Statistic, 72
Member Portfolio Returns on Income, Recent, 64
Cumulative, 58 Price Adjusted, End of Period, 72
NASDAQ Status Date, 64
Member Portfolio Returns Without Price Adjusted, Last Available
Dividends, Cumulative, 58 NASDAQ Traits End Date, 65 Nonmissing, 72

N. New PERMCO, 65 Price Alternate, 73

North American Industry New PERMNO, 65 Price Alternate Date, 73

Classification System (NAICs) Code,
End of Period, 58 Number of Array Elements, 66 Price, End of Period, 73

NAICs, End of Previous Period, 59 Number of Index List Types, 66 Price, Last Available Nonmissing, 74

NAICs, Most Recent, 59 Number of Index Types, 66 Primary Exchange, End of Period, 74

NASDAQ Index Code, End of Number of Periods in Calendar, 67 Primary Exchange, End of Previous
Period, 60 Period, 75
Number of Portfolio Types, 67
NASDAQ Index Code, End of Primary Exchange, Most Recent, 75
Previous Period, 61 Number of Rebalancing Types, 67
R.
NASDAQ Index Code, Most O.
Recent, 61 Record Date, 75
Object Array, 68
NASDAQ Issue Number, 61 Related Assignment Information, 75
Object Type Code, 68
NASDAQ Market Makers, End of Restriction Begin Date (Partition or

Stock and Index Data Description Guide • PAGE 9

DATA DEFINITIONS INDEX, ALPHABETICAL

Index), 76 Rights, 83 Trading Ticker Symbol, End of

Period, 90
Restriction End Date (Partition or Shares Outstanding Observation
Index), 76 Date, 83 Trading Ticker Symbol, End of
Previous Period, 90
Return of Delisted Issues Flag, 76 Shares Outstanding Observation
Flag, 84 Trading Ticker Symbol - Header, 91
Returns, 77
Shares Outstanding, Unadjusted for Trading Ticker Symbol, Most Recent,
Returns, Cumulative, 78 Rights, 84 91

Returns on Income, 78 SIC Code, End of Period, 84 U.

Returns on Income, Cumulative, 78 SIC Code, End of Previous Period, 85 Universe Subset Type Code (Partition
or Index Restriction), 91
Returns Without Dividends, 78 SIC Code, Most Recent, 85
V.
Returns Without Dividends, SIC Code - Header, 85
Cumulative, 79 Valid Exchange Codes in Universe
Spread Between Bid and Ask, 85 (Partition or Index Restriction), 92
S.
Statistic Average in Period, 86 Valid First Digit of Share Code
Security Status, End of Period, 79 (Partition or Index Restriction), 92
Statistic Maximum Identifier, 86
Security Status, End of Previous Valid Incorporation of Securities
Period, 79 Statistic Maximum in Period, 86 in Universe (Partition or Index
Restriction), 92
Security Status, Most Recent, 80 Statistic Median in Period, 87
Valid Second Digit of Share Code
Share Class, End of Period, 80 Statistic Minimum Identifier, 87 (Partition or Index Restriction), 93

Share Class, End of Previous Statistic Minimum in Period, 87 Valid When-Issued Securities
Period, 80 in Universe (Partition or Index
T. Restriction), 94
Share Class, Most Recent, 80
Ticker, End of Period, 88 Volume, Average, 94
Share Code Groupings for Subsets
(Partition or Index Restriction), 81 Ticker, End of Previous Period, 88 Volume, Median, 94

Share Code Screen Structure (Partition Ticker - Header, 88 Volume, Total, 95

or Index Restriction), 81
Ticker, Most Recent, 89 Volume, Total Adjusted, 95
Share Type Code, End of Period, 81
Trading Status, End of Period, 89 W.
Share Type Code, End of Previous
Period, 82 Trading Status, End of Previous Weight of Issue, 96
Period, 89
Share Type Code, Most Recent, 82
Trading Status - Header, 90
Shares Outstanding, 82
Trading Status, Most Recent, 90
Shares Outstanding, Adjusted, 82

Shares Outstanding, Adjusted for

Stock and Index Data Description Guide • PAGE 10

 CHAPTER 2: DATA DEFINITIONS

A. ACQUIRING PERMNO
Acquiring PERMNO is the PERMNO of another security
ACQUIRING PERMCO
linked to a distribution where a stock was received in a spin-
Acquiring PERMCO is the PERMCO of another company off, exchange, merger, or other distribution event. It can also
linked to a distribution. If the Acquiring PERMNO is link to a security that was acquired in a merger causing a
nonzero and represents an associated security, Acquiring shares increase.
PERMCO is set to the PERMCO of that security. If
Acquiring PERMNO is less than 1000, then Acquiring Acquiring PERMNO is set to a number less than 1000 if
PERMCO can still be set. In this case, it represents a link to inapplicable or unknown. If multiple distributions exist with
a company tracked by CRSP rather than a specific issue. For the same Distribution Code and Ex-Distribution Date, they
example, if a company pays cash to shareholders in a merger, are numbered in the Acquiring PERMNO field. Data in this
then the Acquiring PERMCO is set to the PERMCO of that field are incomplete prior to 1985. Acquiring PERMNO may
company. point to four-digit securities. Data for these securities are
not included in the databases. Acquiring PERMNO values
Acquiring PERMCO is zero if not applicable, unknown, or between 1 and 9 do not represent securities. These values
associated with a company not tracked by CRSP. Data in this as used to distinguish multiple distribution records with the
field is incomplete prior to 1985. same Distribution Code on the same Ex-Distribution Date.

GENERAL INFORMATION GENERAL INFORMATION

Primary Concepts Distribution Event Array Primary Concepts Distribution Event Array
Data Type integer number Data Type integer number
Unit of Item Id Unit of Item Id
DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess Database Formats CRSPAccess
Product Types STK Product Types STK
ts_print Daily Usage n/a ts_print Daily Usage n/a
ts_print Monthly Usage n/a ts_print Monthly Usage n/a
stk_print Option(s) /di stk_print Option(s) /di
C USAGE C USAGE
Object dists_arr Object dists_arr
Array dists[ ] Array dists[ ]
Element accomp Element acperm
FORTRAN-95 USAGE FORTRAN-95 USAGE
Type or Subtype dists_arr Type or Subtype dists_arr
Member and/or Array dists() Member and/or Array dists()
Element accomp Element acperm

Stock and Index Data Description Guide • PAGE 11

12 AMOUNT AFTER DELISTING Data Type integer number

Amount After Delisting is the value of a security Unit of Item Set (no. of bytes)

after it delists from an exchange. The amount can DATE RANGE AVAILABILITY
Daily -
be either an off-exchange price, an off-exchange
Monthly -
price quote, or the sum of a series of distribution
CHAPTER 2: Data Definitions

DATABASE AVAILABILITY AND UTILITY USAGE

payments. The Amount After Delisting is used to
Database Formats CRSPAccess
calculate the Delisting Return. This amount is set to
Product Types STK, IND
zero if the security is still active, if no price or payment
ts_print Daily Usage n/a
information is available, or if the stock is worthless.
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) n/a
Monthly: If no value after the Delisting Date exists,
C USAGE
but daily prices exist after the previous month’s last
Object CRSP_*
trading date, then the Amount After Delisting is set to
Array n/a
the last daily trading value found in the Price or Bid/
Element size_of_array_width
Ask Average. This price is a daily price for activity that
FORTRAN-95 USAGE
occurred during the delisting month.
Type or Subtype
Member and/or Array
GENERAL INFORMATION
Element
Primary Concepts Delisting History Array
Stock and Index Data Description Guide

Data Type real number

ARRAY TYPE CODE
Unit of Item USD
DATE RANGE AVAILABILITY Array Type Code is an integer code which defines the
Daily 1925 type of data in a CRSPAccess object structure array.
Monthly 1925 It can define a basic data type or a CRSP-defined
DATABASE AVAILABILITY AND UTILITY USAGE structure.
Database Formats CRSPAccess
Product Types STK GENERAL INFORMATION

ts_print Daily Usage n/a Primary Concepts Base CRSPAccess Data Structures, Time
Series Objects, Event Array Objects,
ts_print Monthly Usage n/a
Header Objects
stk_print Option(s) /de
Data Type integer number
C USAGE
Unit of Item Code
Object delist_arr
DATE RANGE AVAILABILITY
Array delist[ ]
Daily -
Element dlamt
Monthly -
FORTRAN-95 USAGE
DATABASE AVAILABILITY AND UTILITY USAGE
Type or Subtype delist_arr
Database Formats CRSPAccess
Member and/or Array delist()
Product Types STK, IND
Element dlamt
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print or ind_print n/a
ARRAY STRUCTURE SIZE Option(s)
Array Structure Size is the number of bytes needed C USAGE
in each structure element for this array type in a Object CRSP_*
CRSPAccess object structure. Array n/a
Element arrtype
GENERAL INFORMATION FORTRAN-95 USAGE
Primary Concepts Base CRSPAccess Data Structures, Time Type or Subtype crsp_ts or crsp_array
Series Objects, Event Array Objects, Member and/or Array n/a
Header Objects
Element arrtype
13 ASK ADJUSTED, END OF PERIOD ASK, END OF PERIOD
Category: Prices Category: Prices
Data Type: Floating Point Data Type: Floating Point
Description: Description:
CHAPTER 2: Data Definitions

• Daily — Closing ask on the trading date being • Daily — Closing ask on the trading date being
accessed, adjusted for distributions. accessed.
• Monthly — Closing ask on the last trading date of • Monthly — Closing ask on the last trading date of
the month of the period being accessed, adjusted the month of the period being accessed.
for distributions.
Extended Information
DATE RANGE AVAILABILITY
Ask is available both daily and monthly for all
Daily 1925
securities on the NYSE, NYSE MKT, NASDAQ, and
Monthly 1925
Arca. Ask prices for NASDAQ are handled a little
DATABASE AVAILABILITY AND PRODUCT TYPES
differently than for NYSE/NYSE MKT and outlined as
Database Formats CRSPAccess
follows:
Product Types STK
TS_PRINT/TSQUERY USAGE NASDAQ
Daily ITEMID adjask
Ask is available for issues trading on the NASDAQ
Stock and Index Data Description Guide

Monthly ITEMID madjask

Stock Market during time periods when Ask or High
Header Adjask
Price can contain the high price.
SUBNO 0
Since July 1980, NASDAQ has used the inside
quotation as the closing bid and ask, with the close
being at 4:00PM Eastern time. The inside quotation is
ASK ADJUSTED, LAST AVAILABLE
the highest bid and lowest ask for each trade date.
NONMISSING
Category: Prices Ask is reported for all NASDAQ National Market
securities since November1, 1982 and for all NASDAQ
Data Type: Floating Point securities since June 15, 1992, with the following
• Description: Daily — Last available non-missing exceptions due to source limitations:
closing ask as of the trading date being accessed, • A
 sk is missing for 15 NASDAQ National Market
adjusted for distributions. securities in December 1982.
• Monthly — Last available non-missing month-end • A
 sk is missing for all NASDAQ National Market
closing ask as of the trading date being accessed, securities in February 1986.
adjusted for distributions.
NYSE/ NYSE MKT
DATE RANGE AVAILABILITY
Daily 1925
The ask for NYSE and NYSE MKT securities is not
Monthly 1925 the inside quotation, but the ask price from the last
DATABASE AVAILABILITY AND PRODUCT TYPES representative quote before the markets close for
Database Formats CRSPAccess each trading date. Due to source limitations, only
Product Types STK an unrepresentative quote was available on many
TS_PRINT/TSQUERY USAGE days. This unrepresentative quote showed very large
Daily ITEMID adjask spreads, frequently a bid of a penny and an ask of
Monthly ITEMID madjask approximately double the price. These were usually
Header Adjaskprev posted by a market marker not on the primary listed
SUBNO 1 exchange, who was required to post a quote but not
interested in making a trade. From 1992 on, Bid and
14 Ask were set to 0 when CRSP determined that the ASKHI ADJUSTED, MAXIMUM IN PERIOD
available quote was unrepresentative of trading activity, Category: Prices
pending further research.
Data Type: Floating Point
Ask data for NYSE are available from December 31,
1925 through the most currently completed month • Description: Daily — Highest trading price during
CHAPTER 2: Data Definitions

for securities when no closing price is available. the day, or the closing ask if trading price not
Between December 31, 1925 and February 23, 1942, available, adjusted for distributions. Ask identified
a continuous series of ask data are available whether by a leading dash -.
or not a closing price is available. Between February • Monthly — Highest trading price during the
24, 1942 and December 27, 1992, ask is available only month, or the highest bid-ask spread if trading
in cases when a closing price is missing. Beginning price not available, adjusted for distributions. Bid-
December 28, 1992, a continuous series of ask data are ask spreads identified by preceding dash -.
available.
DATE RANGE AVAILABILITY
DATE RANGE AVAILABILITY
Daily 1925
Daily 1925
Monthly 1925
Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Database Formats CRSPAccess
Product Types STK
Product Types STK
TS_PRINT/TSQUERY USAGE
Stock and Index Data Description Guide

TS_PRINT/TSQUERY USAGE
Daily ITEMID adjaskhi
Daily ITEMID ask
Monthly ITEMID madjaskhi
Monthly ITEMID mask
Header Adjaskhi
Header Ask
SUBNO 0
SUBNO 0

ASKHI, MAXIMUM IN PERIOD

ASK, LAST AVAILABLE NONMISSING
Category: Prices
Category: Prices
Data Type: Floating Point
Data Type: Floating Point
• Description: Daily — Highest trading price during
Description:
the day, or the closing ask if trading price not
• Daily — Last available non-missing closing ask as of available. Ask identified by a leading dash -.
the trading date being accessed.
• Monthly — Highest trading price during the
• Monthly — Last available non-missing month-end month, or the highest bid-ask spread if trading
closing ask as of the trading date being accessed. price not available. Bid-ask spreads identified by
DATE RANGE AVAILABILITY
preceding dash -.
Daily 1925
Monthly 1925
Extended Information
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Daily: Ask or High Price is the highest trading price
Product Types STK during the day, or the closing ask price on days when
TS_PRINT/TSQUERY USAGE the closing price is not available. The field is set to zero
Daily ITEMID ask if no Ask or High Price is available. If the Price or Bid/
Monthly ITEMID mask Ask Average is negative, this field contains the closing
Header Askprev ask. If positive, this field contains the highest trade.
SUBNO 1
15 Daily trading prices for the NASDAQ National Market ASSOCIATED INDEX RETURNS, CUMULATIVE
securities were first reported November 1, 1982. Daily Category: Returns Related to an Index
trading prices for The NASDAQ SmallCap Market
were first reported June 15, 1992. Therefore, Ask or Data Type: Floating Point
High Price for NASDAQ securities is always an ask Description: Compounded total returns of an index
CHAPTER 2: Data Definitions

before these dates. that a user selects to be associated with a security or

group of securities. Each period in the time series
Monthly: Monthly files contain the lowest daily contains a cumulative return since the beginning
Price or Bid/Ask Average during the month. The period.
field is set to zero when no Price or Bid/Ask Average
DATE RANGE AVAILABILITY
was available during the month a value is found for
Daily 1925
incomplete months. If Price or Bid/Ask Average
Monthly 1925
contains any bid/ask averages, these will be marked
DATABASE AVAILABILITY AND PRODUCT TYPES
with a negative symbol. The absolute value of Price or
Database Formats CRSPAccess
Bid/Ask Average is used to select the lowest, but the
Product Types STK
sign is preserved if a bid/ask average is selected.
TS_PRINT/TSQUERY USAGE
Daily ITEMID cumindtret
DATE RANGE AVAILABILITY
Monthly ITEMID mcumindtret
Daily 1925
Header Cumindtret
Monthly 1925
Stock and Index Data Description Guide

SUBNO INDNO
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE ASSOCIATED INDEX RETURNS ON INCOME
Daily ITEMID askhi
Category: Returns Related to an Index
Monthly ITEMID maskhi
Header Askhi Data Type: Floating Point
SUBNO 0
Description: Returns on income only of an index that
a user selects to be associated with a security or group
of securities.
ASSOCIATED INDEX RETURNS DATE RANGE AVAILABILITY
Category: Returns Related to an Index Daily Monthly
1925 1925
Data Type: Floating Point
DATABASE AVAILABILITY AND PRODUCT TYPES
Description: Total returns of an index that a user Database Formats Product Types
selects to be associated with a security or group of CRSPAccess STK
securities. TS_PRINT/TSQUERY USAGE
Daily ITEMID indiret
DATE RANGE AVAILABILITY
Monthly ITEMID mindiret
Daily 1925
Header Indiret
Monthly 1925
SUBNO INDNO
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID indtret
Monthly ITEMID mindtret
Header Indtret
SUBNO INDNO
16 ASSOCIATED INDEX RETURNS ON INCOME, ASSOCIATED INDEX RETURNS WITHOUT
CUMULATIVE DIVIDENDS, CUMULATIVE
Category: Returns Related to an Index Category: Returns Related to an Index
Data Type: Floating Point Data Type: Floating Point
CHAPTER 2: Data Definitions

Description: Compounded return, on income only, Description: Compounded price appreciation only,
of an index that a user selects to be associated with a of an index that a user selects to be associated with a
security or group of securities. Each period in the time security or group of securities. Each period in the time
series contains a cumulative return since the beginning series contains a cumulative return since the beginning
period. period.
DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
Product Types STK Product Types STK
TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID cumindiret Daily ITEMID cumindaret
Monthly ITEMID mcumindiret Monthly ITEMID mcumindaret
Stock and Index Data Description Guide

Header Cumindiret Header Cumindaret

SUBNO INDNO SUBNO INDNO

ASSOCIATED INDEX RETURNS WITHOUT ASSOCIATED PORTFOLIOS RETURNS

DIVIDENDS Category: Returns Related to a Portfolio Type
Category: Returns Related to an Index
Data Type: Floating Point
Data Type: Floating Point
Description: Total returns of a portfolio that a user
Description: Compounded price appreciation only, selects to be associated with a security or group of
of an index that a user selects to be associated with a securities.
security or group of securities.
DATE RANGE AVAILABILITY
DATE RANGE AVAILABILITY Daily 1925
Daily 1925 Monthly 1925
Monthly 1925 DATABASE AVAILABILITY AND PRODUCT TYPES
DATABASE AVAILABILITY AND PRODUCT TYPES Database Formats CRSPAccess
Database Formats CRSPAccess Product Types STK
Product Types STK TS_PRINT/TSQUERY USAGE
TS_PRINT/TSQUERY USAGE Daily ITEMID porttret
Daily ITEMID indaret Monthly ITEMID mporttret
Monthly ITEMID mindaret Header Porttret
Header Indaret SUBNO PORTID
SUBNO INDNO
17 ASSOCIATED PORTFOLIOS RETURNS ON Data Type integer number
INCOME Unit of Item YYYYMMDD date

Category: Returns Related to a Portfolio Type DATE RANGE AVAILABILITY

Daily 1925
Data Type: Floating Point Monthly 1925
CHAPTER 2: Data Definitions

Description: Returns on income only of a portfolio DATABASE AVAILABILITY AND UTILITY USAGE

that a user selects to be associated with a security or Database Formats CRSPAccess

group of securities. Product Types STK

ts_print Daily Usage n/a
DATE RANGE AVAILABILITY
ts_print Monthly Usage n/a
Daily 1925 stk_print Option(s) /g#, # is grouptype
Monthly 1925
C USAGE
DATABASE AVAILABILITY AND PRODUCT TYPES
Object group_arr[i], i+1 is grouptype
Database Formats CRSPAccess Array group[i,]
Product Types STK Element grpdt
TS_PRINT/TSQUERY USAGE
FORTRAN-95 USAGE
Daily ITEMID portiret Type or Subtype group_arr(i) i is grouptype
Monthly ITEMID mportiret Member and/or Array group()
Header Portiret Element grpdt
SUBNO PORTID
Stock and Index Data Description Guide

ASSOCIATED PORTFOLIOS RETURNS

WITHOUT DIVIDENDS BEGIN OF STOCK DATA
Category: Returns Related to a Portfolio Type Begin of Stock Data is the date that data begins for
the security, in YYYYMMDD format. It is the date of
Data Type: Floating Point
the first period in the time series arrays and is always
Description: Price appreciation only, of a portfolio a greater than zero.
user selects to be associated with a security or group of
GENERAL INFORMATION
securities.
Primary Concepts Header Identification and Summary Data
DATE RANGE AVAILABILITY Data Type integer number
Daily 1925 Unit of Item YYYYMMDD date
Monthly 1925 DATE RANGE AVAILABILITY
DATABASE AVAILABILITY AND PRODUCT TYPES Daily 1925
Database Formats CRSPAccess Monthly 1925
Product Types STK DATABASE AVAILABILITY AND UTILITY USAGE
TS_PRINT/TSQUERY USAGE Database Formats CRSPAccess
Daily ITEMID portaret Product Types STK
Monthly ITEMID mportaret ts_print Daily Usage n/a
Header Portaret ts_print Monthly Usage n/a
SUBNO PORTID stk_print Option(s) /hh , /hr , /hrl , /hn
C USAGE
B. Object header_row
Array header
BEGIN OF GROUP DATA Element begdt
Begin of Group Data is the first date the group data is FORTRAN-95 USAGE
valid in YYYYMMDD format. Type or Subtype stkhdr
Member and/or Array n/a
GENERAL INFORMATION
Element begdt
Primary Concepts Group Data
18 BEGIN OF VALID DATA Monthly ITEMID madjbid

Begin of Valid Data is the index of the first calendar Header Adjbid
SUBNO 0
period with valid data in a time series. If no data of
this type are available, it is set to zero. The Calendar
Trading Date at this index is the date of the first
CHAPTER 2: Data Definitions

calendar period with data of this type. BID ADJUSTED, LAST AVAILABLE
GENERAL INFORMATION NONMISSING
Primary Concepts Base CRSPAccess Data Structures, Time Category: Prices
Series Objects
Data Type integer number
Data Type: Floating Point
Unit of Item Array index Description: Daily — Last available non-missing closing
DATE RANGE AVAILABILITY bid as of the trading date being accessed, adjusted for
Daily 1925 distributions.
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Monthly — Last available non-missing month-end
Database Formats CRSPAccess
closing bid as of the trading date being accessed,
Product Types STK, IND
adjusted for distributions.
ts_print Daily Usage n/a DATE RANGE AVAILABILITY
ts_print Monthly Usage n/a Daily 1925
Stock and Index Data Description Guide

stk_print or ind_print Option(s) n/a Monthly 1925

C USAGE DATABASE AVAILABILITY AND PRODUCT TYPES
Object CRSP_TIMESERIES Database Formats CRSPAccess
Array n/a Product Types STK
Element beg TS_PRINT/TSQUERY USAGE
FORTRAN-95 USAGE Daily ITEMID adjbid
Type or Subtype crsp_ts Monthly ITEMID madjbid
Member and/or Array n/a Header Adjbidprev
Element beg SUBNO 1

BID ADJUSTED, END OF PERIOD

BID, END OF PERIOD
Category: Prices
Category: Prices
Data Type: Floating Point
Data Type: Floating Point
Description: Daily — Closing bid on the trading date
Summary: Daily — Closing bid on the trading date
being accessed, adjusted for distributions.
being accessed.
Monthly — Closing bid on the last trading date of
Monthly — Closing bid on the last trading date of the
the month of the period being accessed, adjusted for
month.
distributions.
Extended Information: Bid is available both daily
DATE RANGE AVAILABILITY
and monthly for all securities on the NYSE, NYSE
Daily 1925
MKT, NASDAQ, and Arca exchanges. Bid prices for
Monthly 1925
NASDAQ are handled a little differently than for
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
NYSE/NYSE MKT and outlined as follows:
Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID adjbid
19 NASDAQ DATE RANGE AVAILABILITY
Daily 1925
Bid is available for issues trading on the NASDAQ Monthly 1925
Stock Market during time periods when Bid or Low DATABASE AVAILABILITY AND PRODUCT TYPES
Price can contain the high price. Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Product Types STK

Since July 1980, NASDAQ has used the inside TS_PRINT/TSQUERY USAGE
quotation as the closing bid and ask, with the close Daily ITEMID bid
being at 4:00PM Eastern time. The inside quotation is Monthly ITEMID mbid
the highest bid and lowest ask for each trade date. Header Bid
SUBNO 0
Bid is reported for all NASDAQ National Market
securities since November 1, 1982 and for all
NASDAQ securities since June 15, 1992, with the
following exceptions due to source limitations: BID, LAST AVAILABLE NONMISSING
Category: Prices
‚ Bid is missing for 15 NASDAQ National Market
Data Type: Floating Point
securities in December 1982.
‚ Bid is missing for all NASDAQ National Market Description: Daily — Last available non-missing closing
securities in February 1986. bid as of the trading date being accessed.
Stock and Index Data Description Guide

NYSE / NYSE MKT Monthly — Last available non-missing month-end

closing bid as of the trading date being accessed.
The bid for NYSE and NYSE MKT securities is not DATE RANGE AVAILABILITY
the inside quotation, but the bid price from the last Daily 1925
representative quote before the markets close for Monthly 1925
each trading date. Due to source limitations, only DATABASE AVAILABILITY AND PRODUCT TYPES
an unrepresentative quote was available on many Database Formats CRSPAccess
days. This unrepresentative quote showed very large Product Types STK
spreads, frequently a bid of a penny and an ask of TS_PRINT/TSQUERY USAGE
approximately double the price. These were usually Daily ITEMID bid
posted by a market marker not on the primary listed Monthly ITEMID mbid
exchange, who was required to post a quote but not Header Bidprev
interested in making a trade. From 1992 on, Bid and SUBNO 1
Ask are set to 0 when CRSP determined that the
available quote was unrepresentative of trading activity,
pending further research.
BIDLO ADJUSTED, MINIMUM IN PERIOD
Bid data for NYSE are available from December 31, Category: Prices
1925 through the most currently completed month Data Type: Floating Point
for securities when no closing price is available.
Between December 31, 1925 and February 23, 1942, Description: Daily — Lowest trading price during the
a continuous series of bid data are available whether day, or the closing bid if trading price not available,
or not a closing price is available. Between February adjusted for distributions. Bid identified by a leading
24, 1942 and December 27, 1992, bid is available only dash -.
in cases when a closing price is missing. Beginning Monthly — Lowest trading price during the month, or
December 28, 1992, a continuous series of bid data are the lowest bid-ask spread if trading price not available,
available. adjusted for distributions. Bid-ask spreads identified by
preceding dash -.
 DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
20
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Product Types STK Product Types STK

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID adjbidlo Daily ITEMID bidlo
Monthly ITEMID madjbidlo Monthly ITEMID mbidlo
Header Adjbidlo Header Bidlo
SUBNO 0 SUBNO 0

BIDLO, MINIMUM IN PERIOD C.

Category: Prices
CALENDAR ASSOCIATED WITH A TIME
Data Type: Floating Point SERIES
Summary: Daily — Lowest trading price during the Calendar Associated with a Time Series is a pointer
day, or the closing bid if trading price not available. in a CRSP time series object to the associated
Stock and Index Data Description Guide

Bid identified by a leading dash -. CRSPAccess calendar structure needed to assign the
time to data in a time series array.
Monthly — Lowest trading price during the month, or
the lowest bid-ask spread if trading price not available. GENERAL INFORMATION
Bid-ask spreads identified by preceding dash -. Primary Concepts Base CRSPAccess Data Structures,
Calendar Objects, Time Series Objects
Extended Information: Daily: Bid or Low Price is the Data Type structure
lowest trading price during the day or the closing bid Unit of Item Array index
price on days when the closing price is not available. DATE RANGE AVAILABILITY
The field is set to zero if no Bid or Low Price is Daily 1925
available. Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Daily trading prices for the NASDAQ National Market Database Formats CRSPAccess
securities were first reported November 1, 1982. Daily Product Types STK, IND
trading prices for The NASDAQ SmallCap Market ts_print Daily Usage n/a
were first reported June 15, 1992. Therefore, Bid ts_print Monthly Usage n/a
or Low Price for NASDAQ securities is always a bid stk_print or ind_print Option(s) n/a
before these dates. C USAGE
Object CRSP_TIMESERIES
Monthly: Monthly files contain the lowest daily Price Array n/a
or Bid/Ask Average during the month. The field is Element cal
set to zero when no Price or Bid/Ask Average was FORTRAN-95 USAGE
available during the month a value is found for Type or Subtype crsp_ts
incomplete months. If Price or Bid/Ask Average Member and/or Array n/a
contains any bid/ask averages, these will be marked Element cal
with a negative symbol. The absolute value of Price or
Bid/Ask Average is used to select the lowest, but the
sign is preserved if a bid/ask average is selected.
21 CALENDAR IDENTIFICATION NUMBER The calendar periods of the Calendar Identification
Calendar Identification Number is an integer code Number of Rebalancing Calendar, Calendar
assigned by CRSP to trading calendars. A Calendar Identification Number of Assignment Calendar, and
Name and Calendar Identification Number identify Calendar Identification Number of Calculations
each calendar. The calendars supported in CRSPAccess Calendar are synchronized, although the actual date
CHAPTER 2: Data Definitions

databases are: ranges for each period may differ. The assignment
calendar uses the same calendars listed in Calendar
CALENDARS CALENDAR ID CALENDAR NAME BEGINNING DATE
Identification Number.
Daily 100 Daily Trading 19251231
Calendar GENERAL INFORMATION
Monthly 101 Month-End 19251231 Primary Concepts Index Header, Calendars
Trading Calendar Data Type integer number
Annual 300 Annual Trading 19251231 Unit of Item Code
Calendar
DATE RANGE AVAILABILITY
Quarterly 310 Quarterly Trading 19251231
Daily 1925
Calendar
Monthly 1925
Weekly 500 Weekly Trading 19260102
Calendar DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
GENERAL INFORMATION
ts_print Daily Usage n/a
Primary Concepts Base CRSPAccess Data Structures,
Stock and Index Data Description Guide

ts_print Monthly Usage n/a

Calendar Objects
ind_print Option(s) /hr
Data Type integer number
Unit of Item C USAGE
Code
Object indhdr_row
DATE RANGE AVAILABILITY
Array indhdr
Daily 1925
Element assign.assigncal
Monthly 1925
FORTRAN-95 USAGE
DATABASE AVAILABILITY AND UTILITY USAGE
Type or Subtype indhdr
Database Formats CRSPAccess
Member and/or Array assign
Product Types STK, IND
Element assigncal
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) n/a
CALENDAR IDENTIFICATION NUMBER OF
C USAGE
CALCULATIONS CALENDAR
Object CRSP_CAL
Array n/a Calendar Identification Number of Calculations
Element calid Calendar identifies a calendar that determines the
FORTRAN-95 USAGE range of dates used to calculate statistics to form
Type or Subtype crsp_cal portfolios. The calendar periods of the Calendar
Member and/or Array n/a Identification Number of Rebalancing Calendar,
Element calid Calendar Identification Number of Assignment
Calendar, and Calendar Identification Number of
Calculations Calendar are synchronized, although the
CALENDAR IDENTIFICATION NUMBER OF actual date ranges for each period number may differ.
ASSIGNMENT CALENDAR The calculations calendar uses the same calendars
Calendar Identification Number of Assignment described in Calendar Identification Number.
Calendar identifies a calendar that determines the GENERAL INFORMATION
dates when index breakpoints and buy/sell rules are Primary Concepts Index Header, Calendars
valid. The assignment calendar is used when using Data Type integer number
rebalancing information to assign issues to a portfolio. Unit of Item Code
 DATE RANGE AVAILABILITY C USAGE
22
Daily 1925 Object indhdr_row
Monthly 1925 Array indhdr
DATABASE AVAILABILITY AND UTILITY USAGE Element assign.rebalcal
Database Formats CRSPAccess FORTRAN-95 USAGE
CHAPTER 2: Data Definitions

Product Types IND Type or Subtype indhdr

ts_print Daily Usage n/a Member and/or Array assign
ts_print Monthly Usage n/a Element rebalcal
ind_print Option(s) /hr
C USAGE
Object indhdr_row
CALENDAR NAME
Array indhdr Calendar Name is a text Description: of a calendar.
Element assign.calccal These include: Daily Trading Calendar, Month-
FORTRAN-95 USAGE End Trading Calendar, Annual Trading Calendar,
Type or Subtype indhdr Quarterly Trading Calendar, Weekly Trading Calendar.
Member and/or Array assign
GENERAL INFORMATION
Element calccal
Primary Concepts Base CRSPAccess Data Structures,
Calendar Objects
Data Type character
CALENDAR IDENTIFICATION NUMBER OF
Stock and Index Data Description Guide

Unit of Item Description

REBALANCING CALENDAR
DATE RANGE AVAILABILITY
Calendar Identification Number of Rebalancing Daily 1926
Calendar identifies a calendar that determines the Monthly 1925
time periods when the portfolios in the index are held. DATABASE AVAILABILITY AND UTILITY USAGE
The new portfolio universe is held from the end of Database Formats CRSPAccess
one period in the rebalancing calendar until the end Product Types STK, IND
of the next period. The calendar period numbers of ts_print Daily Usage n/a
the Calendar Identification Number of Rebalancing ts_print Monthly Usage n/a
Calendar, Calendar Identification Number of stk_print or ind_print Option(s) n/a
Assignment Calendar, and the Calendar Identification C USAGE
Number of Calculations Calendar are synchronized, Object CRSP_CAL
although the actual date ranges for each period Array n/a
number may differ. The rebalancing calendar uses Element name
the same calendars listed in Calendar Identification FORTRAN-95 USAGE

Number. Type or Subtype crsp_cal

Member and/or Array n/a
GENERAL INFORMATION
Element name
Primary Concepts Index Header, Calendars
Data Type integer number
Unit of Item Code
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
ind_print Option(s) /hr
23 CALENDAR PERIOD GROUPING IDENTIFIER Index time series. This code equals 2, indicating that
Calendar Period Grouping Identifiers are integers calendar time periods are identified by the last trading
assigned for each trading period in a calendar. These date in the period using Calendar Trading Date.
identifiers can be used as alternate names to Calendar GENERAL INFORMATION
Trading Date for the calendar periods. The values Primary Concepts Base CRSPAccess Data Structures, Time
CHAPTER 2: Data Definitions

stored for each period in Calendar Period Grouping Series Objects

Identifier for the current calendars are: Data Type Integer Number
Unit of Item Code
CALENDAR NAME DATE FORMAT
DATE RANGE AVAILABILITY
Daily Trading Calendar YYYYWW
Daily 1925
Month-End Trading Calendar YYYYMM
Monthly 1925
Annual Trading Calendar YYYY
DATABASE AVAILABILITY AND UTILITY USAGE
Quarterly Trading Calendar YYYYMM
Database Formats CRSPAccess
Weekly Trading Calendar YYYYWW
Product Types STK, IND
ts_print Daily Usage n/a
where YYYY is the 4-digit year, MM the month, and
ts_print Monthly Usage n/a
WW the week within the current year. The last week
stk_print or ind_print Option(s) n/a
of the previous year is continued for the entire week
C USAGE
when the year changes.
Object CRSP_TIMESERIES
GENERAL INFORMATION Array n/a
Stock and Index Data Description Guide

Primary Concepts Base CRSPAccess Data Structures, Element caltype

Calendar Objects FORTRAN-95 USAGE
Data Type integer number Type or Subtype crsp_ts
Unit of Item Description Member and/or Array n/a
DATE RANGE AVAILABILITY Element caltype
Daily 1925
Monthly 1925 CALENDAR TYPE AVAILABILITY FLAG
DATABASE AVAILABILITY AND UTILITY USAGE
Calendar Type Availability Flag identifies the calendar
Database Formats CRSPAccess
available for use with the data. It is set to 1 if Calendar
Product Types STK, IND
Period Grouping Identifier is available, 2 if Calendar
ts_print Daily Usage n/a
Trading Date is available, and 3 if both are available.
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) n/a GENERAL INFORMATION
C USAGE Primary Concepts Base CRSPAccess Data Structures,
Object CRSP_CAL Calendar Objects

Array callist[ ] Data Type integer number

Element n/a Unit of Item Code

FORTRAN-95 USAGE DATE RANGE AVAILABILITY

Type or Subtype crsp_cal Daily 1925

Member and/or Array callist() Monthly 1925

Element n/a D1ATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess
Product Types STK, IND
ts_print Daily Usage n/a
CALENDAR TIME PERIOD DESCRIPTION ts_print Monthly Usage n/a
CODE stk_print or ind_print Option(s) n/a

Calendar Time Period C USAGE

Object CRSP_CAL
Description: Code is a code that indicates the type
Array n/a
of calendar array best used to read a CRSP Stock or
24
Element loadflag COMPANY NAME, END OF PERIOD
FORTRAN-95 USAGE Category: Name History
Type or Subtype crsp_cal
Member and/or Array n/a
Data Type: String
Element loadflag Summary: Company name effective at the end of the
CHAPTER 2: Data Definitions

period reported.
CAPITALIZATION, END OF PERIOD
Extended Information: Company Name is the name
Category: Capitalization
of the company at the time of its name history record.
Data Type: Floating Point CRSP allocates a 35 character name Description: field
Description: Closing price * shares outstanding for all securities. Preference is given to the spellings
(in 1000s), as of end of the period. If an index, and abbreviations provided in Standard & Poor’s
capitalization is the total market value of the issues CUSIP Directory. In cases where name sources provide
used in the index at the beginning of the period. descriptions in excess of 35 characters, CRSP furnishes
its own abbreviations.Daily: The daily file includes all
DATE RANGE AVAILABILITY historical names included in the file beginning in 1925.
Daily 1925
DATE RANGE AVAILABILITY
Monthly 1925
Daily 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
Monthly 1925
Database Formats CRSPAccess
Stock and Index Data Description Guide

DATABASE AVAILABILITY AND PRODUCT TYPES

Product Types STK
ts_print/TsQuery Usage Database Formats CRSPAccess

Daily ITEMID Product Types STK

tcap
Monthly ITEMID mtcap TS_PRINT/TSQUERY USAGE

Header TCap Daily ITEMID comnam

SUBNO 0 Monthly ITEMID mcomnam

Header Company Name
SUBNO 0

CAPITALIZATION, END OF PREVIOUS PERIOD

Category: Capitalization
COMPANY NAME, END OF PREVIOUS PERIOD
Data Type: Floating Point Category: Name History
Description: Closing price * shares outstanding (in Data Type: String
1000s) at the end of the previous period. If an index,
capitalization is the total market value of the issues Description: Company name effective at the end of
used in the index at the beginning of the previous the period preceding the period reported.
period. DATE RANGE AVAILABILITY
Daily 1925
DATE RANGE AVAILABILITY
Monthly 1925
Daily 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
Monthly 1925
Database Formats CRSPAccess
DATABASE AVAILABILITY AND PRODUCT TYPES
Product Types STK
Database Formats CRSPAccess
TS_PRINT/TSQUERY USAGE
Product Types STK
Daily ITEMID comnam
TS_PRINT/TSQUERY USAGE
Monthly ITEMID mcomnam
Daily ITEMID cap
Header Effective Name
Monthly ITEMID mcap
SUBNO 1
Header Cap
SUBNO 0
25 COMPANY NAME, MOST RECENT COUNT AVAILABLE AS OF REBALANCING
Category: Name History Count Available as of Rebalancing is the total count of
entities available in the universe eligible for a portfolio
Data Type: String
at the beginning of a rebalancing period. It is set to
Description: The most recent company name known zero if unavailable.
CHAPTER 2: Data Definitions

to CRSP.
GENERAL INFORMATION
DATE RANGE AVAILABILITY Primary Concepts Index Rebalancing History Arrays
Daily 1925 Data Type integer number
Monthly 1925 Unit of Item Count
DATABASE AVAILABILITY AND PRODUCT TYPES DATE RANGE AVAILABILITY
Database Formats CRSPAccess Daily 1925
Product Types STK Monthly 1925
TS_PRINT/TSQUERY USAGE DATABASE AVAILABILITY AND UTILITY USAGE
Daily ITEMID comnam Database Formats CRSPAccess
Monthly ITEMID mcomnam Product Types IND
Header Last Company Name ts_print Daily Usage n/a
SUBNO 2 ts_print Monthly Usage n/a
ind_print Option(s) /rs#
C USAGE
Stock and Index Data Description Guide

COUNT AT END OF REBALANCING PERIOD Object rebal_arr[ ]

Array rebal[ ] [ ]
Count at End of Rebalancing Period is the count
Element totcnt
of entities belonging to a portfolio at the end of a
FORTRAN-95 USAGE
rebalancing period. It is set to zero if unavailable.
Type or Subtype rebal_arr()
GENERAL INFORMATION Member and/or Array rebal(,)
Primary Concepts Index Rebalancing History Arrays Element totcnt
Data Type integer number
Unit of Item Count
DATE RANGE AVAILABILITY
Daily -
COUNT USED AS OF REBALANCING
Monthly - Count Used as of Rebalancing is the count of entities
DATABASE AVAILABILITY AND UTILITY USAGE in a portfolio as of the beginning of a rebalancing
Database Formats CRSPAccess period. It is set to zero if unavailable.
Product Types IND
GENERAL INFORMATION
ts_print Daily Usage n/a
Primary Concepts Index Rebalancing History Arrays
ts_print Monthly Usage n/a
Data Type integer number
ind_print Option(s) /rs#
Unit of Item Count
C USAGE
DATE RANGE AVAILABILITY
Object rebal_arr[ ]
Daily 1925
Array rebal[ ][ ]
Monthly 1925
Element endcnt
DATABASE AVAILABILITY AND UTILITY USAGE
FORTRAN-95 USAGE
Database Formats CRSPAccess
Type or Subtype rebal_arr()
Product Types IND
Member and/or Array rebal(,)
ts_print Daily Usage n/a
Element endcnt
ts_print Monthly Usage n/a
ind_print Option(s) /rb#
C USAGE
Object rebal_arr
 Array rebal TS_PRINT/TSQUERY USAGE
26
Element usdcnt Daily ITEMID cumfacshr
FORTRAN-95 USAGE Monthly ITEMID mcumfacshr
Type or Subtype rebal_arr() Header Cumfacshr
Member and/or Array rebal(,) SUBNO 0
CHAPTER 2: Data Definitions

Element usdcnt

CUSIP, END OF PERIOD

CUMULATIVE FACTOR TO ADJUST PRICES
OVER A DATE RANGE Category: Name History

Category: Dividends Data Type: String

Data Type: Floating Point Summary: The 8 character CUSIP identifier for a
security at the end of the period reported.
Description: Cumulative factor from a base date used
to adjust prices after distributions so that equivalent Extended Information: CUSIP refers to the CUSIP
comparisons can be made between prices before and identifier valid during the date range of a name
after the distribution. structure. All non-blank CUSIPs are 8 characters long.

DATE RANGE AVAILABILITY

The CUSIP Agency will often change an issue’s CUSIP
Daily 1925
identifier to reflect name or capital structure changes.
Stock and Index Data Description Guide

Monthly 1925
CRSP has preserved all CUSIPs assigned to a given
DATABASE AVAILABILITY AND PRODUCT TYPES
issue over time. CUSIP identifiers were first assigned
Database Formats CRSPAccess
in 1968. All CUSIPs in a name history before that date
Product Types STK
are unavailable. Dummy CUSIP identifiers are not
TS_PRINT/TSQUERY USAGE
included in the name history.
Daily ITEMID cumfacpr
Monthly ITEMID mcumfacpr
For more details of the CUSIP identifier; See CUSIP -
Header Cumfacpr
Header.
SUBNO 0

DATE RANGE AVAILABILITY

Daily 19680102
Monthly 19680102
CUMULATIVE FACTOR TO ADJUST SHARES/
DATABASE AVAILABILITY AND PRODUCT TYPES
VOLUME OVER A DATE RANGE
Database Formats CRSPAccess
Category: Dividends
Product Types STK
Data Type: Floating Point TS_PRINT/TSQUERY USAGE
Daily ITEMID ncusip
Description: Cumulative factor from a base date used
Monthly ITEMID mncusip
to adjust shares and volume after distributions so that
Header NCUSIP
equivalent comparisons can be made between values
SUBNO 0
before and after the distribution. Represented as a
ratio of the additional shares out expected after the
distribution to the last known observation.
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Product Types STK
27 CUSIP, END OF PREVIOUS PERIOD field in accordance with the rules published in the
Category: Name History CUSIP Directory. There are two potential types of
dummy CUSIP - Headers which are assigned by CRSP.
Data Type: String One, ***99*9*, (containing a 9 in the fourth, fifth,
Description: The 8 character CUSIP identifier for and seventh character positions) represents a CRSP-
CHAPTER 2: Data Definitions

a security at the end of period preceding the period assigned CUSIP with a dummy issuer number (the
reported. first 6 character positions) and a dummy issue number
(the last 2 character positions). The other, ******9*,
DATE RANGE AVAILABILITY
(containing a 9 in the seventh character position)
Daily 19680102
Monthly 19680102
represents a CRSP-assigned CUSIP with a real issuer
DATABASE AVAILABILITY AND PRODUCT TYPES
number but a dummy issue number. For example:
Database Formats CRSPAccess
A CUSIP - Header such as 12399099 or 12345699 is
Product Types STK
assigned by CRSP, and an identifier such as 12345610
TS_PRINT/TSQUERY USAGE
is assigned by the CUSIP Agency.
Daily ITEMID ncusip
Monthly ITEMID mncusip
Securities actively traded on an international basis,
Header NCUSIPE
domiciled outside the United States and Canada,
SUBNO 1
will be identified by a CINS (CUSIP International
Numbering System) number. CINS numbers
Stock and Index Data Description Guide

employ the same identifier system set by the CUSIP

CUSIP, HEADER Numbering System: Issuer (6 characters) plus Issue (2
Category: Identification characters) per 8 characters. It is important to note that
the first portion of a CINS code is always represented
Data Type: String
by an alphabetic character, signifying the issuer’s
Summary: The latest 8 character CUSIP identifier for country code (domicile) or geographic region. For
a security. more information, see the current CUSIP Directory
Extended Information: CUSIP - Header is the latest and see Share Types.
8 character CUSIP identifier for the security through
DATE RANGE AVAILABILITY
the end of the file. CUSIP identifiers are supplied
Daily 19680102
to CRSP by the CUSIP Global Services (CGS). Monthly 19680102
CGS is managed on behalf of the American Bankers DATABASE AVAILABILITY AND PRODUCT TYPES
Association (ABA) by S&P Global Market Intelligence Database Formats CRSPAccess
LLC, Copyright 2021. Product Types STK
TS_PRINT/TSQUERY USAGE
CUSIP identifiers were first assigned in 1968 as
Daily ITEMID cusip
integers and expanded in 1984 to include alphabetic
Monthly ITEMID mcusip
characters. The first six characters (including leading Header CUSIP
zeroes) identify the issuer, while the last two characters SUBNO 0
identify the issue. CUSIP issuer identifiers are assigned
to maintain an approximately alphabetical sequence.
The CUSIP identifier may change for a security if its
name or capital structure changes. CUSIP, MOST RECENT
Category: Name History
No header or historical CUSIP is reused on our files.
Data Type: String
For securities no longer in existence or that were
never assigned an official CUSIP identifier, CRSP has Description: The most recently used 8 character
assigned a dummy CUSIP identifier for use in this CUSIP identifier for a security through the end of the
28 file. The Data Subtype Code for portfolio assignments and
statistics time series is set to the INDNO of the index
DATE RANGE AVAILABILITY
Daily
group with portfolio results for the market segment
19680102
Monthly 19680102
portfolio type.
DATABASE AVAILABILITY AND PRODUCT TYPES GENERAL INFORMATION
CHAPTER 2: Data Definitions

Database Formats CRSPAccess Primary Concepts Base CRSPAccess Data Structures, Time
Product Types STK Series Objects, Event Array Objects,
TS_PRINT/TSQUERY USAGE Header Objects

Daily ITEMID Data Type integer number

ncusip
Monthly ITEMID Unit of Item Code
mncusip
Header NCUSIPL DATE RANGE AVAILABILITY

SUBNO 2 Daily
Monthly

D. DATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess
DATA SECONDARY SUBTYPE CODE Product Types STK, IND
ts_print Daily Usage n/a
Data Secondary Subtype Code is an integer code
ts_print Monthly Usage n/a
further defining the Data Subtype Code of a CRSP
stk_print or ind_print Option(s) n/a
array object. It is set to zero if unused.
C USAGE
Stock and Index Data Description Guide

GENERAL INFORMATION Object CRSP_*

Primary Concepts Base CRSPAccess Data Structures, Array n/a
Event Array Objects
Element subtype
Data Type integer number
FORTRAN-95 USAGE
Unit of Item Code
Type or Subtype crsp_array or crsp_ts
DATE RANGE AVAILABILITY
Member and/or Array n/a
Daily
Element subtype
Monthly
DATABASE AVAILABILITY AND UTILITY
USAGE
DATE
Database Formats CRSPAccess
Product Types STK, IND
Category: Other
ts_print Daily Usage n/a Data Type: Double Precision Floating Point
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) n/a
Summary: Trading date in the CRSP output calendar
C USAGE
for the period. (Last trading day in week for weekly,
Object CRSP_ARRAY
month for monthly, and so on.)
Array n/a Extended Information: Calendar Trading Date
Element dummy contains the list of trading dates for a CRSP calendar.
FORTRAN-95 USAGE
Each date represents the last date in a calendar period,
Type or Subtype crsp_array
in YYYYMMDD (year, month, day) format. These dates
Member and/or Array n/a
begin in the first element of the array and continue to
Element dummy
the Number of Periods in Calendar. Calendar dates for
weekends and trading holidays are not included.
DATA SUBTYPE CODE DATE RANGE AVAILABILITY
Data Subtype Code is an integer code further defining Daily 1925

categories of data in a CRSP object that otherwise have Monthly 1925

the same structure, such as the difference between a DATABASE AVAILABILITY AND PRODUCT TYPES

return and price data item. It is set to zero if unused. Database Formats CRSPAccess
29
Product Types STK research.
TS_PRINT/TSQUERY USAGE
GENERAL INFORMATION
Daily ITEMID caldt
Primary Concepts Delisting History Array
Monthly ITEMID mcaldt
Data Type integer number
Header Caldt
Unit of Item Code
CHAPTER 2: Data Definitions

SUBNO 0
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATE - YYYYMMDD TRADING DATE (PARTIAL DATABASE AVAILABILITY AND UTILITY USAGE
PERIOD DATA) Database Formats CRSPAccess
Category: Other Product Types STK
ts_print Daily Usage n/a
Data Type: Double Precision Floating Point
ts_print Monthly Usage n/a
Description: Trading dates used with partial period stk_print Option(s) /de
data. C USAGE
Object delist_arr
DATE RANGE AVAILABILITY
Array delist[ ]
Daily 1925
Element dlstcd
Monthly 1925
FORTRAN-95 USAGE
DATABASE AVAILABILITY AND PRODUCT TYPES
Stock and Index Data Description Guide

Type or Subtype delist_arr

Database Formats CRSPAccess
Member and/or Array delist()
Product Types STK
Element dlstcd
TS_PRINT/TSQUERY USAGE
Daily ITEMID altdt
Monthly ITEMID maltdt DELISTING CODE - HEADER
Header Altdt Delisting Code - Header is the issue’s delisting status at
SUBNO 0
the end of the file. See Delisting Code for additional
information.
DELISTING CODE GENERAL INFORMATION

Delisting Code is a 3-digit integer code. It either (1) Primary Concepts Header Identification and Summary
Data
indicates that a security is still trading or (2) provides
Data Type integer number
a specific reason for delisting. All coded delistings are
Unit of Item Code
categorized by the first digit of the delisting code.
DATE RANGE AVAILABILITY
PRIMARY FIRST Daily 1925
DIGIT OF CODE CATEGORY Monthly 1925
1 still trading or halted but not yet delisted DATABASE AVAILABILITY AND UTILITY USAGE
2 merger Database Formats CRSPAccess
3 exchange Product Types STK
4 liquidation ts_print Daily Usage n/a
5 delisted by NYSE, NYSE MKT, NASDAQ or Arca ts_print Monthly Usage n/a
7 delisted by the Securities and Exchange Commission stk_print Option(s) /hh, /hn
8 trading simultaneously on more than one exchange
C USAGE
Object header_row
The second and third digits of the delisting codes
Array header
provide further detail of delisting events. Additional Element dlstcd
delisting codes, specific to various delisting categories, FORTRAN-95 USAGE
have been created to indicate when an issue is closed Type or Subtype stkhdr
to further research, or if the issue is pending further Member and/or Array n/a
30
Element dlstcd date is set to the date of the announcement. If the
DELISTING DATE security became worthless after delisting and there is
no evidence of any trading after delisting, then the
Delisting Date is an integer containing the date in
Delisting Date of Next Available Information is set to
YYYYMMDD format of a security’s last price on the
one trading day after the Delist Date, and the Delisting
current exchange. If the security is still active, Delisting
CHAPTER 2: Data Definitions

Price is set to zero.

Date is set to the last date of available price data.
Delisting date is never missing. GENERAL INFORMATION
Primary Concepts Delisting History Array
Monthly: Delisting Date is not necessarily a month-
Data Type integer number
end trading date and might not be included in the
Unit of Item YYYYMMDD date
Calendar Trading Date array of monthly time series. DATE RANGE AVAILABILITY
Daily 1925
GENERAL INFORMATION
Monthly 1925
Primary Concepts Delisting History Array
DATABASE AVAILABILITY AND UTILITY USAGE
Data Type integer number
Database Formats CRSPAccess
Unit of Item YYYYMMDD date
Product Types STK
DATE RANGE AVAILABILITY
ts_print Daily Usage n/a
Daily 1925
ts_print Monthly Usage n/a
Monthly 1925
stk_print Option(s) /de
Stock and Index Data Description Guide

DATABASE AVAILABILITY AND UTILITY USAGE

C USAGE
Database Formats CRSPAccess
Object delist_arr
Product Types STK
Array delist[ ]
ts_print Daily Usage n/a
Element nextdt
ts_print Monthly Usage n/a
FORTRAN-95 USAGE
stk_print Option(s) /de
Type or Subtype delist_arr
C USAGE
Member and/or Array delist()
Object delist_arr
Element nextdt
Array delist[ ]
Element dlstdt
FORTRAN-95 USAGE
Type or Subtype delist_arr DELISTING PAYMENT DATE
Member and/or Array delist()
Delisting Payment Date is the effective date (in
Element dlstdt
YYYYMMDD format) of the Amount After Delisting
value used in the Delisting Return calculations. If a
price is used for the Amount After Delisting, then the
DELISTING DATE OF NEXT AVAILABLE Delisting Payment Date is set to the Delisting Date of
INFORMATION Next Available Information. If distribution payments
Delisting Date of Next Available Information is the are used for the Amount After Delisting, then the
integer date (in YYYYMMDD format) of a security’s Delisting Payment Date is set to the Ex-Distribution
Delisting Price - the price or quote found after Date of the last known distribution payment. This date
delisting. This date is set to zero if the security is still is set to zero if the security is still active or if no price
active. It is also set to zero if the final value of the or payment information is available.
security is determined by one or more distributions or
if the value of the security is unknown after suspension Monthly: If no delisting information is found, and
of trading or after delisting. the security did not delist on the last trading day of
the month, then the Delisting Payment Date is set to
If a liquidation or merger was announced in advance, the Delisting Date and the Amount After Delisting is
and trading continued on the exchange, then this set to the last daily trading value found in the Price or
31 Bid/Ask Average. Daily 1925
Monthly 1925
GENERAL INFORMATION DATABASE AVAILABILITY AND UTILITY USAGE
Primary Concepts Delisting History Array Database Formats CRSPAccess
Data Type integer number Product Types STK
CHAPTER 2: Data Definitions

Unit of Item YYYYMMDD date ts_print Daily Usage n/a

DATE RANGE AVAILABILITY ts_print Monthly Usage n/a
Daily 1925 stk_print Option(s) /de
Monthly 1925 C USAGE
DATABASE AVAILABILITY AND UTILITY USAGE Object delist_arr
Database Formats CRSPAccess Array delist[ ]
Product Types STK Element dlprc
ts_print Daily Usage n/a FORTRAN-95 USAGE
ts_print Monthly Usage n/a Type or Subtype delist_arr
stk_print Option(s) /de Member and/or Array delist()
C USAGE Element dlprc
Object delist_arr
Array delist[ ]
Element dlpdt DELISTING RETURN
FORTRAN-95 USAGE Delisting Return is the return of a security after it has
Stock and Index Data Description Guide

Type or Subtype delist_arr delisted from NYSE, NYSE MKT, NASDAQ, or Arca.
Member and/or Array delist() The Delisting Return is calculated by comparing the
Element dlpdt
security’s Amount After Delisting with its price on the
last day of trading. The Amount After Delisting can
be either an off-exchange price, an off-exchange price
DELISTING PRICE quote, or the sum of a series of distribution payments.
The effective date of the delisting return is specified in
Delisting Price refers to a trade price or a price quote
the Delisting Payment Date.
(given as the average of bid and ask quotes) on another
exchange or over-the-counter. The date of this price
The return for any issue that has been closed to further
or quote is specified in the Delisting Date of Next
research is calculated as follows:
Available Information.
• If a price within 10 periods of the delist date is
If the Delisting Price is positive, then it is a trade price.
available, then the delisting return is calculated
If the Delisting Price is negative, then it is the average
using that price.
of bid and ask quotes. A Delisting Price is set to zero
if the security is still active, if there was no further • If a final distribution is available, then the delisting
trading for the security after the delist date, or if prices return is calculated using all known distribution
or price quotes are not available after the delist date. If information occurring after the date of last price.
delisting payments were made using distributions, the
Delisting Price is also set to zero, and the sum of the • If distributions occurring after the date of last
distribution payments is specified in the Amount After price are available, but no final distribution has
Delisting. been found, then the delisting return is calculated
as if a final distribution were found. (This applies
GENERAL INFORMATION only to issues closed to further research.)
Primary Concepts Delisting History Array
Data Type real number • If there is evidence that no distributions will
Unit of Item USD ever be paid to shareholders, then the stock is
DATE RANGE AVAILABILITY considered worthless. The delisting return is set to
32 -1 (i.e. a 100% loss). Element dlret
FORTRAN-95 USAGE
Type or Subtype delist_arr
• If there is evidence that the stock has been Member and/or Array delist()
declared worthless, then the delisting return is set Element dlret
CHAPTER 2: Data Definitions

to -1 (i.e. a 100% loss).

For any issue that is closed to further research and

none of the above criteria are met, the delisting return DELISTING RETURN WITHOUT DIVIDENDS
is given a missing return code. For any issue that is Delisting Return Without Dividends is the return of a
pending further research, the delisting return is given a security after it has delisted from NYSE, NYSE MKT,
missing return code of -55.0. NASDAQ, or Arca. Ordinary dividends that were paid
between the last trading date and the Date of Delisting
MISSING DELISTING RETURN CODES
Payment are not included in these return calculations.
CODE REASON FOR MISSING RETURN However,` the ordinary dividends are included in the
-55.0 CRSP has no sources to establish a value after delisting or is unable to Delisting Return calculations. See Delisting Return in
assign a value to one or more known distributions after delisting
the Calculations Section for calculation and missing
-66.0 more than 10 trading periods between a security’s last price and its
values.
first available price on a new exchange
-88.0 security is still active
GENERAL INFORMATION
Stock and Index Data Description Guide

-99.0 security trades on a new exchange after delisting, but CRSP currently
Primary Concepts Delisting History Array
has no sources to gather price information
Data Type real number
Unit of Item Ratio
Monthly: If Amount After Delisting is non-zero and
DATE RANGE AVAILABILITY
Delisting Payment Date is less than or equal to the
Daily 1925
Delisting Date, the Delisting Return represents a
Monthly 1925
partial-month return, not a Delisting Return. The
DATABASE AVAILABILITY AND UTILITY USAGE
partial-month returns compare the value on the last
Database Formats CRSPAccess
day of trading with the value on the last month-end Product Types STK
date and do not factor in additional after-delisting ts_print Daily Usage retx/0 when the DLRET option is
information. included in the FORMAT option
ts_print Monthly Usage mretx/0 when the DLRET option is
GENERAL INFORMATION included in the FORMAT option
Primary Concepts Delisting History Array stk_print Option(s) /de
Data Type real number C USAGE
Unit of Item Ratio Object delist_arr
DATE RANGE AVAILABILITY Array delist[ ]
Daily 1925 Element dlretx
Monthly 1925 FORTRAN-95 USAGE
DATABASE AVAILABILITY AND UTILITY USAGE Type or Subtype delist_arr
Database Formats CRSPAccess Member and/or Array delist()
Product Types STK Element dlretx
ts_print Daily Usage ret/0 when the DLRET option is included
in the FORMAT option
ts_print Monthly Usage mret/0 when the DLRET option is DISTRIBUTION CODE
included in the FORMAT option
CRSP describes company distributions and corporate
stk_print Option(s) /de
actions in the distribution history with a 4-digit code.
C USAGE
The first digit describes the type of distribution. The
Object delist_arr
second digit describes the payment method. The third
Array delist[ ]
33 digit augments the type denoted by the first digit. The Primary Concepts Distribution Event Array
fourth digit provides information regarding the tax Data Type integer number
status of the distribution for details. Unit of Item YYYYMMDD date
DATE RANGE AVAILABILITY
CRSP has not verified the tax status of ordinary cash Daily 1925
CHAPTER 2: Data Definitions

dividends since 1987. CRSP assigns the most common Monthly 1925
tax code, taxable as dividend, to ordinary dividends DATABASE AVAILABILITY AND UTILITY USAGE
to these issues. CRSP does verify the tax status of Database Formats CRSPAccess
stock distributions and distributions associated with Product Types STK
rights offerings, spin-offs, liquidations, mergers, ts_print Daily Usage n/a

reorganizations, and exchanges. ts_print Monthly Usage n/a

stk_print Option(s) /di
GENERAL INFORMATION C USAGE
Primary Concepts Distribution Event Array Object dists_arr
Data Type integer number Array dists[ ]
Unit of Item Code Element dclrdt
DATE RANGE AVAILABILITY FORTRAN-95 USAGE
Daily 1925 Type or Subtype dists_arr
Monthly 1925 Member and/or Array dists()
DATABASE AVAILABILITY AND UTILITY USAGE Element dclrdt
Stock and Index Data Description Guide

Database Formats CRSPAccess

Product Types STK
ts_print Daily Usage n/a
DIVIDEND AMOUNT IN PERIOD, ADJUSTED
ts_print Monthly Usage n/a Category: Dividends
stk_print Option(s) /di
Data Type: Floating Point
C USAGE
Object dists_arr Description: Ordinary and return-of-capital dividends,
Array dists[ ] adjusted using the Price adjustment factor.
Element distcd
DATE RANGE AVAILABILITY
FORTRAN-95 USAGE
Daily 1925
Type or Subtype dists_arr
Monthly 1925
Member and/or Array dists()
DATABASE AVAILABILITY AND PRODUCT TYPES
Element distcd
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE
DISTRIBUTION DECLARATION DATE
Daily ITEMID adjdiv
Distribution Declaration Date is the date (in
Monthly ITEMID madjdiv
YYYYMMDD format) on which the board of directors Header Adjdiv
declared a distribution. If a declaration cannot be SUBNO 0
found, then this date is set to zero.

If the distribution is associated with a merger tender

DIVIDEND AMOUNT IN PERIOD, BEGINNING
offer, then the Distribution Declaration Date is set
BASIS
to the announcement date of the tender offer. If the
distribution represents merger payments or merger Category: Dividends
terms, then this date is set to the announcement date
Data Type: Floating Point
of the payments or terms.

GENERAL INFORMATION
Description: Ordinary and return-of-capital dividends
during the period, adjusted to beginning of period
34 basis. TS_PRINT/TSQUERY USAGE
Daily ITEMID odivamt
DATE RANGE AVAILABILITY Monthly ITEMID modivamt
Daily 1925 Header Odivamt
Monthly 1925 SUBNO 0
CHAPTER 2: Data Definitions

DATABASE AVAILABILITY AND PRODUCT TYPES

Database Formats CRSPAccess DIVIDEND CASH AMOUNT
Product Types STK
Dividend Cash Amount is the US dollar value per
ts_print/TsQuery Usage
share of distributions resulting from cash dividends,
Daily ITEMID tdivamt
spin-offs, mergers, exchanges, reorganizations,
Monthly ITEMID mtdivamt
liquidations, and rights issues. Dividend Cash Amount
Header Tdivamt
includes the cash value of ordinary and non-ordinary
SUBNO 0
(return of capital) dividends. When the distribution is
paid in shares of a trading security, the Dividend Cash
Amount is set to the exchange ratio times the price of
DIVIDEND AMOUNT IN PERIOD, ORDINARY,
the security at the close of the Ex-Distribution Date.
ADJUSTED
Category: Dividends In a distribution where a limited percentage of shares
Data Type: Floating Point are accepted in exchange for cash, the Dividend Cash
Amount is set to the offer price, and the value must
Stock and Index Data Description Guide

Description: Ordinary cash dividends paid, adjusted be adjusted using the Factor to Adjust Price. These are
using the price adjustment factor. identified by a Distribution Code with the first digit 6
DATE RANGE AVAILABILITY and a Factor to Adjust Price between -1 and 0. Note:
Daily 1925 regular income dividends for ADRs use the gross.
Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES GENERAL INFORMATION

Database Formats CRSPAccess Primary Concepts Distribution Event Array

Product Types STK Data Type real number

Unit of Item USD
TS_PRINT/TSQUERY USAGE
Daily ITEMID DATE RANGE AVAILABILITY
adjodiv
Monthly ITEMID madjodiv Daily 1925

Header Adjodiv Monthly 1925

SUBNO 0 DATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess
Product Types STK
ts_print Daily Usage n/a
DIVIDEND AMOUNT IN PERIOD, ORDINARY,
ts_print Monthly Usage n/a
BEGINNING BASIS
stk_print Option(s) /di
Category: Dividends C USAGE

Data Type: Floating Point Object dists_arr

Array dists[ ]
Description: Ordinary cash dividends paid during the Element divamt
period, adjusted to beginning of period basis. FORTRAN-95 USAGE

DATE RANGE AVAILABILITY Type or Subtype dists_arr

Daily 1925 Member and/or Array dists()

Monthly 1925 Element divamt

DATABASE AVAILABILITY AND PRODUCT TYPES

Database Formats CRSPAccess
Product Types STK
35 E. C USAGE
Object header_row
END OF GROUP DATA Array header
End of Group Data is the last date group data is valid Element enddt

in YYYYMMDD format. FORTRAN-95 USAGE

CHAPTER 2: Data Definitions

Type or Subtype stkhdr

GENERAL INFORMATION
Member and/or Array n/a
Primary Concepts Header Identification and Summary
Element enddt
Data, Group Data
Data Type integer number
Unit of Item YYYYMMDD date
END OF VALID DATA
DATE RANGE AVAILABILITY
End of Valid Data is the index of the last calendar
Daily 1925
Monthly 1925
period with valid data for a security. If no data of
DATABASE AVAILABILITY AND UTILITY USAGE
this type are available, it is set to zero. The Calendar
Database Formats CRSPAccess
Trading Date at this index is the date of the last
Product Types STK calendar period with data of this type for this security.
ts_print Daily Usage n/a
GENERAL INFORMATION
ts_print Monthly Usage n/a
Primary Concepts Base CRSPAccess Data Structures, Time
stk_print Option(s) /gp
Series Objects
Stock and Index Data Description Guide

C USAGE
Data Type integer number
Object group_arr
Unit of Item Array index
Array group
DATE RANGE AVAILABILITY
Element grpenddt
Daily 1925
FORTRAN-95 USAGE
Monthly 1925
Type or Subtype group_arr()
DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array group(,)
Database Formats CRSPAccess
Element grpenddt
Product Types STK, IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
END OF STOCK DATA
stk_print or ind_print Option(s) /hr
End of Stock Data is the date that data ends for the
C USAGE
security, in YYYYMMDD format. It is the date of
Object CRSP_TIMESERIES
the last period in the time series arrays and is always Array n/a
greater than zero. Element end

GENERAL INFORMATION FORTRAN-95 USAGE

Primary Concepts Header Identification and Summary Type or Subtype crsp_ts

Data Member and/or Array n/a
Data Type integer number Element
Unit of Item YYYYMMDD date
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types STK
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) /hh , /hr , /hrl , /hn
36 ENTITY BEGIN DATE RANGE OR EVENT DATE convention, set equal to the trading day immediately
Category: Other after the date of the last price.

Data Type: Double Precision Floating Point Ex-Distribution Dates of liquidating payments after
Description: First period in a selected date range, or delistings are reported when available, and set to
CHAPTER 2: Data Definitions

event date for an entity. Record Date or Delisting Payment Date if unavailable.

DATE RANGE AVAILABILITY GENERAL INFORMATION

Daily 1925 Primary Concepts Distribution Event Array
Monthly 1925 Data Type integer number
DATABASE AVAILABILITY AND PRODUCT TYPES Unit of Item YYYYMMDD date
Database Formats CRSPAccess DATE RANGE AVAILABILITY
Product Types STK Daily 1925
TS_PRINT/TSQUERY USAGE Monthly 1925
Daily ITEMID date1 DATABASE AVAILABILITY AND UTILITY USAGE
Monthly ITEMID mdate1 Database Formats CRSPAccess
Header Date1 Product Types STK
SUBNO 0 ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /di
Stock and Index Data Description Guide

ENTITY END DATE RANGE C USAGE

Object dists_arr
Category: Other
Array dists[ ]
Data Type: Double Precision Floating Point Element exdt

Description: Last date in a selected date range for an FORTRAN-95 USAGE

entity. Type or Subtype dists_arr

Member and/or Array dists()
DATE RANGE AVAILABILITY
Element exdt
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES EXCESS RETURNS ON INCOME VS.
Database Formats CRSPAccess ASSOCIATED PORTFOLIOS
Product Types STK
Category: Returns Related to a Portfolio Type
TS_PRINT/TSQUERY USAGE
Daily ITEMID date2 Data Type: Floating Point
Monthly ITEMID mdate2 Description: Difference between a security’s return on
Header Date2 income and the return on income of a portfolio that a
SUBNO 0
user selects to be associated with the security.
DATE RANGE AVAILABILITY
Daily 1925
EX-DISTRIBUTION DATE Monthly 1925
Ex-Distribution Date is the ex-dividend or ex- DATABASE AVAILABILITY AND PRODUCT TYPES

distribution date. It is the date on which the Database Formats CRSPAccess

security is first traded without the right to receive Product Types STK

the distribution. This date is coded as an integer in TS_PRINT/TSQUERY USAGE

YYYYMMDD format and is always a daily trading date. Daily ITEMID portxsiret
Monthly ITEMID mportxsiret
For distributions in a merger or exchange where the Header Portxsiret

company disappeared, the Ex-Distribution Date is, by SUBNO PORTID

37 EXCESS RETURNS ON INCOME VS. EXCESS RETURNS ON INCOME VS. INDEX
ASSOCIATED PORTFOLIOS, CUMULATIVE SERIES, CUMULATIVE
Category: Returns Related to a Portfolio Type Category: Returns Related to an Index
Data Type: Floating Point Data Type: Floating Point
CHAPTER 2: Data Definitions

Description: Compounded difference between a Description: Compounded difference between a

security’s return on income and the return on income security’s return on income and the return on income
of a portfolio that a user selects to be associated with of an index that a user selects to be associated with
the security. Each period in the time series contains a the security. Each period in the time series contains a
cumulative return since the beginning period. cumulative return since the beginning period.
DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
Product Types STK Product Types STK
TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID cumxspiret Daily ITEMID cumxsiret
Monthly ITEMID mcumxspiret Monthly ITEMID mcumxsiret
Stock and Index Data Description Guide

Header Cumxspiret Header Cumxsiret

SUBNO PORTID SUBNO INDNO

EXCESS RETURNS ON INCOME VS. INDEX EXCESS RETURNS VS. ASSOCIATED

SERIES PORTFOLIOS
Category: Returns Related to an Index Category: Returns Related to a Portfolio Type
Data Type: Floating Point Data Type: Floating Point
Description: Difference between a security’s return on Description: Difference between a security’s total
income and the return on income of an index that a return and the total return of a portfolio that a user
user selects to be associated with the security. selects to be associated with the security.
DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
Product Types STK Product Types STK
TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID xsiret Daily ITEMID portxstret
Monthly ITEMID mxsiret Monthly ITEMID mportxstret
Header Xsiret Header Portxstret
SUBNO INDNO SUBNO PORTID
38 EXCESS RETURNS VS. ASSOCIATED that a user selects to be associated with the security.
PORTFOLIOS, CUMULATIVE Each period in the time series contains a cumulative
Category: Returns Related to a Portfolio Type return since the beginning period.

Data Type: Floating Point DATE RANGE AVAILABILITY

Daily 1925
CHAPTER 2: Data Definitions

Description: Compounded difference between a Monthly 1925

security’s total return and the total return of a portfolio DATABASE AVAILABILITY AND PRODUCT TYPES
that a user selects to be associated with the security. Database Formats CRSPAccess
Each period in the time series contains a cumulative Product Types STK
return since the beginning period. TS_PRINT/TSQUERY USAGE

DATE RANGE AVAILABILITY Daily ITEMID cumxstret

Monthly ITEMID mcumxstret
Daily 1925
Header Cumxstret
Monthly 1925
SUBNO INDNO
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
EXCESS RETURNS WITHOUT DIVIDENDS VS.
Product Types STK
ASSOCIATED PORTFOLIOS
TS_PRINT/TSQUERY USAGE
Daily ITEMID cumxsptret Category: Returns Related to a Portfolio Type
Monthly ITEMID mcumxsptret
Data Type: Floating Point
Stock and Index Data Description Guide

Header Cumxsptret
SUBNO PORTID Description: Difference between a security’s capital
appreciation and the capital appreciation of a portfolio
EXCESS RETURNS VS. INDEX SERIES a user selects to be associated with the security.
Category: Returns Related to an Index DATE RANGE AVAILABILITY
Daily 1925
Data Type: Floating Point
Monthly 1925
Description: Difference between a security’s total DATABASE AVAILABILITY AND PRODUCT TYPES
return and the total return of an index that a user Database Formats CRSPAccess
selects to be associated with the security. Product Types STK

DATE RANGE AVAILABILITY TS_PRINT/TSQUERY USAGE

Daily 1925 Daily ITEMID portxsaret

Monthly 1925 Monthly ITEMID mportxsaret

DATABASE AVAILABILITY AND PRODUCT TYPES Header Portxsaret

SUBNO PORTID
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID xstret
EXCESS RETURNS WITHOUT DIVIDENDS VS.
Monthly ITEMID mxstret
ASSOCIATED PORTFOLIOS, CUMULATIVE
Header Xstret
SUBNO INDNO
Category: Returns Related to a Portfolio Type
EXCESS RETURNS VS. INDEX SERIES, Data Type: Floating Point
CUMULATIVE Description: Compounded difference between
Category: Returns Related to an Index a security’s capital appreciation and the capital
Data Type: Floating Point appreciation of a portfolio that a user selects to be
associated with the security. Each period in the time
Description: Compounded difference between a series contains a cumulative return since the beginning
security’s total return and the total return of an index period.
 DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
39
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Product Types STK Product Types STK

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID cumxsparet Daily ITEMID cumxsaret
Monthly ITEMID mcumxsparet Monthly ITEMID mcumxsaret
Header Cumxsparet Header Cumxsaret
SUBNO PORTID SUBNO INDNO

EXCESS RETURNS WITHOUT DIVIDENDS VS. EXCHANGE CODE, END OF PERIOD

INDEX SERIES Category: Name History
Category: Returns Related to an Index
Data Type: Double Precision Floating Point
Data Type: Floating Point
Description: Integer code(s) indicating the exchange(s)
Description: Difference between a security’s capital on which the security is listed at the end of the period
Stock and Index Data Description Guide

appreciation and the capital appreciation of an index a reported.

user selects to be associated with the security.
Extended Information
DATE RANGE AVAILABILITY
Exchange Codes are respectively 1, 2, 3 and 4 for
Daily 1925
NYSE, NYSE MKT, NASDAQ, and Arca. An
Monthly 1925
Exchange Code of zero indicates that a security
DATABASE AVAILABILITY AND PRODUCT TYPES
is either trading on an unknown exchange, or is
Database Formats CRSPAccess
temporarily not trading at all. Adding 30 to the normal
Product Types STK
Exchange Codes (31, 32, 33 and 34) identifies when-
TS_PRINT/TSQUERY USAGE
issued trading, such as during a reorganization. The
Daily ITEMID xsaret
Monthly ITEMID mxsaret
following table contains a list of most of the Exchange
Header Xsaret
Codes in the name history array.
SUBNO INDNO

CODE EXCHANGE NAME

-2 Halted by Primary Listing Exchange
EXCESS RETURNS WITHOUT DIVIDENDS VS. -1 Suspended by Primary Listing Exchange
INDEX SERIES, CUMULATIVE 0 Not Trading on Primary Listing Exchange
1 NYSE
Category: Returns Related to an Index
2 NYSE MKT
Data Type: Floating Point 3 NASDAQ

Description: Compounded difference between 4 Arca

5 BZX Exchange
a security’s capital appreciation and the capital
6 Investors Exchange (IEX)
appreciation of an index that a user selects to be
10 Boston Stock Exchange
associated with the security. Each period in the time
13 Chicago Stock Exchange
series contains a cumulative return since the beginning
16 Pacific Stock Exchange
period.
17 Philadelphia Stock Exchange
20 Over-The-Counter (Non-NASDAQ Dealer Quotations)
 CODE EXCHANGE NAME Daily 1925
40
31 When-Issued Trading on NYSE Monthly 1925
32 When-Issued Trading on NYSE MKT DATABASE AVAILABILITY AND PRODUCT TYPES
33 When-Issued Trading on NASDAQ Database Formats CRSPAccess
Product Types STK
CHAPTER 2: Data Definitions

TS_PRINT/TSQUERY USAGE
DATE RANGE AVAILABILITY Daily ITEMID exchcd
Daily 1925 Monthly ITEMID mexchcd
Monthly 1925 Header EXL
DATABASE AVAILABILITY AND PRODUCT TYPES SUBNO 2
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE EXCHANGE CODE - HEADER
Daily ITEMID exchcd
Exchange Code - Header displays the Exchange Code
Monthly ITEMID mexchcd
on which a security was last listed. Valid Exchange
Header EX
Code - Header values are 1, 2, 3, 4 or 5, which
SUBNO 0
correspond to the NYSE, NYSE MKT, NASDAQ, Arca
and Bats respectively. Other Exchange Codes are not
included in the Exchange Code - Header field.
Stock and Index Data Description Guide

EXCHANGE CODE, END OF PREVIOUS

PERIOD GENERAL INFORMATION
Primary Concepts Header Identification and Summary
Category: Name History
Data
Data Type: Double Precision Floating Point Data Type integer number
Unit of Item Code
Description: Integer code(s) indicating the exchange(s)
DATE RANGE AVAILABILITY
on which the security is listed at the end of the period
Daily 1925
preceding the period reported.
Monthly 1925
DATE RANGE AVAILABILITY DATABASE AVAILABILITY AND UTILITY USAGE
Daily 1925 Database Formats CRSPAccess
Monthly 1925 Product Types STK
DATABASE AVAILABILITY AND PRODUCT TYPES ts_print Daily Usage
Database Formats CRSPAccess ts_print Monthly Usage n/a
Product Types STK stk_print or ind_print Option(s) n/a
TS_PRINT/TSQUERY USAGE C USAGE
Daily ITEMID exchcd Object header_row
Monthly ITEMID mexchcd Array header
Header EXE Element hexcd
SUBNO 1 FORTRAN-95 USAGE
Type or Subtype stkhdr
EXCHANGE CODE, MOST RECENT Member and/or Array n/a
Category: Name History Element hexcd

Data Type: Double Precision Floating Point

Description: The most recently known integer code(s)
indicating the exchange(s) on which the security is
listed.
DATE RANGE AVAILABILITY
41 F. Therefore, unless it happens to be a month-end, the
price is not available in our monthly file.
FACTOR TO ADJUST PRICE IN PERIOD
Other cases where Factor to Adjust Price may not
Category: Dividends
be equal to factor to adjust shares are issuances and
Data Type: Floating Point limited tender offers. For issuances, Factor to Adjust
CHAPTER 2: Data Definitions

Price is set to zero. For limited tender offers where

Description: Factor from a base date used to
a limited set percentage of shares are accepted in
adjust prices after distributions so that equivalent
exchange for cash, Factor to Adjust Price is set to the
comparisons can be made between prices before and
ratio of shares accepted multiplied by -1.
after the distribution.
DATE RANGE AVAILABILITY
Extended Information
Daily 1925
Factor to Adjust Price equals Factor to Adjust Shares Monthly 1925
Outstanding for most distribution events. There are DATABASE AVAILABILITY AND PRODUCT TYPES
three types of distributions where this is the case: Database Formats CRSPAccess
Product Types STK
1. For ordinary cash dividends or partial liquidating
TS_PRINT/TSQUERY USAGE
payments, Factor to Adjust Price is set to zero.
Daily ITEMID facprc
2. For cases of mergers, total liquidations, or Monthly ITEMID mfacprc
exchanges where all shares were exchanged, a Header Facprc
Stock and Index Data Description Guide

final liquidation payment was announced, or the SUBNO 0

security disappeared, Factor to Adjust Price is set
to negative one by convention.
3. For stock dividends and splits, Factor to Adjust FACTOR TO ADJUST SHARES OUTSTANDING
Price is the number of additional shares per old Factor to Adjust Shares Outstanding is an adjustment
share issued: to Shares Outstanding observations due to a
distribution event. It is the number of additional
facpr = (s(t) - s(t’))/s(t’) = (s(t)/s(t’)) - 1 shares outstanding expected after the Ex-Distribution
Date of the distribution event relative to the
where s(t) is the number of shares outstanding, t is last known observation. Factor to Adjust Shares
a date after or on the Ex-Distribution Date for the Outstanding equals Factor to Adjust Price for most
split, and t’ is a date before the split. In a reverse distribution events. There are five types of distributions
split, Factor To Adjust Price will be between -1 and where this is the case. See Factor to Adjust Price in
0. Period above for these cases and how they are handled.
In other less common distribution events, spin-offs,
non-total or non-final liquidating distributions, and For spin-offs, Factor to Adjust Shares Outstanding is
rights, Factor to Adjust Price is not equal to Factor to set to zero. For rights issues, Factor to Adjust Shares
Adjust Shares Outstanding. Factor to Adjust Price is Outstanding is calculated based on all shareholders
defined as the Dividend Cash Amount divided by the exercising the rights on the Ex-Distribution Date.
stock price on the Ex-Distribution Date, (P(t)): If it is set to 0, this distribution leaves the actual
shares outstanding adjustment to this right to shares
facpr = DIVAMT/P(t) observations in the quarterly reports. For issuances
and offers, if it is nonzero, then it is calculated in the
If there is no available price on the Ex-Distribution same manner as for stock splits.
Date, and there is a price within ten periods after
(P(t)), CRSP substitutes that price for (P(t)).

Note that P(t) is the price on the Ex-Distribution Date.

42
GENERAL INFORMATION G.
Primary Concepts Distribution Event Array, Calculations
Data Type real number GROUP FLAG OF ASSOCIATED INDEX, END
Unit of Item Conversion Factor OF PERIOD
DATE RANGE AVAILABILITY Category: Other
CHAPTER 2: Data Definitions

Daily 1925
Data Type: Double Precision Floating Point
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE Description: Code identifying a group to which a
Database Formats CRSPAccess security belongs. Currently, S&P 500 group flag 16 is
Product Types STK the only active group. If the security belongs to the
ts_print Daily Usage n/a selected group type, the Group Flag of Associated
ts_print Monthly Usage n/a Index will contains a one (1). If it does not belong to
stk_print or ind_print Option(s) /di the group, or is not valid according to the group rules,
C USAGE the field contains a zero (0).
Object dists_arr
DATE RANGE AVAILABILITY
Array dists[ ]
Daily 1925
Element facshr
Monthly 1925
FORTRAN-95 USAGE
DATABASE AVAILABILITY AND PRODUCT TYPES
Type or Subtype dists_arr
Database Formats CRSPAccess
Member and/or Array dists( )
Stock and Index Data Description Guide

Product Types STK

Element facshr
TS_PRINT/TSQUERY USAGE
Daily ITEMID grpflg
FIRST DATE INCLUDED IN LIST Monthly ITEMID mgrpflg
Header SPInd
First Date Included in List is the date, in YYYYMMDD
SUBNO 16
format, of the first date an issue is included in a
portfolio defined as a selected list of securities.
GENERAL INFORMATION GROUP FLAG OF ASSOCIATED INDEX, END
Primary Concepts Index List History Array OF PREVIOUS PERIOD
Data Type integer number Category: Other
Unit of Item YYYYMMDD date
DATE RANGE AVAILABILITY
Data Type: Double Precision Floating Point
Daily 1925 Description: Code identifying a group to which a
Monthly 1925 security belongs, in the period preceding the period
DATABASE AVAILABILITY AND UTILITY USAGE reported. Currently, S&P 500 group flag 16 is the only
Database Formats CRSPAccess active group.
Product Types IND
DATE RANGE AVAILABILITY
ts_print Daily Usage n/a
Daily 1925
ts_print Monthly Usage n/a
Monthly 1925
ind_print Option(s) n/a
DATABASE AVAILABILITY AND PRODUCT TYPES
C USAGE
Database Formats CRSPAccess
Object list_arr[ ]
Product Types STK
Array list[ ][ ]
Element TS_PRINT/TSQUERY USAGE
begdt
Daily ITEMID egrpflg
FORTRAN-95 USAGE
Monthly ITEMID megrpflg
Type or Subtype list_arr
Header ESPInd
Member and/or Array list(,)
SUBNO 16
Element begdt
43 GROUP FLAG OF ASSOCIATED INDEX, LAST HOLDING PERIOD TOTAL RETURN
FLAG, ALL PERIODS A return is the change in the total value of an
Category: Other investment in the security over some period of time
per dollar of initial investment. Holding Period Total
Data Type: Double Precision Floating Point
Return is the return for a sale on the given day. It is
CHAPTER 2: Data Definitions

Description: Last known code identifying a group to based on a purchase on the most recent time previous
which a security belongs. Currently, S&P 500 group to this day when the security had a valid price. Usually,
flag 16 is the only active group. this time is the previous calendar period. See “Returns”
DATE RANGE AVAILABILITY in the Calculations section.
Daily 1925 Daily: In daily databases, dividends are reinvested on
Monthly 1925
the Ex-Distribution Date.
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Monthly: In monthly databases, returns are holding
Product Types STK period returns from month-end to month-end, not
TS_PRINT/TSQUERY USAGE compounded from daily returns, and ordinary
Daily ITEMID lgrpflg dividends are reinvested at month-end.
Monthly ITEMID mlgrpflg A series of special missing return codes specify the
Header LSPInd
reason a return is missing.
SUBNO 16
Stock and Index Data Description Guide

CODE REASON FOR MISSING RETURN

H. -66.0 Valid current price but no valid previous price. Either first price, unknown
exchange between current and previous price, or more than 10 periods
between time t and the time of the preceding price t’.
HIGHEST CLOSE
-77.0 Not trading on the current exchange at time t.
Category: Prices -88.0 No data available to calculate returns.
Data Type: Floating Point -99.0 Missing return due to missing price at time t; usually due to suspension
in trading or trading on unknown exchange.
Description: Daily — Highest daily closing price within
the selected output calendar. GENERAL INFORMATION
Primary Concepts Price, Volume, and Return Time Series
Monthly — Highest month end closing price within the
Arrays
selected calendar. Appropriate to use with quarterly Data Type real number
and annual output calendars. Unit of Item Ratio

DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY

Daily 1925 Daily 1925

Monthly 1925 Monthly 1925

DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess Database Formats CRSPAccess

Product Types STK Product Types STK

TS_PRINT/TSQUERY USAGE ts_print Daily Usage ret/0

Daily ITEMID high ts_print Monthly Usage mret/0

Monthly ITEMID mhigh ind_print Option(s) /pr, /dd, /dr, /dx

Header High C USAGE

SUBNO 0 Object ret_ts

Array ret[ ]
Element
FORTRAN-95 USAGE
Type or Subtype ret_ts
Member and/or Array ret( )
Element
44 I. Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
INDEX BASIC ASSIGNMENT TYPES CODE
Database Formats CRSPAccess
Index Basic Assignment Types Code is an integer code Product Types IND
of basic assignment types for fractile or rule-based ts_print Daily Usage n/a
indexes. The following codes are currently used.
CHAPTER 2: Data Definitions

ts_print Monthly Usage n/a

CODE DESCRIPTION ind_print Option(s) /hr

0 Unknown or not applicable C USAGE

1 Annual rebalancing Object indhdr_row

2 Quarterly rebalancing Array indhdr

3 Monthly rebalancing Element flags.flagcode

FORTRAN-95 USAGE
GENERAL INFORMATION
Type or Subtype indhdr
Primary Concepts Index Header
Member and/or Array flags
Data Type integer number
Element flagcode
Unit of Item Code
DATE RANGE AVAILABILITY
Daily 1925 INDEX BASIC RULE TYPES CODE
Monthly 1925
Index Basic Rule Types Code is an integer code of
DATABASE AVAILABILITY AND UTILITY USAGE
basic portfolio methodology rule types used in building
Stock and Index Data Description Guide

Database Formats CRSPAccess

indexes. The following codes are currently used:
Product Types IND
ts_print Daily Usage n/a CODE DESCRIPTION

ts_print Monthly Usage n/a 0 Unknown or not applicable

ind_print Option(s) /hr 1 Group by previous period end issue capitalization

C USAGE 2 Group by previous period end company capitalization

Object indhdr_row 3 Group by Scholes-Williams beta over previous year

Array indhdr 4 Group by standard deviation over previous year

Element assign.assigncode GENERAL INFORMATION

FORTRAN-95 USAGE Primary Concepts Index Header
Type or Subtype indhdr Data Type integer number
Member and/or Array assign Unit of Item Code
Element assigncode DATE RANGE AVAILABILITY
Daily 1925
INDEX BASIC EXCEPTION TYPES CODE Monthly 1925
Index Basic Exception Types Code is an integer code DATABASE AVAILABILITY AND UTILITY USAGE
of the basic exception characteristics used in building Database Formats CRSPAccess
an index. The following codes are currently used: Product Types IND
ts_print Daily Usage n/a
CODE DESCRIPTION
ts_print Monthly Usage n/a
0 Unknown or not available
ind_print Option(s) /hr
1 CRSP market index flags
C USAGE
2 Cap-Based index flags
Object indhdr_row
3 CRSP market index trade-only prices flags
Array indhdr
GENERAL INFORMATION Element rules.rulecode
Primary Concepts Index Header FORTRAN-95 USAGE
Data Type integer number Type or Subtype indhdr
Unit of Item Code Member and/or Array rules
DATE RANGE AVAILABILITY Element rulecode
Daily 1925
45 INDEX CAPITAL APPRECIATION RETURN Header TCnt

Index Capital Appreciation Return is the return, SUBNO 0

excluding ordinary dividends, of an index. See

INDEX COUNT USED
“Index Returns” in the Calculations Section for
details on how CRSP index returns are calculated. If Category: Other
CHAPTER 2: Data Definitions

CRSP includes a public index such as the S&P 500 Data Type: Double Precision Floating Point
Composite or the NASDAQ Composite, Index Capital
Appreciation Return is derived from data provided by Description: Number of issues used to create a specific
the creator of the index. index or portfolio during one calendar period. A
security must be a member of the index or portfolio
GENERAL INFORMATION with valid prices for both the current and the previous
Primary Concepts Index Time Series trading periods to be included in the count. See the
Data Type real number Index Methodologies section for information including
Unit of Item Ratio rebalancing frequency and universe inclusion for
DATE RANGE AVAILABILITY specific indexes.
Daily 1925
Monthly 1925
DATE RANGE AVAILABILITY
DATABASE AVAILABILITY AND UTILITY USAGE
Daily 1925
Database Formats CRSPAccess
Monthly 1925
Stock and Index Data Description Guide

Product Types IND

DATABASE AVAILABILITY AND PRODUCT TYPES
ts_print Daily Usage retx/0
Database Formats CRSPAccess
ts_print Monthly Usage mretx/0
Product Types STK
ind_print Option(s) /ar
TS_PRINT/TSQUERY USAGE
C Usage Object aret_ts[ ] Daily ITEMID cnt
Array aret[ ][ ] Monthly ITEMID mcnt
Element n/a Header Cnt
FORTRAN-95 USAGE SUBNO 0
Type or Subtype aret_ts
Member and/or Array aret(, )
Element n/a
INDEX EXCEPTION HANDLING FLAGS
Index Exception Handling Flags is a group of fields
describing how an index supports exceptions in the
INDEX COUNT TOTAL
data, such as new and delisted issues and missing data.
Category: Other The flags contain the following fields: Index Basic
Data Type: Double Precision Floating Point Exception Type Code, Index New Issues Flag, Index
Ineligible Issues Flag, Return of Delisted Issues Flag,
Description: Total number of securities in an index
and Index Missing Data Flag.
universe with a valid price on the selected trading date.
GENERAL INFORMATION
DATE RANGE AVAILABILITY
Primary Concepts Index Header
Daily 1925
Data Type structure
Monthly 1925
Unit of Item Set (exception codes/flags)
DATABASE AVAILABILITY AND PRODUCT TYPES
DATE RANGE AVAILABILITY
Database Formats CRSPAccess
Daily 1925
Product Types STK
Monthly 1925
TS_PRINT/TSQUERY USAGE
DATABASE AVAILABILITY AND UTILITY USAGE
Daily ITEMID tcnt
Database Formats CRSPAccess
Monthly ITEMID mtcnt
46
Product Types IND following codes are currently used.
ts_print Daily Usage n/a
CODE DESCRIPTION
ts_print Monthly Usage n/a
0 Unknown or not applicable
ind_print Option(s) /hr
1 Capitalization at end of previous period
C USAGE
2 Scholes-Williams beta over previous year
CHAPTER 2: Data Definitions

Object indhdr_row
3 Standard deviation over previous year
Array indhdr
Element flags
GENERAL INFORMATION
FORTRAN-95 USAGE
Primary Concepts Index Header
Type or Subtype indhdr
Data Type integer number
Member and/or Array flags
Unit of Item Code
Element n/a
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
INDEX FUNCTION CODE FOR BUY RULES DATABASE AVAILABILITY AND UTILITY USAGE

Index Function Code for Buy Rules is a code defining Database Formats CRSPAccess
Product Types IND
a function used to determine whether an issue is added
ts_print Daily Usage n/a
to a portfolio during rebalancing. This variable is not
ts_print Monthly Usage n/a
yet available, and is always set to 0.
Stock and Index Data Description Guide

ind_print Option(s) /hr

GENERAL INFORMATION C USAGE
Primary Concepts Index Header, Index Rebalancing History Object indhdr_row
Arrays
Array indhdr
Data Type integer number
Element rules.statfnct
Unit of Item Code
FORTRAN-95 USAGE
DATE RANGE AVAILABILITY
Type or Subtype indhdr
Daily 1925
Member and/or Array rules
Monthly 1925
Element statfnct
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
INDEX FUNCTION CODE FOR SELL RULES
ts_print Monthly Usage n/a
ind_print Option(s) /hr
Index Function Code for Sell Rules is a code defining
C USAGE
a function used to determine whether to sell current
Object indhdr_row
issues in a portfolio at a rebalancing period. This is not
Array indhdr yet available, and is always set to 0.
Element rules.buyfnct GENERAL INFORMATION
FORTRAN-95 USAGE Primary Concepts Index Header
Type or Subtype indhdr Data Type integer number
Member and/or Array rules Unit of Item Code
Element buyfnct DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
INDEX FUNCTION CODE FOR GENERATING
DATABASE AVAILABILITY AND UTILITY USAGE
STATISTICS
Database Formats CRSPAccess
Index Function Code for Generating Statistics is a Product Types IND
code defining a function used to generate a statistic to ts_print Daily Usage n/a
be used in determining inclusion in a portfolio. The ts_print Monthly Usage n/a
 ind_print Option(s) /hr Unit of Item Ratio
47
C USAGE DATE RANGE AVAILABILITY
Object indhdr_row Daily 1925
Array indhdr Monthly 1925
Element rules.sellfnct DATABASE AVAILABILITY AND UTILITY USAGE
CHAPTER 2: Data Definitions

FORTRAN-95 USAGE Database Formats CRSPAccess

Type or Subtype indhdr Product Types IND
Member and/or Array rules ts_print Daily Usage reti
Element sellfnct ts_print Monthly Usage mreti
ind_print Option(s) /ir
C USAGE
INDEX GROUP NAME Object iret_ts[ ]
Index Group Name is the name of the index group Array iret[ ][ ]
to which an index belongs. All indexes with the same Element n/a
Permanent Index Group Identification Number have FORTRAN-95 USAGE

the same Index Group Name. Type or Subtype iret_ts

Member and/or Array iret(,)
GENERAL INFORMATION
Element n/a
Primary Concepts Index Header
Data Type character
Stock and Index Data Description Guide

Unit of Item Id INDEX INELIGIBLE ISSUES FLAG

DATE RANGE AVAILABILITY
Index Ineligible Issues Flag is a code describing how
Daily 1925
issues that become ineligible for an index are handled
Monthly 1925
in the index. The following codes are used:
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess CODE DESCRIPTION
Product Types IND 0 Unknown or not available
ts_print Daily Usage n/a 1 Issues becoming ineligible are held until the next time period.
ts_print Monthly Usage n/a
ind_print Option(s) /hh , /hr GENERAL INFORMATION
C USAGE Primary Concepts Index Header
Object indhdr_row Data Type integer number
Array indhdr Unit of Item Code
Element groupname DATE RANGE AVAILABILITY
FORTRAN-95 USAGE Daily 1925
Type or Subtype indhdr Monthly 1925
Member and/or Array n/a DATABASE AVAILABILITY AND UTILITY USAGE
Element groupname Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
INDEX INCOME RETURN
ts_print Monthly Usage n/a
Index Income Return is the ordinary dividend return ind_print Option(s) /hr
of an index. See “Index Returns” in the Calculations C USAGE
section for details on how CRSP index returns are Object indhdr_row
calculated. Index Capital Appreciation Return is Array indhdr
available for CRSP-generated indexes. Element flags.delflag
FORTRAN-95 USAGE
GENERAL INFORMATION
Type or Subtype indhdr
Primary Concepts Index Time Series
Member and/or Array flags
Data Type real number
Element delflag
48 INDEX LEVEL OF RETURNS INDEX LEVEL OF RETURNS WITHOUT
Category: Index Levels DIVIDENDS
Category: Index Levels
Data Type: Floating Point
Data Type: Floating Point
Description: Value of an index, including all
CHAPTER 2: Data Definitions

distributions, relative to its value at one fixed point in Description: Value of an index, excluding ordinary
time. dividends, relative to its value at one fixed point in
time.
DATE RANGE AVAILABILITY
Daily 1925 DATE RANGE AVAILABILITY
Monthly 1925 Daily 1925
DATABASE AVAILABILITY AND PRODUCT TYPES Monthly 1925
Database Formats CRSPAccess DATABASE AVAILABILITY AND PRODUCT TYPES
Product Types STK Database Formats CRSPAccess
TS_PRINT/TSQUERY USAGE Product Types STK
Daily ITEMID tlvl TS_PRINT/TSQUERY USAGE
Monthly ITEMID mtlvl Daily ITEMID alvl
Header TLvl Monthly ITEMID malvl
SUBNO 0 Header ALvl
SUBNO 0
Stock and Index Data Description Guide

INDEX LEVEL OF RETURNS ON INCOME

Category: Index Levels INDEX LEVEL OF TOTAL RETURNS
Index Total Return Index Level is the value of an
Data Type: Floating Point
index, including all distributions, relative to its value
Description: Ordinary dividend value of an index, at one fixed point in time. See “Index Levels” in the
relative to its value at one fixed point in time. Calculations section for details on how CRSP index
DATE RANGE AVAILABILITY levels are calculated. Index Total Return Index Level
Daily 1925 is only available for CRSP-generated indexes. Index
Monthly 1925 levels for the CRSP Stock File Indexes and the CRSP
DATABASE AVAILABILITY AND PRODUCT TYPES CTI Indexes are set to an initial value of 100.00 on
Database Formats CRSPAccess 19721229. Index levels for the Cap-Based Portfolios are
Product Types STK set to 1.00 on 19251231.
TS_PRINT/TSQUERY USAGE
GENERAL INFORMATION
Daily ITEMID ilvl
Primary Concepts Index Time Series
Monthly ITEMID milvl
Data Type real number
Header ILvl
Unit of Item Ratio
SUBNO 0
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage tind
ts_print Monthly Usage mtind
ind_print Option(s) /ti
C USAGE
Object tind_ts[ ]
49
Array tind[ ][ ] INDEX METHODOLOGY DESCRIPTION
Element n/a STRUCTURE
FORTRAN-95 USAGE
Type or Subtype tind_ts Index Methodology Description Structure contains
Member and/or Array tind(,) fields describing the rules used to build the index.
CHAPTER 2: Data Definitions

Element n/a These fields contain information on primary and

secondary methodologies and rules for weighting
securities within the index. The fields are Index Method
INDEX METHOD TYPE CODE
Type Code, Index Primary Methodology Type, Index
Index Method Type Code is an integer code indicating Secondary Methodology Group, Index Reweighting
the basic methodology for an index. It represents Type Flag, and Index Reweighting Timing Flag.
the combination of Index Primary Methodology
Type, Index Secondary Methodology Group, Index GENERAL INFORMATION

Reweighting Type Flag, and Index Reweighting Timing Primary Concepts Index Header
Flag characteristics. Current codes are: Data Type structure
Unit of Item Set (methodology)
CODE DESCRIPTION
DATE RANGE AVAILABILITY
1 CRSP Cap-Based Portfolios
Daily 1925
3 CRSP Risk-Based Decile Indexes
Monthly 1925
4 CRSP Value-Weighted Market Indexes
DATABASE AVAILABILITY AND UTILITY USAGE
5 CRSP Equal-Weighted Market Indexes
Stock and Index Data Description Guide

Database Formats CRSPAccess

6 CRSP Capitalization Decile Market Indexes
Product Types IND
7 S&P 500 Composite
ts_print Daily Usage n/a
8 CRSP Value-Weighted Index on the S&P 500 Universe
ts_print Monthly Usage n/a
9 CRSP Equal-Weighted Index on the S&P 500 Universe
ind_print Option(s) /hr
10 NASDAQ Composite
C USAGE
12 CRSP Fixed Term Bond Returns
Object indhdr_row
13 CRSP Fixed Term Bill Returns
Array indhdr
14 Provided by External Source
Element method

GENERAL INFORMATION FORTRAN-95 USAGE

Primary Concepts Index Header Type or Subtype indhdr

Data Type integer number Member and/or Array method

Unit of Item Code Element n/a

DATE RANGE AVAILABILITY

Daily 1925
Monthly 1925
INDEX MISSING DATA FLAG
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Index Missing Data Flag describes the possible actions
Product Types IND
taken for securities with missing data during the range
ts_print Daily Usage n/a in an index portfolio. The following codes are currently
ts_print Monthly Usage n/a used:
ind_print Option(s) /hr CODE DESCRIPTION
C USAGE 0 Unknown or not applicable
Object indhdr_row 3 Issues without single period returns are excluded
Array indhdr 5 Alternate prices are used if possible to generate single period returns
Element method.methcode 13 Quotes without trades are treated as missing prices
FORTRAN-95 USAGE
Type or Subtype indhdr
GENERAL INFORMATION
Member and/or Array method
Primary Concepts Index Header
Element methcode
50
Data Type integer number INDEX NEW ISSUES FLAG
Unit of Item Code Index New Issues Flag is an integer code describing
DATE RANGE AVAILABILITY how new issues are used in an index. The following
Daily 1925
codes are used:
Monthly 1925
CHAPTER 2: Data Definitions

CODE DESCRIPTION
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats 0 Unknown or not available
CRSPAccess
Product Types 1 New securities are included the first period they meet existing portfolio
IND
restrictions
ts_print Daily Usage n/a
2 Securities are never added until next rebalancing period
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) /hr
C USAGE GENERAL INFORMATION

Object indhdr_row Primary Concepts Index Header

Array indhdr Data Type integer number

Element flags.missflag Unit of Item Code

FORTRAN-95 USAGE DATE RANGE AVAILABILITY

Type or Subtype indhdr Daily 1925

Member and/or Array flags Monthly 1925

Element missflag DATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess
Stock and Index Data Description Guide

Product Types IND

INDEX NAME ts_print Daily Usage n/a
ts_print Monthly Usage n/a
Index Name is the name of the index or portfolio.
ind_print Option(s) /hr
GENERAL INFORMATION
C USAGE
Primary Concepts Index Header Object indhdr_row
Data Type character Array indhdr
Unit of Item Id Element flags.addflag
DATE RANGE AVAILABILITY
FORTRAN-95 USAGE
Daily 1925 Type or Subtype indhdr
Monthly 1925 Member and/or Array flags
DATABASE AVAILABILITY AND UTILITY USAGE Element addflag
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a INDEX PRIMARY LINK
ts_print Monthly Usage n/a
Index Primary Link is the INDNO of an index group
ind_print Option(s) /hh , /hr
containing this index portfolio series. It is set to zero
C USAGE
if this index is a group or if there is no primary group
Object indhdr_row
index associated with this index series. A series index
Array indhdr
representing one portfolio of a group can use Index
Element indname
Primary Link to refer back to the primary index. The
FORTRAN-95 USAGE
primary index contains rebalancing information and
Type or Subtype indhdr
data for all portfolios in that group.
Member and/or Array n/a
Element indname GENERAL INFORMATION
Primary Concepts Index Header
Data Type integer number
Unit of Item Id
DATE RANGE AVAILABILITY
Daily 1925
 Monthly 1925 FORTRAN-95 USAGE
51
DATABASE AVAILABILITY AND UTILITY USAGE Type or Subtype indhdr
Database Formats CRSPAccess Member and/or Array method
Product Types IND Element primtype
ts_print Daily Usage n/a
CHAPTER 2: Data Definitions

ts_print Monthly Usage n/a

ind_print Option(s) /hh , /hr INDEX REBALANCING BEGIN DATE
C USAGE Index Rebalancing Begin Date is the integer date,
Object indhdr_row in YYYYMMDD format, of the first date in the
Array indhdr rebalancing period of an index.
Element primflag
GENERAL INFORMATION
FORTRAN-95 USAGE
Primary Concepts Index Rebalancing History Arrays
Type or Subtype indhdr
Data Type integer number
Member and/or Array n/a
Unit of Item YYYYMMDD date
Element primflag
DATE RANGE AVAILABILITY
Daily 1925

INDEX PRIMARY METHODOLOGY TYPE Monthly 1925

DATABASE AVAILABILITY AND UTILITY USAGE
Index Primary Methodology Type is an integer code
Database Formats CRSPAccess
describing the index type. The following types are
Stock and Index Data Description Guide

Product Types IND

currently used:
ts_print Daily Usage n/a
CODE NAME DESCRIPTION ts_print Monthly Usage n/a
0 Fractile Index A market segment index where breakpoints based on ind_print Option(s) /rb#
some rule and/or statistic are used to divide eligible C USAGE
issues into portfolios at different intervals. The
Object rebal_arr[ ]
breakpoint function is continuous so that all eligible
issues are in exactly one portfolio during each period. Array rebal[ ][ ]
1 Selected Index Universe is supplied from an outside source, with Element rbbegdt
given issues or companies and the data ranges for FORTRAN-95 USAGE
each.
Type or Subtype rebal_arr()
3 Market Index Portfolio of all eligible issues is reevaluated each
Member and/or Array rebal(,)
period based on constant universe restrictions.
Element rbbegdt
4 Other Not Applicable.

GENERAL INFORMATION
Primary Concepts Index Header INDEX REBALANCING END DATE
Data Type integer number
Index Rebalancing End Date is the integer date,
Unit of Item Code
in YYYYMMDD format, of the last date in the
DATE RANGE AVAILABILITY
rebalancing period of an index.
Daily 1925
Monthly 1925 GENERAL INFORMATION

DATABASE AVAILABILITY AND UTILITY USAGE Primary Concepts Index Rebalancing History Arrays

Database Formats CRSPAccess Data Type integer number

Product Types IND Unit of Item YYYYMMDD date

ts_print Daily Usage n/a DATE RANGE AVAILABILITY

ts_print Monthly Usage n/a Daily 1925
ind_print Option(s) /hr Monthly 1925
C USAGE DATABASE AVAILABILITY AND UTILITY USAGE
Object indhdr_row Database Formats CRSPAccess
Array indhdr Product Types IND
Element method.primtype ts_print Daily Usage n/a
 ts_print Monthly Usage n/a CODE DESCRIPTION
52
ind_print Option(s) /rb# 0 Not available
C USAGE 11 Weights are applied each time period
Object rebal_arr[ ]
Array rebal[ ][ ] GENERAL INFORMATION
CHAPTER 2: Data Definitions

Element rbenddt Primary Concepts Index Header

FORTRAN-95 USAGE Data Type integer number
Type or Subtype rebal_arr() Unit of Item Code
Member and/or Array rebal(,) DATE RANGE AVAILABILITY
Element rbenddt Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
INDEX RETURNS WITHOUT DIVIDENDS
Database Formats CRSPAccess
Index Capital Appreciation Return is the return, Product Types IND
excluding ordinary dividends, of an index. See “Index ts_print Daily Usage n/a
Returns” in the Calculations section for details on how ts_print Monthly Usage n/a
CRSP index returns are calculated. If CRSP includes ind_print Option(s) /hr
a public index such as the S&P 500 Composite or the C USAGE
NASDAQ Composite, Index Capital Appreciation Object indhdr_row
Return is derived from data provided by the creator of Array indhdr
Stock and Index Data Description Guide

the index. Element method.wgtflag

FORTRAN-95 USAGE
GENERAL INFORMATION
Type or Subtype indhdr
Primary Concepts Index Time Series
Member and/or Array method
Data Type real number
Element wgtflag
Unit of Item Ratio
DATE RANGE AVAILABILITY
Daily 1925 INDEX REWEIGHTING TYPE FLAG
Monthly 1925
Index Reweighting Type Flag is an integer code
DATABASE AVAILABILITY AND UTILITY USAGE
indicating the method of weighting the issues in the
Database Formats CRSPAccess
portfolio index. The following codes are currently used:
Product Types STK*, IND
ts_print Daily Usage retx/0 CODE DESCRIPTION
ts_print Monthly Usage mretx/0 0 Not available
ind_print Option(s) /ar 1 Value-weighted, weights not supplied by CRSP
C USAGE 2 Value-weighted
Object aret_ts[ ] 3 Equal-weighted
Array aret[ ][ ]
Element n/a GENERAL INFORMATION
FORTRAN-95 USAGE Primary Concepts Index Header, Portfolio Statistics and
Type or Subtype aret_ts Assignment Arrays
Member and/or Array aret(,) Data Type integer number
Element n/a Unit of Item Code
DATE RANGE AVAILABILITY
Daily 1925
INDEX REWEIGHTING TIMING FLAG Monthly 1925
Index Reweighting Timing Flag is an integer code DATABASE AVAILABILITY AND UTILITY USAGE
indicating how frequently weights are recalculated Database Formats CRSPAccess
in the existing portfolio. The following codes are Product Types IND

currently used: ts_print Daily Usage n/a

53
ts_print Monthly Usage n/a INDEX STATISTIC GROUPING CODE
ind_print Option(s) /hr Index Statistic Grouping Code is an integer code
C USAGE describing the type of grouping done on issues before
Object indhdr_row
any statistics are applied. The following codes are
Array indhdr
currently used:
CHAPTER 2: Data Definitions

Element method.wgttype
FORTRAN-95 USAGE CODE DESCRIPTION

Type or Subtype indhdr 0 Unknown or not applicable

Member and/or Array method 1 Each issue is grouped independently

Element wgttype 2 Multiple issues of a company are combined

GENERAL INFORMATION

INDEX SECONDARY METHODOLOGY GROUP Primary Concepts Index Header

Data Type integer number
Index Secondary Methodology Group is an integer
Unit of Item Code
code with further detail for the Index Primary
DATE RANGE AVAILABILITY
Methodology Type. The following codes are currently
Daily 1925
used: Monthly 1925
CODE DESCRIPTION DATABASE AVAILABILITY AND UTILITY USAGE
0 No further description Database Formats CRSPAccess
Stock and Index Data Description Guide

10 Portfolios based on market capitalization Product Types IND

12 Portfolios based on result statistic: beta or standard deviation ts_print Daily Usage n/a
13 Issues in S&P 500 Index ts_print Monthly Usage n/a
14 Issues in the NASDAQ Composite Index stk_print or ind_print Option(s) /hr
15 Treasury Issues of Selected Maturity Ranges C USAGE
Object indhdr_row

GENERAL INFORMATION Array indhdr

Primary Concepts Index Header Element rules.groupflag

Data Type integer number FORTRAN-95 USAGE

Unit of Item Code Type or Subtype indhdr

DATE RANGE AVAILABILITY Member and/or Array rules

Daily 1925 Element groupflag

Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
INDEX SUBCATEGORY CODE
Database Formats CRSPAccess
Product Types IND Index Subcategory Code is an integer flag indicating
ts_print Daily Usage n/a a subcategory of the primary index in an index list
ts_print Monthly Usage n/a history to which the security belongs. It is set to zero if
ind_print Option(s) /hr no subcategory is applicable.
C USAGE
GENERAL INFORMATION
Object indhdr_row
Primary Concepts Index List History Array
Array indhdr
Data Type integer number
Element method.subtype
Unit of Item Code
FORTRAN-95 USAGE
DATE RANGE AVAILABILITY
Type or Subtype indhdr
Daily 1925
Member and/or Array method
Monthly 1925
Element subtype
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
54
ts_print Daily Usage n/a INDEX TOTAL RETURN
ts_print Monthly Usage n/a Index Total Return is the return, including all
ind_print Option(s) n/a
distributions, of an index. See “Index Returns” in the
C USAGE
Calculations section for details on how CRSP index
Object list_arr[ ]
returns are calculated. Index Total Return is only
CHAPTER 2: Data Definitions

Array list[ ][ ]
available for CRSP-generated indexes.
Element subind
FORTRAN-95 USAGE GENERAL INFORMATION

Type or Subtype list_arr() Primary Concepts Index Time Series

Member and/or Array list(,) Data Type real number

Element subind Unit of Item Ratio

DATE RANGE AVAILABILITY
Daily 1925
INDEX SUBSET SCREENING STRUCTURE Monthly 1925

Index Subset Screening Structure, like the Partition DATABASE AVAILABILITY AND UTILITY USAGE

Subset Screening Structure, is a structure of fields Database Formats CRSPAccess

used to restrict a database using various screening Product Types STK*, IND
ts_print Daily Usage n/a
variables. The screen fields are: Universal Subset Type
ts_print Monthly Usage n/a
Code, First Trading Date Allowed in Restriction,
ind_print Option(s) /tr
Index Restriction End Date, Valid Exchange Codes
Stock and Index Data Description Guide

C USAGE
in Universe, Valid NASDAQ Market Groups in
Object tret_ts[ ]
Universe, Valid When-Issued Securities in Universe,
Array tret[ ][ ]
Valid Incorporation of Securities in Universe, and
Element n/a
Share Code Screen Structure. Index Subset Screening
FORTRAN-95 USAGE
Structure screens are used to restrict the securities used
Type or Subtype tret_ts
in the actual index.
Member and/or Array tret(,)
GENERAL INFORMATION Element n/a
Primary Concepts Index Header
Data Type structure
Unit of Item Set (screen markets)
INDEX TOTAL VALUE
DATE RANGE AVAILABILITY Index Total Value is the total market value of the
Daily 1925 non-ADR securities in the index universe, in $1000s,
Monthly 1925 with valid prices and shares outstanding amounts on
DATABASE AVAILABILITY AND UTILITY USAGE the selected Calendar Trading Date. See the Index
Database Formats CRSPAccess Methodologies section for information including
Product Types IND rebalancing frequency and universe inclusion for
ts_print Daily Usage n/a specific indexes.
ts_print Monthly Usage n/a
ind_print Option(s) /hr GENERAL INFORMATION
C USAGE Primary Concepts Index Time Series
Object indhdr_row Data Type real number
Array indhdr Unit of Item USD
Element induniv
Date Range Availability Daily 1925
FORTRAN-95 USAGE
Monthly 1925
Type or Subtype indhdr
DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array induniv
Database Formats CRSPAccess
Element n/a
Product Types STK, IND
ts_print Daily Usage cap/0
55
ts_print Monthly Usage mcap/0 INDNO
ind_print Option(s) /tv INDNO indicates the unique permanent identifier
C USAGE assigned by CRSP to every supported index. All
Object totval_ts[ ] INDNO identifiers are 7-digit integers. There is no
Array totval[ ][ ] inherent meaning in the numbers. The indexes sets
CHAPTER 2: Data Definitions

Element n/a in a CRSPAccess database are sorted by this field. See

FORTRAN-95 USAGE page page 109 for a full list of CRSP Indexes.
Type or Subtype totval_ts
Member and/or Array totval(, ) GENERAL INFORMATION

Element n/a Primary Concepts Index Header

Data Type integer number
Unit of Item Id

INDEX USED VALUE DATE RANGE AVAILABILITY

Daily 1925
Index Used Value is the beginning total market value,
Monthly 1925
in $1000s, of all securities that are used in an index on
the selected Calendar Trading Date. In a CRSP value- DATABASE AVAILABILITY AND UTILITY USAGE

weighted index the Index Used Value is the weight of Database Formats CRSPAccess
the index. Product Types IND
ts_print Daily Usage permno
Stock and Index Data Description Guide

For standard CRSP market indexes the beginning total ts_print Monthly Usage mpermno
market value is calculated using prices and shares from ind_print Option(s) /hh, /hr
the previous trading day. In these indexes a security
C USAGE
cannot be an ADR and must have prices and shares
Object indhdr_row
on the current and previous trading dates. See “Index
Array indhdr
Returns” in the Calculations Section, and see the
Element indno
Index Methodologies Section.
FORTRAN-95 USAGE

GENERAL INFORMATION Type or Subtype indhdr

Primary Concepts Index Time Series Member and/or Array n/a

Data Type real number Element indno

Unit of Item Ratio

DATE RANGE AVAILABILITY
Daily 1925 INDNO OF ASSOCIATED INDEX
Monthly 1925 INDNO of Associated Index is the identifier of an
DATABASE AVAILABILITY AND UTILITY USAGE associated index used to supply rebalancing breakpoint
Database Formats CRSPAccess information used for assignments or buy/sell rules to
Product Types STK, IND this index. It is set to zero if external portfolio data are
ts_print Daily Usage cap/1 used.
ts_print Monthly Usage mcap/1
GENERAL INFORMATION
ind_print Option(s) /ur
Primary Concepts Index Header
C USAGE
Data Type integer number
Object usdval_ts[ ]
Unit of Item Id
Array usdval[ ][ ]
DATE RANGE AVAILABILITY
Element n/a Daily 1925
FORTRAN-95 USAGE Monthly 1925
Type or Subtype usdval_ts DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array usdval(, ) Database Formats CRSPAccess
Element n/a Product Types IND
 ts_print Daily Usage n/a GENERAL INFORMATION
56
ts_print Monthly Usage n/a Primary Concepts Index List History Array
ind_print Option(s) /hr Data Type integer number
C USAGE Unit of Item YYYYMMDD date
Object indhdr_row DATE RANGE AVAILABILITY
CHAPTER 2: Data Definitions

Array indhdr Daily 1925

Element assign.asperm Monthly 1925
FORTRAN-95 USAGE DATABASE AVAILABILITY AND UTILITY USAGE
Type or Subtype indhdr Database Formats CRSPAccess
Member and/or Array assign Product Types IND
Element asperm ts_print Daily Usage n/a
ts_print Monthly Usage n/a
ind_print Option(s) /li
INTEREST RATE OR STRIKE PRICE - HEADER C USAGE

Interest Rate of Strike Price - Header is the guaranteed Object list_arr[ ]

annualized interest rate, in percentages, for preferred Array list[ ][ ]

Element enddt
stock or effective rate of a right, warrant or debt hybrid.
FORTRAN-95 USAGE
It is set to 0 if not applicable or not known.
Type or Subtype list_arr()
GENERAL INFORMATION Member and/or Array list_arr(,)
Stock and Index Data Description Guide

Primary Concepts Header Identification and Summary Element enddt

Data
Data Type real number
Unit of Item % rate
DATE RANGE AVAILABILITY LAST DATE OF NAME
Daily Last Date of Name is the last effective date of a
Monthly
security’s name history structure. It is set to the date
DATABASE AVAILABILITY AND UTILITY USAGE
preceding the Name Effective Date of the next name
Database Formats CRSPAccess
structure, the maximum of End of Stock Data, or the
Product Types STK
Delisting Date of the last name structure.
ts_print Daily Usage n/a
ts_print Monthly Usage n/a The name information on any given date can be found
stk_print Option(s) /hn
by finding the name structure where the target date is
C USAGE
between Name Effective Date and Last Date of Name.
Object header_row
There is always only one name structure for any select
Array header
date between the first Name Effective Date and the
Element hrating
Delisting Date.
FORTRAN-95 USAGE
Type or Subtype stkhdr
GENERAL INFORMATION
Member and/or Array n/a
Primary Concepts Name History Array
Element hrating
Data Type integer number
Unit of Item YYYYMMDD date

L. DATE RANGE AVAILABILITY

Daily 1925

LAST DATE INCLUDED IN LIST Monthly 1925

DATABASE AVAILABILITY AND UTILITY USAGE
Last Date Included in a List is the integer date, in
Database Formats CRSPAccess
YYYYMMDD format, of the last date an issue is
Product Types STK
included in a portfolio, defined as a time-dependent
ts_print Daily Usage n/a
list of members.
 ts_print Monthly Usage n/a Product Types IND
57
stk_print Option(s) /n , /xn4 , /an1 ts_print Daily Usage n/a
C USAGE ts_print Monthly Usage n/a
Object names_arr ind_print Option(s) /rs#
Array names[ ] C USAGE
CHAPTER 2: Data Definitions

Element nameenddt Object rebal_arr[ ]

FORTRAN-95 USAGE Array rebal[ ][ ]
Type or Subtype names_arr Element maxcnt
Member and/or Array names() FORTRAN-95 USAGE
Element nameenddt Type or Subtype rebal_arr()
Member and/or Array rebal(,)
Element maxcnt
LOWEST CLOSE
Category: Prices
MAXIMUM NUMBER OF ARRAY ELEMENTS
Data Type: Floating Point
Description: Daily — Lowest daily closing price within Maximum Number of Array Elements is the maximum
the selected output calendar. number of time periods available in a time series or
calendar, or the maximum number of observations in
Monthly — Lowest month end closing price within the an event array.
selected calendar. Appropriate to use with quarterly
Stock and Index Data Description Guide

GENERAL INFORMATION
and annual output calendars.
Primary Concepts Base CRSPAccess Data Structures, Time
DATE RANGE AVAILABILITY Series Objects, Event Array Objects,
Daily 1925 Calendar Objects

Monthly 1925 Data Type integer number

DATABASE AVAILABILITY AND PRODUCT TYPES Unit of Item Metadata

Database Formats CRSPAccess DATE RANGE AVAILABILITY

Product Types STK Daily 1925

TS_PRINT/TSQUERY USAGE Monthly 1925

Daily ITEMID low DATABASE AVAILABILITY AND UTILITY USAGE

Monthly ITEMID mlow Database Formats CRSPAccess

Header Low Product Types STK, IND

SUBNO 0 ts_print Daily Usage n/a

ts_print Monthly Usage n/a
M. stk_print or ind_print Option(s) n/a
C USAGE
MAXIMUM COUNT DURING PERIOD Object CRSP_TIMESERIES, CRSP_CAL , CRSP_ARRAY

Maximum Count During Period is the largest count Array n/a

of issues in a portfolio at any point within an index Element maxarr

FORTRAN-95 USAGE
rebalancing period.
Type or Subtype
GENERAL INFORMATION Member and/or Array
Primary Concepts Index Rebalancing History Arrays Element
Data Type integer number
Unit of Item Count
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
58 MEMBER PORTFOLIO RETURNS, MEMBER PORTFOLIO RETURNS WITHOUT
CUMULATIVE DIVIDENDS, CUMULATIVE
Category: Returns Related to a Portfolio Type Category: Returns Related to a Portfolio Type
Data Type: Floating Point Data Type: Floating Point
CHAPTER 2: Data Definitions

Description: Compounded total returns of a portfolio Description: Compounded price appreciation only,
that a user selects to be associated with a security or of a portfolio that a user selects to be associated with a
group of securities. Each period in the time series security or group of securities. Each period in the time
contains a cumulative return since the beginning series contains a cumulative return since the beginning
period. period.
DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
Product Types STK Product Types STK
TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID cumptret Daily ITEMID cumparet
Monthly ITEMID mcumptret Monthly ITEMID mcumparet
Stock and Index Data Description Guide

Header Cumptret Header Cumparet

SUBNO PORTID SUBNO PORTID

N.
MEMBER PORTFOLIO RETURNS ON INCOME,
CUMULATIVE NORTH AMERICAN INDUSTRY
Category: Returns Related to a Portfolio Type CLASSIFICATION SYSTEM (NAICS) CODE, END
OF PERIOD
Data Type: Floating Point
Category: Name History
Description: Compounded return, on income only,
Data Type: String
of a portfolio that a user selects to be associated with a
Description: North American Industry Classification
security or group of securities. Each period in the time System, 6-character industry code, at the end of period
series contains a cumulative return since the beginning reported.
period. Extended Information: NAICS codes were adopted
DATE RANGE AVAILABILITY in 1997 and implemented in 1999, by the Office of
Daily 1925 Management and Budget (OMB), to replace the U.S.
Monthly 1925 Standard Industrial Classification (SIC) system. The
DATABASE AVAILABILITY AND PRODUCT TYPES 6-character code is used to group establishments with
Database Formats CRSPAccess similar products or services. While there are exceptions
Product Types STK to the definition, an establishment “is generally a
TS_PRINT/TSQUERY USAGE single, physical location at which economic activity
Daily ITEMID cumpiret occurs (e.g., store, factory, farm, etc.)1”. NAICS was
Monthly ITEMID mcumpiret designed to encompass all fields of economic activities,
Header Cumpiret producing and non-producing. Each establishment
SUBNO PORTID is assigned to one industry that matches its primary
activity. The codes were developed by the US, Canada,
and Mexico to provide a business activity standard
throughout North America, to facilitate economic
analyses of North America’s economies.
59 NAICS is a hierarchical code, containing up to six Monthly 20010824
digits: The first two fields, NAICS sectors, designate DATABASE AVAILABILITY AND PRODUCT TYPES
general categories of economic activity, the third field, Database Formats CRSPAccess
sub-sector, further defines the sector, the fourth field Product Types STK
is the industry group, the fifth field is the NAICS TS_PRINT/TSQUERY USAGE
CHAPTER 2: Data Definitions

industry, and the sixth field represents the national Daily ITEMID snaics
industry (a zero in the 6th digit generally indicates that Monthly ITEMID msnaics
the NAICS industry and the country industry are the Header Naicse
same). For example, 1123 represents Poultry and Egg SUBNO 1
Production, 11231 represents Chick Egg Production,
and 112310 represents Chicken Egg Production.
NAICS, MOST RECENT
NAICS codes are available for securities in the CRSP
Category: Name History
database from August 24, 2001 onwards. Unknown
NAICS codes are blank. For additional information on Data Type: String
NAICS codes, please refer to the Executive Office of
Description: The most recently known North
the President Office of Management and Budget’s most
American Industry Classification System, 6-character
current North American Industry Classification System
industry code.
manual, or visit the US Census Bureau’s website at
http://www.census.gov/epcd/www/naics.html. DATE RANGE AVAILABILITY
Stock and Index Data Description Guide

Daily 20010824
In the December 2009 stock database, CRSP removed
Monthly 20010824
NAICS Codes provided by our source, Mergent,
DATABASE AVAILABILITY AND PRODUCT TYPES
from our Stock Databases and replaced them with
Database Formats CRSPAccess
NAICS Codes from Interactive Data Corporation.
Product Types STK
Mergent was CRSP’s only source for NAICS beginning
TS_PRINT/TSQUERY USAGE
20010824. The IDCI NAICS Codes begin 20040610.
Daily ITEMID snaics
DATE RANGE AVAILABILITY Monthly ITEMID msnaics
Daily 20010824 Header Naicsl
Monthly 20010824 SUBNO 2
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Product Types STK
NAICS - HEADER
TS_PRINT/TSQUERY USAGE
North American Industry Classification System -
Daily ITEMID snaics
Header is an 6-character code used to group companies
Monthly ITEMID msnaics
Header Naics
with similar products or services. It contains the
SUBNO 0
most current NAICS code in the database. See North
American Industry Classification System (NAICS)
for additional detail on NAICS codes. N.B. this field
NAICS, END OF PREVIOUS PERIOD includes data starting on 20040610.

Category: Name History GENERAL INFORMATION

Data Type: String Primary Concepts Header Identification and Summary

Data
Description: North American Industry Classification Data Type character
System, 6-character industry code, at the end of period Unit of Item Code
preceding the period reported. DATE RANGE AVAILABILITY
Daily 20040610
DATE RANGE AVAILABILITY
Monthly 20040610
Daily 20010824
60
DATABASE AVAILABILITY AND UTILITY USAGE NASDAQ COMPANY NUMBER
Database Formats CRSPAccess
Product Types STK Category: Identification
ts_print Daily Usage Data Type: Double Precision Floating Point
ts_print Monthly Usage n/a
Description: Unique integer assigned by NASDAQ to
CHAPTER 2: Data Definitions

stk_print Option(s) /hn

C USAGE each company with a listed security on the NASDAQ
Object header_row exchange.
Array header DATE RANGE AVAILABILITY
Element hnaics Daily 1925
FORTRAN-95 USAGE Monthly 1925
Type or Subtype stkhdr DATABASE AVAILABILITY AND PRODUCT TYPES
Member and/or Array n/a Database Formats CRSPAccess
Element hnaics Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID compno
NAME EFFECTIVE DATE Monthly ITEMID mcompno
Name Effective Date is the starting date of a set of Daily Header Compno
security name information, stored in YYYYMMDD Monthly Header COMPNO
format. If the CUSIP, Company Name, Ticker Symbol, SUBNO 0
Stock and Index Data Description Guide

Exchange Code, or s changes, CRSP adds a new name

structure that records the change and the date the
change became effective. Name Effective Date is the NASDAQ INDEX CODE, END OF PERIOD
date associated with a specific name structure. Category: Nasdaq
GENERAL INFORMATION
Data Type: Double Precision Floating Point
Primary Concepts Name History Array
Data Type integer number Description: Integer code indicating the issue’s
Unit of Item YYYYMMDD date classification within NASD’s internal business
DATE RANGE AVAILABILITY description categories, at the end of each period
Daily 1925 reported. This field is not available between April,
Monthly 1925 1998 and February, 2000.
DATABASE AVAILABILITY AND UTILITY USAGE
DATE RANGE AVAILABILITY
Database Formats CRSPAccess
Daily 198211
Product Types STK
Monthly 198211
ts_print Daily Usage n/a
DATABASE AVAILABILITY AND PRODUCT TYPES
ts_print Monthly Usage n/a
Database Formats CRSPAccess
stk_print Option(s) /n , /xn
Product Types STK
C USAGE
TS_PRINT/TSQUERY USAGE
Object names_arr
Daily ITEMID nsdinx
Array names[ ]
Monthly ITEMID mnsdinx
Element namedt
Header Nsdinx
FORTRAN-95 USAGE
SUBNO 0
Type or Subtype names_arr
Member and/or Array names()
Element namedt
61 NASDAQ INDEX CODE, END OF PREVIOUS differentiates securities issued by the same company.
PERIOD If the issue number is unknown, the NASDAQ Issue
Category: Nasdaq Number is set to zero. If an NYSE/NYSE MKT
security was ever traded on NASDAQ, this number
Data Type: Double Precision Floating Point is set to the last issue number assigned when it was
CHAPTER 2: Data Definitions

Description: Integer code indicating the issue’s trading on NASDAQ. The NASDAQ Issue Number in
classification within NASD’s internal business the CRSP Data File may change if NASDAQ assigns
Description: categories, at the end of the period a new number to an issue CRSP considers to be a
preceding the period reported. continuation of an existing issue.
DATE RANGE AVAILABILITY GENERAL INFORMATION
Daily 198211 Primary Concepts Header Identification and Summary Data
Monthly 198211 Data Type integer number
DATABASE AVAILABILITY AND PRODUCT TYPES Unit of Item Id
Database Formats CRSPAccess DATE RANGE AVAILABILITY
Product Types STK Daily 198211
TS_PRINT/TSQUERY USAGE Monthly 198211
Daily ITEMID nsdinx DATABASE AVAILABILITY AND UTILITY USAGE
Monthly ITEMID mnsdinx Database Formats CRSPAccess
Header Nsdinxe Product Types STK
Stock and Index Data Description Guide

SUBNO 1 ts_print Daily Usage n/a

ts_print Monthly Usage n/a
stk_print Option(s) /hh, /hr, /hrl , /hn

NASDAQ INDEX CODE, MOST RECENT C USAGE

Object header_row
Category: Nasdaq
Array header
Data Type: Double Precision Floating Point Element issuno
FORTRAN-95 USAGE
Description: Integer code indicating the issue’s most
Type or Subtype stkhdr
recent classification within NASD’s internal business
Member and/or Array n/a
Description: categories.
Element issuno

DATE RANGE AVAILABILITY

NASDAQ MARKET MAKERS, END OF PERIOD
Daily 198211
Monthly 198211
Category: Nasdaq
DATABASE AVAILABILITY AND PRODUCT TYPES Data Type: Double Precision Floating Point
Database Formats CRSPAccess
Description: Number of registered market makers
Product Types STK
for an issue trading on NASDAQ, at the end of the
TS_PRINT/TSQUERY USAGE
period reported. This contains a 0 if there are no
Daily ITEMID nsdinx
Monthly ITEMID mnsdinx
active market makers at that time, or if the date falls in
Header Nsdinxl
December of 1982 for a NASD Company Number less
SUBNO 2 than 1025, or in February of 1986.

NASDAQ ISSUE NUMBER DATE RANGE AVAILABILITY

NASDAQ Issue Number is a unique integer assigned Daily 19821101

by the National Association of Securities Dealers Monthly 198211

(NASD) to each listed security on The NASDAQ DATABASE AVAILABILITY AND PRODUCT TYPES

Stock MarketSM. It is this issue-specific identifier which Database Formats CRSPAccess

62
Product Types STK NASDAQ NATIONAL MARKET INDICATOR,
TS_PRINT/TSQUERY USAGE END OF PERIOD
Daily ITEMID mmcnt Category: Nasdaq
Monthly ITEMID mmmcnt
Header Mmcnt
Data Type: Double Precision Floating Point
CHAPTER 2: Data Definitions

SUBNO 0 Description: One-digit integer code indicating an

issue’s membership within the NASDAQ Market tier
system.
NASDAQ MARKET MAKERS, END OF
Extended Information
PREVIOUS PERIOD
Category: Nasdaq Prior to June 15, 1992, transaction data was not
available for NASDAQ SmallCap Securities. As of June
Data Type: Double Precision Floating Point 15, 1992 transaction data became available.
Description: Number of registered market makers for NASDAQ introduced a 3-tier market initiative in
an issue trading on NASDAQ, at the end of the period July 2006. As a result, the CRSP NASDAQ National
preceding the period reported. Market Indicator (NMSIND) coding scheme was
DATE RANGE AVAILABILITY changed. Specifically:
Daily 19821101
ƒ Small-Cap - renamed Capital Market, CRSP code 4
Monthly 198211
ƒ National Market - split into two:
Stock and Index Data Description Guide

DATABASE AVAILABILITY AND PRODUCT TYPES

ΠGlobal Market, CRSP code 5
Database Formats CRSPAccess
ΠGlobal Select Market, CRSP code 6.
Product Types STK
To achieve expected results, the subset functionality
TS_PRINT/TSQUERY USAGE
in the ts_print interface is labeled to reflect these
Daily ITEMID mmcnt
changes. After July 1, 2006, SmallCap is renamed to
Monthly ITEMID mmmcnt
Capital Market. National Market is renamed to Global
Header Mmcnte
Market. In addition, a subset of Global Market is
SUBNO 1
identified as the Global Select Market.
CODE DESCRIPTION
0 Unknown or unavailable
NASDAQ MARKET MAKERS, MOST RECENT
1 The NASDAQ SmallCap Market before June 15, 1992
Category: Nasdaq 2 The NASDAQ National Market
3 The NASDAQ SmallCap Market after June 15, 1992
Data Type: Double Precision Floating Point
4 Capital Market (formerly SmallCap) after July 1, 2006
Description: Number of registered market makers 5 Global Market (formerly National Market) after July 1, 2006
for an issue trading on NASDAQ, the most recently 6 Global Select Market - new subset of Global Market after July 1, 2006
known value.
DATE RANGE AVAILABILITY
DATE RANGE AVAILABILITY
Daily 19920615
Daily 19821101
Monthly 199206
Monthly 198211
DATABASE AVAILABILITY AND PRODUCT TYPES
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Database Formats CRSPAccess
Product Types STK
Product Types STK
TS_PRINT/TSQUERY USAGE
TS_PRINT/TSQUERY USAGE
Daily ITEMID nmsind
Daily ITEMID mmcnt
Monthly ITEMID mnmsind
Monthly ITEMID mmmcnt
Header Nmsind
Header Mmcntl
SUBNO 0
SUBNO 2
63 NASDAQ NATIONAL MARKET INDICATOR, and all late trades are included in the count. If the
END OF PREVIOUS PERIOD number of trades is unavailable, the field is set to –99.
Category: Nasdaq Number of trades is available only for issues trading
Data Type: Double Precision Floating Point on The NASDAQ Stock MarketSM. It is reported for
all securities listed on The NASDAQ National Market
CHAPTER 2: Data Definitions

Description: One-digit integer code indicating an since November 1, 1982, and all NASDAQ securities
issue’s membership within the NASDAQ Market tier since June 15, 1992. Due to lack of sources, NASDAQ
system, at the end of the previous period. Number of Trades data are missing for 15 NASDAQ
DATE RANGE AVAILABILITY National Market securities in December, 1982, and all
Daily 19920615 The NASDAQ National Market securities in February,
Monthly 199206 1986.
DATABASE AVAILABILITY AND PRODUCT TYPES
Monthly: Not available.
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE GENERAL INFORMATION
Daily ITEMID nmsind Primary Concepts Supplemental NASDAQ Time Series
Monthly ITEMID mnmsind Data Type integer number
Header Nmsinde Unit of Item Count
SUBNO 1 DATE RANGE AVAILABILITY
Stock and Index Data Description Guide

Daily 19821101
Monthly n/a
DATABASE AVAILABILITY AND UTILITY USAGE
NASDAQ NATIONAL MARKET INDICATOR,
Database Formats CRSPAccess
MOST RECENT Product Types STK
Category: Nasdaq ts_print Daily Usage numtrd/0
ts_print Monthly Usage n/a
Data Type: Double Precision Floating Point
stk_print Option(s) /pn
Description: One-digit integer code indicating an C USAGE
issue’s membership within the NASDAQ Market tier Object numtrd_ps
system, most recently known value. Array numtrd[ ]
Element numtrd
DATE RANGE AVAILABILITY
FORTRAN-95 USAGE
Daily 19920615
Type or Subtype numtrd_ts
Monthly 199206
Member and/or Array numtrd( )
DATABASE AVAILABILITY AND PRODUCT TYPES
Element numtrd
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE
NASDAQ STATUS CODE, END OF PERIOD
Daily ITEMID nmsind
Monthly ITEMID mnmsind
Category: Nasdaq
Header Nmsindl Data Type: Double Precision Floating Point
SUBNO 2
Description: One-digit integer describing the trading
status of an issue listed on NASDAQ, at the end of
each period reported.
NASDAQ NUMBER OF TRADES
Daily: NASDAQ Number of Trades contains the
CODE DESCRIPTION
number of trades made on the NASDAQ Stock Market
0 Unknown or not applicable
each date for a security. Trades on all exchanges are
1 Active
connected to NASDAQ’s composite pricing network
64
CODE DESCRIPTION NASDAQ STATUS CODE, MOST RECENT
2 Trading with only one market maker Category: Nasdaq
3 Suspended
4 Inactive
Data Type: Double Precision Floating Point
5 Delisted Description: One-digit integer describing the most
CHAPTER 2: Data Definitions

recently known trading status of an issue listed on

NASDAQ.
DATE RANGE AVAILABILITY
Daily DATE RANGE AVAILABILITY
19821101
Monthly 198211 Daily 19821101
Monthly 198211
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats DATABASE AVAILABILITY AND PRODUCT TYPES
CRSPAccess
Product Types STK Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID TS_PRINT/TSQUERY USAGE
trtscd
Monthly ITEMID mtrtscd Daily ITEMID trtscd

Header Trtscd Monthly ITEMID mtrtscd

SUBNO 0 Header Trtscdl

SUBNO 2
Stock and Index Data Description Guide

NASDAQ STATUS CODE, END OF PREVIOUS

PERIOD NASDAQ STATUS DATE

Category: Nasdaq NASDAQ Status Date is the effective integer begin

date, in YYYYMMDD format, for a NASDAQ
Data Type: Double Precision Floating Point information structure for a security listed on the
Description: One-digit integer describing the trading NASDAQ Stock Market.
status of an issue listed on NASDAQ, at the end of the GENERAL INFORMATION
period preceding each period reported. Primary Concepts NASDAQ Information Array

DATE RANGE AVAILABILITY Data Type integer number

Daily 19821101 Unit of Item YYYYMMDD date

Monthly 198211 DATE RANGE AVAILABILITY

DATABASE AVAILABILITY AND PRODUCT TYPES Daily 19821101

Database Formats CRSPAccess Monthly 198211

Product Types STK DATABASE AVAILABILITY AND UTILITY USAGE

TS_PRINT/TSQUERY USAGE Database Formats CRSPAccess

Daily ITEMID trtscd Product Types STK

Monthly ITEMID mtrtscd ts_print Daily Usage n/a

Header Trtscde ts_print Monthly Usage n/a

SUBNO 1 stk_print Option(s) /q

C USAGE
Object nasdin_arr
Array nasdin[ ]
Element trtsdt
FORTRAN-95 USAGE
Type or Subtype nasdin_arr
Member and/or Array nasdin()
Element trtsdt
65 NASDAQ TRAITS END DATE Data Type integer number

NASDAQ Traits End Date is the last date, in Unit of Item Id

YYYYMMDD format, for which information in a DATE RANGE AVAILABILITY

Daily 1925
NASDAQ information array structure is valid for a
Monthly 1925
security. It is set to the last trading date before the next
CHAPTER 2: Data Definitions

DATABASE AVAILABILITY AND UTILITY USAGE

NASDAQ information event, or to 99999999 in the
Database Formats CRSPAccess
last structure.
Product Types STK
GENERAL INFORMATION ts_print Daily Usage n/a
Primary Concepts NASDAQ Information Array ts_print Monthly Usage n/a
Data Type integer number stk_print Option(s) /de
Unit of Item YYYYMMDD date C USAGE
DATE RANGE AVAILABILITY Object delist_arr
Daily 19821101 Array delist[ ]
Monthly 198211 Element nwcomp
DATABASE AVAILABILITY AND UTILITY USAGE FORTRAN-95 USAGE
Database Formats CRSPAccess Type or Subtype delist_arr
Product Types STK Member and/or Array delist()
ts_print Daily Usage n/a Element nwcomp
ts_print Monthly Usage n/a
Stock and Index Data Description Guide

stk_print Option(s) /q
C USAGE NEW PERMNO
Object nasdin_arr New PERMNO is an integer pointer to a new security
Array nasdin[ ] assigned when an issue ceases trading as a result of a
Element trtsenddt merger or exchange where shareholders receive stock
FORTRAN-95 USAGE in the acquiring company. The New PERMNO is
Type or Subtype nasdin_arr
the PERMNO of the primary security received from
Member and/or Array nasdin()
the acquiring company. It acts as a forward pointer,
Element trtsenddt
allowing the user to trace the ongoing history of
surviving companies. New PERMNO may identify
NEW PERMCO an issue that exists on a different CRSP Stock File.
It is set to zero if there is no new primary security
New PERMCO is an integer link to a company
applicable, the issue is unknown, or the delisting does
assigned when an issue ceases trading as a result of
not represent a merger or exchange. The distribution
a merger or exchange when shareholders receive
history arrays contain an itemized record of all types
some payment from the acquiring company. If
of payments to shareholders in an exchange or merger.
New PERMNO is nonzero, New PERMCO is the
See Acquiring PERMNO for companies associated
PERMCO of that security. If New PERMNO is zero,
with individual payments.
New PERMCO can still be nonzero if the shareholders
receive a payment from an acquiring company known GENERAL INFORMATION

to CRSP, but the payments are not primarily in the Primary Concepts Delisting History Array

stock of the company. New PERMCO is zero if the Data Type integer number

company is unknown to CRSP or if the delisting does Unit of Item Id

not represent a merger or exchange. See Acquiring DATE RANGE AVAILABILITY

Daily 1925
PERMCO for companies associated with individual
Monthly 1925
payments.
DATABASE AVAILABILITY AND UTILITY USAGE
GENERAL INFORMATION Database Formats CRSPAccess
Primary Concepts Delisting History Array Product Types STK
66
ts_print Daily Usage n/a NUMBER OF INDEX LIST TYPES
ts_print Monthly Usage n/a Number of Index List Types is the number of lists
stk_print Option(s) /de
available for INDNOs in an index set. It is set to one
C USAGE
in index group and index series sets. If there are no
Object delist_arr
data for a list, Number of Available Array Elements for
CHAPTER 2: Data Definitions

Array delist[ ]
the list is set to zero.
Element nwperm
FORTRAN-95 USAGE GENERAL INFORMATION

Type or Subtype delist_arr Primary Concepts Index List History Array

Member and/or Array delist() Data Type integer number

Element nwperm Unit of Item Count

DATE RANGE AVAILABILITY
Daily 1925
NUMBER OF ARRAY ELEMENTS Monthly 1925

Number of Array Elements is the count of actual event DATABASE AVAILABILITY AND UTILITY USAGE

structures available in a CRSP event object for the Database Formats CRSPAccess

current entity. Product Types IND

ts_print Daily Usage n/a
GENERAL INFORMATION
ts_print Monthly Usage n/a
Primary Concepts Base CRSPAccess Data Structures, ind_print Option(s) n/a
Stock and Index Data Description Guide

Event Array Objects

C USAGE
Data Type integer number
Object ind
Unit of Item Count
Array n/a
DATE RANGE AVAILABILITY
Element listtypes
Daily 1925
FORTRAN-95 USAGE
Monthly 1925
Type or Subtype n/a
DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array n/a
Database Formats CRSPAccess
Element listtypes
Product Types STK, IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a NUMBER OF INDEX TYPES
stk_print or ind_print Option(s) n/a
Number of Index Types is the number of indexes or
C USAGE
portfolio time series available for INDNOs in an index
Object CRSP_ARRAY
set. In a series set, the Number of Index Types is always
Array n/a
1. In a group set, the Number of Index Types is always
Element num
FORTRAN-95 USAGE
17. Not all INDNOs have data for all available time
Type or Subtype crsp_array
series. If there are no data for one of the available time
Member and/or Array n/a
series, Begin of Valid Data and End of Valid Data of
Element num that time series are set to zero.
GENERAL INFORMATION
Primary Concepts Base CRSPAccess Data Structures,
Index Time Series
Data Type integer number
Unit of Item Count
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
67
Product Types IND NUMBER OF PORTFOLIO TYPES
ts_print Daily Usage n/a Number of Portfolio Types is the maximum number of
ts_print Monthly Usage n/a
different portfolio methodologies available in a stock
ind_print Option(s) n/a
set. It is set to 9 in daily databases and 8 in monthly
C USAGE
databases. If there are no data for a portfolio time
CHAPTER 2: Data Definitions

Object n/a
series, Begin of Valid Data and End of Valid Data are
Array n/a
both set to zero.
Element indtypes
FORTRAN-95 USAGE GENERAL INFORMATION

Type or Subtype n/a Primary Concepts Portfolio Statistics and Assignment

Member and/or Array Arrays, Shares Outstanding
n/a
Observations Array
Element indtypes
Data Type integer number
Unit of Item Count
DATE RANGE AVAILABILITY
NUMBER OF PERIODS IN CALENDAR
Daily
Number of Periods in Calendar is the number of Monthly
periods in a CRSP calendar. This is the last calendar DATABASE AVAILABILITY AND UTILITY USAGE
period with valid calendar or time series data. In daily, Database Formats CRSPAccess
monthly, and weekly calendars, the last calendar period Product Types STK*
represents the last trading date with available prices.
Stock and Index Data Description Guide

ts_print Daily Usage n/a

Annual and quarterly calendars are extended to the end ts_print Monthly Usage n/a
of the next calendar year after the last day of prices. ind_print Option(s) n/a
C USAGE
GENERAL INFORMATION
Object n/a
Primary Concepts Base CRSPAccess Data Structures,
Calendar Objects Array n/a

Data Type integer number Element porttypes

Unit of Item Range FORTRAN-95 USAGE

DATE RANGE AVAILABILITY Type or Subtype n/a

Daily 1925 Member and/or Array n/a

Monthly 1925 Element porttypes

DATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess
NUMBER OF REBALANCING TYPES
Product Types STK, IND
ts_print Daily Usage n/a Number of Rebalancing Types is the number of
ts_print Monthly Usage n/a portfolio rebalancing arrays available for INDNOs in
stk_print or ind_print Option(s) n/a an index set. In a series set, Number of Rebalancing
C USAGE Types is always 1. In a group set, Number of
Object CRSP_CAL Rebalancing Types is always 10. Not all INDNOs
Array n/a have rebalancing data for all available portfolios. If
Element ndays there are no rebalancing data for one of the available
FORTRAN-95 USAGE rebalancing series, Number of Array Elements Series
Type or Subtype crsp_cal for that array is set to zero.
Member and/or Array n/a
GENERAL INFORMATION
Element ndays
Primary Concepts Rebalancing History Arrays
Data Type integer number
Unit of Item Count
DATE RANGE AVAILABILITY
Daily 1925
68
Monthly 1925 OBJECT TYPE CODE
DATABASE AVAILABILITY AND UTILITY USAGE Object Type Code is an integer code defining the
Database Formats CRSPAccess type of object data structure. Object Type Codes are
Product Types IND
assigned as follows:
ts_print Daily Usage n/a
CHAPTER 2: Data Definitions

ts_print Monthly Usage n/a STRUCTURE NAME OBJECT TYPE CODE

ind_print Option(s) n/a CRSP_CAL 1

C USAGE CRSP_TIMESERIES 2

Object CRSP_ARRAY 3
n/a
Array CRSP_ROW 5
n/a
Element rebaltypes GENERAL INFORMATION

FORTRAN-95 USAGE Primary Concepts Base CRSPAccess Data Structures, Time

Series Objects, Event Array Objects,
Type or Subtype n/a
Header Objects, Calendar Objects
Member and/or Array n/a
Data Type integer number
Element rebaltypes
Unit of Item Code
DATE RANGE AVAILABILITY
O.
Daily 1925
OBJECT ARRAY Monthly 1925
Object Array identifies the generic array used to store DATABASE AVAILABILITY AND UTILITY USAGE
Stock and Index Data Description Guide

time series, event, or header data in CRSPAccess object Database Formats CRSPAccess

data structures. Product Types STK, IND

ts_print Daily Usage n/a
GENERAL INFORMATION
ts_print Monthly Usage n/a
Primary Concepts Base CRSPAccess Data Structures, Time
stk_print or ind_print Option(s) n/a
Series Objects, Event Array Objects,
C USAGE
Header Objects
Data Type generic pointer Object CRSP_TIMESERIES CRSP_ARRAY
CRSP_ROW CSRP_CAL
Unit of Item Pointer
Array n/a
DATE RANGE AVAILABILITY
Element objtype
Daily 1925
FORTRAN-95 USAGE
Monthly 1925
Type or Subtype crsp_ts crsp_array crsp_row
DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array crsp_cal
Database Formats CRSPAccess
Element objtype
Product Types STK, IND
ts_print Daily Usage n/a
OPEN PRICE
ts_print Monthly Usage n/a
stk_print or ind_print Option(s) n/a
Daily open prices are available for securities traded
C USAGE
on NYSE, NYSE MKT, and NASDAQ exchanges
Object CRSP_TIMESERIES CRSP_ARRAY beginning June 15, 1992. They represent the first trade
CRSP_ROW CRSP_CAL after market opens. For NYSE, additional daily open
Array n/a prices are available between December 1925 and June
Element arr 1962. Open prices are available for Arca securities
FORTRAN-95 USAGE beginning March 8, 2006.
Type or Subtype Variable Specific Version of C Usage
Objects. FORTRAN-95 does not have GENERAL INFORMATION
generic object arrays. Primary Concepts Auxiliary Time Series Data
Member and/or Array n/a Data Type real number
Element Variable-specific Array Unit of Item USD
DATE RANGE AVAILABILITY
Daily 1925
 Monthly 1925 Type or Subtype indhdr
69
DATABASE AVAILABILITY AND UTILITY USAGE Member and/or Array partuniv
Database Formats CRSPAccess Element n/a
Product Types STK
ts_print Daily Usage openprc/0
PAYMENT DATE
CHAPTER 2: Data Definitions

ts_print Monthly Usage n/a

stk_print Option(s) /po Payment Date is the integer date in YYYYMMDD
C USAGE format upon which dividend checks are mailed
Object openprc_ts or other distributions are made. It is set to zero if
Array openprc[ ] unavailable. For a merger, exchange or total liquidation
Element where the company disappeared Payment Date is, by
FORTRAN-95 USAGE convention, set equal to the date of the last price or
Type or Subtype openprc_ts Delisting Date.
Member and/or Array openprc( )
Element
For rights offerings the Payment Date is set equal to
the record date, found in “Moody’s Dividend Record”
P. by convention.
PARTITION SUBSET SCREENING STRUCTURE Payment Dates of liquidating payments after delisting
Partition Subset Screening Structure, like the Index are reported when available and are set to 0 when
Subset Screening Structure, is a set of fields used to unavailable.
Stock and Index Data Description Guide

restrict a database using various screening variables. GENERAL INFORMATION

The screen fields are Universal Subset Type Code, First Primary Concepts Distribution Event Array
Trading Date Allowed in Restriction, Index Restriction Data Type integer number
End Date, Valid Exchange Codes in Universe, Valid Unit of Item YYYYMMDD date
NASDAQ Market Groups in Universe, Valid When- DATE RANGE AVAILABILITY
Issued Securities in Universe, Valid Incorporation Daily 1925
of Securities in Universe, and Share Code Screen Monthly 1925
Structure. Partition Subset Screening Structure screens DATABASE AVAILABILITY AND UTILITY USAGE
are used to restrict the securities used in defining Database Formats CRSPAccess
partition breakpoints of an index. Product Types STK
ts_print Daily Usage n/a
GENERAL INFORMATION
ts_print Monthly Usage n/a
Primary Concepts Index Header
ind_print Option(s) /di
Data Type structure
C USAGE
Unit of Item Set (header information)
Object dists_arr
DATE RANGE AVAILABILITY
Array dists[ ]
Daily 1925
Element paydt
Monthly 1925
FORTRAN-95 USAGE
DATABASE AVAILABILITY AND UTILITY USAGE
Type or Subtype dists_arr
Database Formats CRSPAccess
Member and/or Array dists( )
Product Types IND
Element paydt
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
ind_print Option(s) /hr
C USAGE
Object indhdr_row
Array indhdr
Element partuniv
FORTRAN-95 USAGE
70 PERMANENT NUMBER OF SECURITIES IN PERMNO/INDNO
INDEX LIST Category: Identification
Permanent Number of Securities in Index List is the
Data Type: Double Precision Floating Point
CRSP PERMNO of a security that is assigned to an
index specified with an Index List Array. Description: A unique permanent identification
CHAPTER 2: Data Definitions

number assigned by CRSP to each security.

GENERAL INFORMATION
Primary Concepts Index List History Array Extended Information
Data Type integer number
Unlike the CUSIP, Ticker Symbol, and Company
Unit of Item Id
Name, the PERMNO neither changes during an
DATE RANGE AVAILABILITY
issue’s trading history, nor is it reassigned after an
Daily 1925
issue ceases trading. The user may track a security
Monthly 1925
through its entire trading history in CRSP’s files with
DATABASE AVAILABILITY AND UTILITY USAGE
one PERMNO, regardless of name or capital structure
Database Formats CRSPAccess
changes. The Stock Data are sorted and indexed by
Product Types IND
this field. PERMNO is currently a 5-digit integer for
ts_print Daily Usage n/a
all common securities in the CRSP files. The range
ts_print Monthly Usage n/a
ind_print Option(s) n/a
-999989 to -100 and 100 to 999989 is reserved for
C USAGE
CRSP PERMNO assignments.
Stock and Index Data Description Guide

DATE RANGE AVAILABILITY

Object list_arr[ ]
Daily 1925
Array list[ ][ ]
Monthly 1925
Element permno
DATABASE AVAILABILITY AND PRODUCT TYPES
FORTRAN-95 USAGE
Database Formats CRSPAccess
Type or Subtype ind_list_arr( )
Product Types STK
Member and/or Array list(,)
Element permno TS_PRINT/TSQUERY USAGE
Daily ITEMID permno
Monthly ITEMID mpermno
PERMCO/INDCO Header PERMNO
SUBNO 0
Category: Identification
Data Type: Double Precision Floating Point
Description: A unique permanent company
PORTFOLIO ASSIGNMENT
identification number assigned by CRSP to all
Category: Other
companies with issues on a CRSP File. This number
is permanent for all securities issued by a company Data Type: Double Precision Floating Point
regardless of name changes.
Description: Integer portfolio assignment of a security
DATE RANGE AVAILABILITY for the portfolio type.
Daily 1925
Extended Information
Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES If no assignment is made for the security during the
Database Formats CRSPAccess period, Portfolio Assignment Number is set to zero.
Product Types STK
Portfolio assignment rules are based on the index
TS_PRINT/TSQUERY USAGE
methodology of a portfolio type. See “CRSP Index
Daily ITEMID permco
Methodologies” for details. The time period of
Monthly ITEMID mpermco
Portfolio Assignment Number is the time the security
Header PERMCO
is held in the portfolio, but is usually based on the
SUBNO 0
statistic in a previous period.
71
DATE RANGE AVAILABILITY Number. This index is the nth series within the group
Daily 1925 index, or zero if it is a stand-alone series.
Monthly 1925
GENERAL INFORMATION
DATABASE AVAILABILITY AND PRODUCT TYPES
Primary Concepts Index Header
Database Formats CRSPAccess
Data Type integer number
CHAPTER 2: Data Definitions

Product Types STK

Unit of Item Id
TS_PRINT/TSQUERY USAGE
DATE RANGE AVAILABILITY
Daily ITEMID port
Daily 1925
Monthly ITEMID mport
Monthly 1925
Header Port
DATABASE AVAILABILITY AND UTILITY USAGE
SUBNO PORTID
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
PORTFOLIO BUILDING RULES STRUCTURE
ts_print Monthly Usage n/a
Portfolio Building Rules Structure is a group of ind_print Option(s) /hh , /hr
fields describing rules used to build index portfolios. C USAGE
Portfolio Building Rules Structure contains fields Object indhdr_row
Index Basic Rule Type Code, Index Function Code for Array indhdr
Buy Rules, Index Function Code for Sell Rules, Index Element portnum
Function Code for Generating Statistics, and Index
Stock and Index Data Description Guide

FORTRAN-95 USAGE
Statistic Grouping Code. Type or Subtype indhdr
Member and/or Array n/a
GENERAL INFORMATION
Element portnum
Primary Concepts Index Header
Data Type structure
Unit of Item Set (portfolio building rules)
PORTFOLIO NUMBER IN ASSOCIATED INDEX
DATE RANGE AVAILABILITY
Daily 1925
Portfolio Number in Associated Index is the portfolio
Monthly 1925 number within an associated index group defined in
DATABASE AVAILABILITY AND UTILITY USAGE INDNO of Associated Index. The associated index
Database Formats CRSPAccess breakpoint information for that portfolio is used for
Product Types IND this index. It is set to zero if no outside rebalancing
ts_print Daily Usage n/a information is used to build this index.
ts_print Monthly Usage n/a
GENERAL INFORMATION
ind_print Option(s) /hr
Primary Concepts Index Header
C USAGE
Data Type integer number
Object indhdr_row
Unit of Item Id
Array indhdr
DATE RANGE AVAILABILITY
Element rules
Daily 1925
FORTRAN-95 USAGE
Monthly 1925
Type or Subtype indhdr
DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array rules
Database Formats CRSPAccess
Element n/a
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
PORTFOLIO NUMBER IF SUBSET SERIES
ind_print Option(s) /hr
Portfolio Number if Subset Series is the portfolio C USAGE
number within an index group to which this index Object indhdr_row
series belongs. The Index Primary Link variable Array indhdr
contains the Permanent Index Group Identification
72
Element assign.asport unavailable, the number in the price field is replaced
FORTRAN-95 USAGE with a bid/ask average (marked by a leading dash).
Type or Subtype indhdr
Member and/or Array assign DATE RANGE AVAILABILITY

Element asport Daily 1925

CHAPTER 2: Data Definitions

Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
PORTFOLIO STATISTIC Database Formats CRSPAccess

Category: Other Product Types STK

TS_PRINT/TSQUERY USAGE
Data Type: Floating Point
Daily ITEMID adjprc
Description: Statistic calculated for the security based Monthly ITEMID madjprc
on the rules for the selected portfolio type. Header Adjprc
SUBNO 0
Extended Information
If no statistic is calculated, a missing value dependent
on the portfolio statistic is set. Missing market PRICE ADJUSTED, LAST AVAILABLE
capitalizations are set to zero, and missing beta or NONMISSING
standard deviations are set to –99.0. Category: Prices
Statistic calculations are based on the methodology
Stock and Index Data Description Guide

Data Type: Floating Point

of the portfolio type. The statistic is for the current
period, and usually determines the portfolio Description:
assignment of the next period. Daily — Last available non-missing daily close or
bid/ask average, adjusted for distributions. Bid/ask
average is used if price is not available. Bid/ask average
DATE RANGE AVAILABILITY
identified by a leading dash -.
Daily 1925
Monthly 1925 Monthly — The last non-missing closing price of a
DATABASE AVAILABILITY AND PRODUCT TYPES
security for the last trading day of the month, adjusted
Database Formats CRSPAccess
for distributions. If unavailable, the number in the
Product Types STK
price field is replaced with a bid/ask average (marked
TS_PRINT/TSQUERY USAGE
by a leading dash).
Daily ITEMID stat
Monthly ITEMID mstat
DATE RANGE AVAILABILITY
Header Stat
Daily 1925
SUBNO PORTID
Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
PRICE ADJUSTED, END OF PERIOD Product Types STK
TS_PRINT/TSQUERY USAGE
Category: Prices
Daily ITEMID adjprc
Data Type: Floating Point Monthly ITEMID madjprc
Header Adjprcprev
Description:
SUBNO 1
Daily — Daily close, adjusted for distributions.
Replaced with bid/ask average if price not available.
Bid/ask average identified by a leading dash -.

Monthly — The closing price of a security for the last

trading day of the month, adjusted for distributions. If
73 PRICE ALTERNATE Data Type integer number

Monthly: Price Alternate is an alternate monthly price Unit of Item YYYYMMDD date

derived from daily prices. Price Alternate contains the DATE RANGE AVAILABILITY
Daily n/a
last non-missing price in the month. The date of this
Monthly 196207
price is stored in the Price Alternate Date field. Price
CHAPTER 2: Data Definitions

DATABASE AVAILABILITY AND UTILITY USAGE

Alternate is set to zero if no prices are available in
Database Formats CRSPAccess
the month. New issues that do not begin on the last
Product Types STK
trading date of a month have the first price and date of
ts_print Daily Usage n/a
the first price at the beginning of the Price Alternate
ts_print Monthly Usage n/a
and Price Alternate Date time series arrays.
stk_print Option(s) /pn
Price Alternate is available only on monthly databases C USAGE
during time periods when daily data are available. Object numtrd_ts
Array numtrd[ ]
GENERAL INFORMATION
Element n/a
Primary Concepts Auxiliary Time Series Data
FORTRAN-95 USAGE
Data Type real number
Type or Subtype altprcdt_ts
Unit of Item USD
Member and/or Array altprcdt_ts()
DATE RANGE AVAILABILITY
Element n/a
Daily n/a
Stock and Index Data Description Guide

Monthly 196207 PRICE, END OF PERIOD

DATABASE AVAILABILITY AND UTILITY USAGE
Category: Prices
Database Formats CRSPAccess
Product Types STK Data Type: Floating Point
ts_print Daily Usage n/a
Description: If the closing price is not available for
ts_print Monthly Usage n/a
any given period, the number in the price field is
stk_print Option(s) /po
replaced with a bid/ask average. Bid/ask averages have
C USAGE
dashes placed in front of them. These do not wrongly
Object altprc_ts
reflect negative prices, but serve simply to distinguish
Array altprc[ ]
Element
bid/ask averages from actual closing prices. If neither
n/a
FORTRAN-95 USAGE
price nor bid/ask average is available, Price or Bid/Ask
Type or Subtype altprc_ts
Average is set to zero.
Member and/or Array altprc_ts()
If the security of a company is included in the
Element n/a
composite pricing network, then the closing price
while listed on the exchange on a trading date is the
PRICE ALTERNATE DATE last trading price for that day on the exchange on
Monthly: Price Alternate Date contains the date of which the security last traded. Similarly, highs, lows,
the monthly Price Alternate (derived from daily data) and volumes include trades on all U.S. exchanges on
in YYYYMMDD format. If this price is nonzero, then which that security traded. For example, if a stock
Price Alternate Date contains the date of that price. trades on both the NYSE and the PACX (Pacific Stock
If there are no non-missing prices in the month, then Exchange), and the last trade occurs on the PACX, the
Price Alternate Date and Price or Bid/Ask Average are closing price on that day represents the closing price
set to zero. New issues that do not begin on the last on the PACX, not the NYSE.
trading date of a month are set to the first price and
Price data for NASDAQ securities come directly from
date available in the month.
the NASD with the close of the day. Automated trades
GENERAL INFORMATION
and after hour trading are not reflected in the close,
Primary Concepts Auxiliary Time Series Data
high, low, bid, or ask, but are included in the number
74 of trades and volumes. There is no price data from one PRICE, LAST AVAILABLE NONMISSING
trading day applied to the next trading day. Category: Prices

All prices are raw prices as they were reported at the Data Type: Floating Point
time of trading. Description: Daily — The last non-missing daily
CHAPTER 2: Data Definitions

closing price or bid/ask average of a security. If price is

Daily: Price or Bid/Ask Average is the closing price
unavailable, the number in the price field is replaced
or the bid/ask average for a trading day. If the closing
with a bid/ask average (marked by a leading dash).
price is not available on any given trading day, the
number in the price field is a bid/ask average, not an Monthly — The last non-missing closing price of
actual closing price. a security for the last trading day of the month. If
unavailable, the number in the price field is replaced
Daily trading prices for The NASDAQ National
with a bid/ask average (marked by a leading dash).
Market securities were first reported November 1,
1982. Daily trading prices for The NASDAQ SmallCap DATE RANGE AVAILABILITY

Market were first reported June 15, 1992. Price or Daily 1925

Bid/Ask Average for NASDAQ securities is always a Monthly 1925

negative bid/ask average before this time. DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess

Monthly: In a monthly database, Price or Bid/Ask Product Types STK

Stock and Index Data Description Guide

Average is the price on the last trading date of the TS_PRINT/TSQUERY USAGE

month. The price series begins the first month-end Daily ITEMID prc

after the security begins trading and ends the last Monthly ITEMID mprc
Header Prcprev
complete month of trading. If the closing price is not
SUBNO 1
available on any given end of month trading day, the
number in the price field is a bid/ask average, not an
actual closing price. Trading prices for The NASDAQ
National Market securities were first reported PRIMARY EXCHANGE, END OF PERIOD
November 1, 1982. Trading prices for The NASDAQ Category: Name History
SmallCap Market were first reported June 15, 1992.
Data Type: Character
Price or Bid/Ask Average for NASDAQ securities is
always a bid/ask average, (identified with “-“ before the Description: Character code indicating the exchange
value) before these dates. on which the security has its primary listing at the end
of the period reported. (N = NYSE, A = NYSE MKT,
DATE RANGE AVAILABILITY Q = NASDAQ, R = Arca, B = Bats, I= IEX, X = Other)
Daily 1925
DATE RANGE AVAILABILITY
Monthly 1925
Daily 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
Monthly 1925
Database Formats CRSPAccess
DATABASE AVAILABILITY AND PRODUCT TYPES
Product Types STK
Database Formats CRSPAccess
TS_PRINT/TSQUERY USAGE
Product Types STK
Daily ITEMID prc
ts_print/TsQuery Usage
Monthly ITEMID mprc
Daily ITEMID primexch
Header Prc
Monthly ITEMID mprimexch
SUBNO 0
Header Primexch
SUBNO 0
75 PRIMARY EXCHANGE, END OF PREVIOUS R.
PERIOD
RECORD DATE
Category: Name History
Record Date is the record date on which the
Data Type: Character
stockholder must be registered as holder of record on
CHAPTER 2: Data Definitions

Description: Character code indicating the exchange the stock transfer records of the company in order
on which the security has its primary listing at the to receive a particular distribution directly from the
end of the period preceding the period reported. (N = company. This integer date is coded as YYYYMMDD,
NYSE, A = NYSE MKT, Q = NASDAQ, R = Arca, B = and set to 0 if unavailable.
Bats, X = Other)
For a merger, exchange, or total liquidation in
DATE RANGE AVAILABILITY which the company disappeared, Record Date is, by
Daily 1925 convention, set equal to the date of the last price or
Monthly 1925 Delisting Date.
DATABASE AVAILABILITY AND PRODUCT TYPES
Record dates of liquidating payments after delisting are
Database Formats CRSPAccess
reported when available, and set to 0 when unavailable.
Product Types STK
TS_PRINT/TSQUERY USAGE GENERAL INFORMATION
Daily ITEMID primexch Primary Concepts Distribution Event Array
Monthly ITEMID mprimexch Data Type integer number
Stock and Index Data Description Guide

Header Primexche Unit of Item YYYYMMDD date

SUBNO 1 DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925

PRIMARY EXCHANGE, MOST RECENT DATABASE AVAILABILITY AND UTILITY USAGE

Database Formats CRSPAccess
Category: Name History
Product Types STK
Data Type: Character ts_print Daily Usage n/a
ts_print Monthly Usage n/a
Description: As of the period being accessed, the
ind_print Option(s) /di
character code indicating the exchange on which the
C USAGE
security has its most recently known primary listing.
Object dists_arr
(N = NYSE, A = NYSE MKT, Q = NASDAQ, R =
Array dists[ ]
Arca, B = Bats, X = Other)
Element rcrddt
DATE RANGE AVAILABILITY FORTRAN-95 USAGE
Daily 1925 Type or Subtype dists_arr
Monthly 1925 Member and/or Array dists( )
DATABASE AVAILABILITY AND PRODUCT TYPES Element rcrddt
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE RELATED ASSIGNMENT INFORMATION
Daily ITEMID primexch Related Assignment Information is a group of fields
Monthly ITEMID mprimexch defining the time periods and associated indexes used
Header Primexchl to form portfolios. It primarily defines the rebalancing
SUBNO 2 periods when the portfolio is reformed based on new
information. Related Assignment Information contains
the fields Basic Assignment Type Code, INDNO of
Associated Index, Portfolio Number in Associated
Index, Calendar Identification Number of Rebalancing
76 Calendar, Calendar Identification Number of Array indhdr
Assignment Calendar, and Calendar Identification Element induniv.begdt or partuniv.begdt
Number of Calculations Calendar. FORTRAN-95 USAGE
Type or Subtype indhdr
GENERAL INFORMATION
Member and/or Array induniv or partuniv
Primary Concepts Index Header
CHAPTER 2: Data Definitions

Element begdt
Data Type structure
Unit of Item Set (partition assignment)
DATE RANGE AVAILABILITY RESTRICTION END DATE (PARTITION OR
Daily 1925
INDEX)
Monthly 1925
Restriction End Date is the last date, in YYYYMMDD
DATABASE AVAILABILITY AND UTILITY USAGE
format, of data included in a partition universe
Database Formats CRSPAccess
Product Types IND
restriction or an index universe restriction. Restriction
ts_print Daily Usage n/a
End Date is set to 0 if there is no date restriction.
ts_print Monthly Usage n/a GENERAL INFORMATION
ind_print Option(s) /hr Primary Concepts Index Header
C USAGE Data Type integer number
Object indhdr_row Unit of Item YYYYMMDD date
Array indhdr DATE RANGE AVAILABILITY
Stock and Index Data Description Guide

Element assign Daily 1925

FORTRAN-95 USAGE Monthly 1925
Type or Subtype indhdr DATABASE AVAILABILITY AND UTILITY USAGE
Member and/or Array assign Database Formats CRSPAccess
Element n/a Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
RESTRICTION BEGIN DATE (PARTITION OR
ind_print Option(s) /hr
INDEX)
C USAGE
Restriction Begin Date is the first date, in Object indhdr_row
YYYYMMDD format, of data included in a partition Array indhdr
universe restriction or an index universe restriction. Element induniv.enddt or partuniv.enddt
Restriction Begin Date is set to 0 if there is no date FORTRAN-95 USAGE
restriction. Type or Subtype indhdr
Member and/or Array induniv or partuniv
GENERAL INFORMATION
Element enddt
Primary Concepts Index Header
Data Type integer number
Unit of Item YYYYMMDD date
RETURN OF DELISTED ISSUES FLAG
DATE RANGE AVAILABILITY
Daily 1925
Return of Delisted Issues Flag is a code describing
Monthly 1925 whether delisting returns are applied to securities
DATABASE AVAILABILITY AND UTILITY USAGE delisting from the exchange during a rebalancing
Database Formats CRSPAccess period of an index. The following codes are used:
Product Types IND CODE DESCRIPTION
ts_print Daily Usage n/a
0 Unknown or not applicable
ts_print Monthly Usage n/a
1 Delisting return is applied to issues that delist during the period
ind_print Option(s) /hr
2 Issues must have price during period on target exchange to be included
C USAGE in index
Object indhdr_row
77
GENERAL INFORMATION available, then the delisting return is calculated
Primary Concepts Index Header using that price.
Data Type integer number
Unit of Item Code • If a final distribution is available, then the delisting
DATE RANGE AVAILABILITY return is calculated using all known distribution
CHAPTER 2: Data Definitions

Daily 1925 information occurring after the date of last price.

Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE • If distributions occurring after the date of last
Database Formats CRSPAccess price are available, but no final distribution has
Product Types IND been found, then the delisting return is calculated
ts_print Daily Usage n/a as if a final distribution were found. (This applies
ts_print Monthly Usage n/a only to issues closed to further research.)
ind_print Option(s) /hr
C USAGE • If there is evidence that no distributions will
Object indhdr_row ever be paid to shareholders, then the stock is
Array indhdr considered worthless. The delisting return is set to
Element flags.delretflag -1 (i.e. a 100% loss).
FORTRAN-95 USAGE
Type or Subtype indhdr • If there is evidence that the stock has been
Member and/or Array flags declared worthless, then the delisting return is set
Stock and Index Data Description Guide

Element delretflag to -1 (i.e. a 100% loss).

For any issue that is closed to further research and

RETURNS none of the above criteria are met, the delisting return
Category: Returns is given a missing return code. For any issue that is
pending further research, the delisting return is given a
Data Type: Floating Point
missing return code of -55.0.
Summary: Daily — Daily change in the total value of
an investment, using prices or bid/ask averages if prices MISSING DELISTING RETURN CODES
not available. Dividends are reinvested on the Ex-date. CODE REASON FOR MISSING RETURN

Monthly — Month-end to month-end change in total -55.0 CRSP has no sources to establish a value after delisting or is unable to
assign a value to one or more known distributions after delisting
investment of a security, with ordinary dividends
-66.0 more than 10 trading periods between a security’s last price and its
reinvested at the month-end. first available price on a new exchange

Extended Information: Delisting Return is the return -88.0 security is still active

of a security after it has delisted from NYSE, NYSE -99.0 security trades on a new exchange after delisting, but CRSP currently
has no sources to gather price information
MKT, or NASDAQ. The Delisting Return is calculated
by comparing the security’s Amount After Delisting
with its price on the last day of trading. The Amount Monthly: If Amount After Delisting is non-zero and
After Delisting can be either an off-exchange price, Delisting Payment Date is less than or equal to the
an off-exchange price quote, or the sum of a series Delisting Date, the Delisting Return represents a
of distribution payments. The effective date of the partial-month return, not a Delisting Return. The
delisting return is specified in the Delisting Payment partial-month returns compare the value on the last
Date. day of trading with the value on the last month-end
date and do not factor in additional after-delisting
The return for any issue that has been closed to further information.
research is calculated as follows: DATE RANGE AVAILABILITY
Daily 1925
• If a price within 10 periods of the delist date is Monthly 1925
 DATABASE AVAILABILITY AND PRODUCT TYPES DATE RANGE AVAILABILITY
78
Database Formats CRSPAccess Daily 1925
Product Types STK Monthly 1925
TS_PRINT/TSQUERY USAGE DATABASE AVAILABILITY AND PRODUCT TYPES
Daily ITEMID ret Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Monthly ITEMID mret Product Types STK

Header Ret TS_PRINT/TSQUERY USAGE
SUBNO 0 Daily ITEMID reti
Monthly ITEMID mreti
RETURNS, CUMULATIVE Header Reti
Category: Returns SUBNO 0

Data Type: Floating Point

Description: Daily — Daily total returns compounded RETURNS ON INCOME, CUMULATIVE
from the beginning day in the range. Each trading day Category: Returns
in the time series contains a cumulative return since
the beginning period. Data Type: Floating Point
Description: Daily — Daily returns on income
Monthly — Monthly total returns compounded from compounded from the beginning day in the range.
the beginning month in the range. Each period in Each period in the time series contains a cumulative
Stock and Index Data Description Guide

the time series contains a cumulative return since the return since the beginning period.
beginning period.
Monthly — Monthly returns on income compounded
DATE RANGE AVAILABILITY from the beginning month in the range. Each period
Daily 1925 in the time series contains a cumulative return since
Monthly 1925 the beginning period.
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess DATE RANGE AVAILABILITY
Product Types STK Daily 1925
TS_PRINT/TSQUERY USAGE Monthly 1925
Daily ITEMID cumtret DATABASE AVAILABILITY AND PRODUCT TYPES
Monthly ITEMID mcumtret Database Formats CRSPAccess
Header Cumtret Product Types STK
SUBNO 0 TS_PRINT/TSQUERY USAGE
Daily ITEMID cumiret
Monthly ITEMID mcumiret
RETURNS ON INCOME Header Cumiret
Category: Returns SUBNO 0

Data Type: Floating Point

Description: Return on dividends, the difference RETURNS WITHOUT DIVIDENDS
between total return and return without dividends. Category: Returns
Compounding income returns over a longer time series Data Type: Floating Point
interval using CRSP software does not produce the
difference between the associated compounded total Description: Daily — Day-to-day capital appreciation of
return and compounded return without dividends. a security, calculated as a change in price, or bid/ask
Compounding income return produces results average if prices not available.
irrespective of capital appreciation on the reinvested Monthly — Month-end to month-end capital
dividend amount over the time period. appreciation of a security, calculate as a change in price
79 only. DATE RANGE AVAILABILITY
Daily 1925
Extended Information
Monthly 1925
Ordinary dividends and certain other regularly taxable DATABASE AVAILABILITY AND PRODUCT TYPES
dividends are excluded from the returns calculation. Database Formats CRSPAccess
See “Holding Period Total Return” for missing
CHAPTER 2: Data Definitions

Product Types STK

values. The formula is the same as for Holding Period TS_PRINT/TSQUERY USAGE
Total Returns except that ordinary dividends are not Daily ITEMID cumaret
included in d(t). Monthly ITEMID mcumaret
Header Cumaret
Missing Value Codes
SUBNO 0
A series of special return codes specify the reason a
return is missing: S.
CODE REASON FOR MISSING RETURN
SECURITY STATUS, END OF PERIOD
-66.0 Valid current price but no valid previous price. Either first price,
unknown exchange between current and previous price, or more Category: Name History
than 10 periods between time t and the time of the preceding price
Data Type: Character
t’.
-77.0 Not trading on the current exchange at time t. Description: One-character code describing the status
-88.0 Outside the security’s price range. of a security at the end of the period reported. (W =
Stock and Index Data Description Guide

-99.0 Missing return due to missing price at time t; usually due to when issued, R = regular way, E = ex-distributed, Q =
suspension in trading or trading on unknown exchange. non-leading when issued, X = untracked exchange or
unknown)
DATE RANGE AVAILABILITY
Daily 1925 DATE RANGE AVAILABILITY

Monthly 1925 Daily 1925

DATABASE AVAILABILITY AND PRODUCT TYPES Monthly 1925

Database Formats CRSPAccess DATABASE AVAILABILITY AND PRODUCT TYPES

Product Types STK Database Formats CRSPAccess

TS_PRINT/TSQUERY USAGE Product Types STK

Daily ITEMID retx TS_PRINT/TSQUERY USAGE

Monthly ITEMID mretx Daily ITEMID secstat

Header Retx Monthly ITEMID msecstat

SUBNO 0 Header Secstat

SUBNO 0
RETURNS WITHOUT DIVIDENDS,
CUMULATIVE
SECURITY STATUS, END OF PREVIOUS
Category: Returns
PERIOD
Data Type: Floating Point Category: Name History
Description: Daily — Daily returns without dividends Data Type: Character
compounded from the beginning month in the range.
Description: One-character code describing the status
Each period in the time series contains a cumulative
of a security at the end of the period preceding the
return since the beginning period.
period reported. (W = when issued, R = regular way,
Monthly — Monthly returns without dividends E = ex-distributed, Q = non-leading when issued, X =
compounded from the beginning month in the range. untracked exchange or unknown)
Each period in the time series contains a cumulative DATE RANGE AVAILABILITY
return since the beginning period. Daily 1925
 Monthly 1925 Database Formats CRSPAccess
80
DATABASE AVAILABILITY AND PRODUCT TYPES Product Types STK
Database Formats CRSPAccess TS_PRINT/TSQUERY USAGE
Product Types STK Daily ITEMID shrcls
TS_PRINT/TSQUERY USAGE Monthly ITEMID mshrcls
CHAPTER 2: Data Definitions

Daily ITEMID secstat Header CL

Monthly ITEMID msecstat SUBNO 0
Header Secstate
SUBNO 1

SHARE CLASS, END OF PREVIOUS PERIOD

Category: Name History
SECURITY STATUS, MOST RECENT
Category: Name History Data Type: String

Data Type: Character Description: Character identifying the class of stock

as of the period preceding the period being accessed,
Description: One-character code describing the most
generally left blank. Assigned by the exchange in
recently known status of a security at the end of the
cooperation with the company.
period reported. (W = when issued, R = regular way,
E = ex-distributed, Q = non-leading when issued, X = DATE RANGE AVAILABILITY
Daily 1925
Stock and Index Data Description Guide

untracked exchange or unknown)

Monthly 1925
DATE RANGE AVAILABILITY
DATABASE AVAILABILITY AND PRODUCT TYPES
Daily 1925
Database Formats CRSPAccess
Monthly 1925
Product Types STK
DATABASE AVAILABILITY AND PRODUCT TYPES
TS_PRINT/TSQUERY USAGE
Database Formats CRSPAccess
Daily ITEMID shrcls
Product Types STK
Monthly ITEMID mshrcls
TS_PRINT/TSQUERY USAGE Header CLE
Daily ITEMID secstat SUBNO 1
Monthly ITEMID msecstat
Header Secstatl
SUBNO 2 SHARE CLASS, MOST RECENT
Category: Name History
Data Type: String
SHARE CLASS, END OF PERIOD
Category: Name History Description: Character identifying the most recently
known class of stock as of the end of period, generally
Data Type: String left blank. Assigned by the exchange in cooperation
Description: Character identifying the class of stock as with the company.
of the end of period, generally left blank. Assigned by DATE RANGE AVAILABILITY
the exchange in cooperation with the company. Any Daily 1925
letter that identifies the class of stock (e.g., “A” for class Monthly 1925
A common) is contained in the first position of this DATABASE AVAILABILITY AND PRODUCT TYPES
field. Database Formats CRSPAccess

DATE RANGE AVAILABILITY Product Types STK

Daily 1925 TS_PRINT/TSQUERY USAGE

Monthly 1925 Daily ITEMID shrcls

DATABASE AVAILABILITY AND PRODUCT TYPES Monthly ITEMID mshrcls

81
Header CLL used by CRSP in the Share Code variable. The fields
SUBNO 2 in the structure are Share Code Groupings for Subsets,
Valid First Digit of Share Code, and Valid Second
Digit of Share Code.
SHARE CODE GROUPINGS FOR SUBSETS
(PARTITION OR INDEX RESTRICTION) GENERAL INFORMATION
CHAPTER 2: Data Definitions

Primary Concepts Index Header

Share Code Groupings for Subsets is an integer code
Data Type structure
describing the generic share code groupings used in
Unit of Item Set (Id codes)
universe subsets describing the valid issues used when
DATE RANGE AVAILABILITY
partitioning the market or in the actual index. The
Daily 1925
following codes are used:
Monthly 1925
CODE DESCRIPTION DATABASE AVAILABILITY AND UTILITY USAGE
0 No share code restriction or not applicable Database Formats CRSPAccess
1 Common stocks excluding ADRs Product Types IND
2 Common stocks excluding ADRs and foreign incorporated companies ts_print Daily Usage n/a
3 Common stocks excluding ADR’s, foreign incorporated companies, REITS, ts_print Monthly Usage n/a
and closed end funds ind_print Option(s) n/a
4 Common stocks
C USAGE
Object indhdr_row
Stock and Index Data Description Guide

GENERAL INFORMATION Array indhdr

Primary Concepts Index Header Element induniv.shrcd or partuniv.shrcd
Data Type integer number FORTRAN-95 USAGE
Unit of Item Code Type or Subtype indhdr
DATE RANGE AVAILABILITY Member and/or Array induniv or partuniv
Daily 1925 Element shrcd
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess SHARE TYPE CODE, END OF PERIOD
Product Types IND
Category: Name History
ts_print Daily Usage n/a
ts_print Monthly Usage n/a Data Type: Double Precision Floating Point
ind_print Option(s) /hr Description: 2-digit code as of end of period. First digit
C USAGE
describes the type of security, second digit provides
Object indhdr_row
further security or company detail.
Array indhdr
Element induniv.shrcd.sccode or partuniv.shrcd.sccode First Digit:
FORTRAN-95 USAGE
CODE DESCRIPTION
Type or Subtype indhdr
1 Ordinary Common Shares
Member and/or Array induniv or partuniv
2 Certificates, Americus Trust Components (Prime, Score, & Units)
Element sccode
3 ADRs (American Depositary Receipts)
4 SBIs (Shares of Beneficial Interest)
7 Units (Depositary Units, Units of Beneficial Interest, Units of Limited
SHARE CODE SCREEN STRUCTURE
Partnership Interest, Depositary Receipts, etc), Exchange Traded Funds
(PARTITION OR INDEX RESTRICTION)
Share Code Screen Structure contains fields defining Second Digit:
groups of CRSP security share codes included in CODE DESCRIPTION
the subset describing the valid issues used when 0 Securities which have not been further defined
partitioning the market or in the actual index. See 1 Securities which need not be further defined
“Share Type Code” for details of the 2-digit share codes 2 Companies incorporated outside the US
82
3 Americus Trust Components (Prime, Score, & Units), Exchange Traded second digit provides further security or company
Funds detail.
4 Closed-end funds
DATE RANGE AVAILABILITY
5 Closed-end fund companies incorporated outside the US
Daily 1925
8 REIT’s (Real Estate Investment Trusts)
Monthly 1925
CHAPTER 2: Data Definitions

For example, a Share Type Code of 14 represents DATABASE AVAILABILITY AND PRODUCT TYPES
ordinary common shares of a closed-end fund. Database Formats CRSPAccess
Product Types STK
DATE RANGE AVAILABILITY
TS_PRINT/TSQUERY USAGE
Daily 1925
Daily ITEMID shrcd
Monthly 1925
Monthly ITEMID mshrcd
DATABASE AVAILABILITY AND PRODUCT TYPES
Header SCL
Database Formats CRSPAccess
SUBNO 2
Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID shrcd
SHARES OUTSTANDING
Monthly ITEMID mshrcd
Header SC Category: Shares
SUBNO 0
Data Type: Double Precision Floating Point
Stock and Index Data Description Guide

Description: The unadjusted number of publicly held

SHARE TYPE CODE, END OF PREVIOUS shares on NYSE, NYSE MKT, NASDAQ, Arca and
PERIOD Bats exchanges, recorded in 1000s.
Category: Name History DATE RANGE AVAILABILITY
Daily 1925
Data Type: Double Precision Floating Point
Monthly 1925
Description: 2-digit code as of the period preceding DATABASE AVAILABILITY AND PRODUCT TYPES
the period reported. First digit describes the type Database Formats CRSPAccess
of security, second digit provides further security or Product Types STK
company detail. TS_PRINT/TSQUERY USAGE
Daily ITEMID shr
DATE RANGE AVAILABILITY
Monthly ITEMID mshr
Daily 1925
Header Shr
Monthly 1925
SUBNO 0
DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE SHARES OUTSTANDING, ADJUSTED
Daily ITEMID shrcd Category: Shares
Monthly ITEMID mshrcd
Data Type: Double Precision Floating Point
Header SCE
SUBNO 1 Description: Shares Outstanding is the number of
publicly held shares of securities listed on NYSE,
NYSE MKT, NASDAQ, Arca and Bats stock
SHARE TYPE CODE, MOST RECENT exchanges, recorded in 1000s. This figure represents
Category: Name History the actual, undiluted value.
Data Type: Double Precision Floating Point The Shares Outstanding Observations Array contains
Description: 2-digit code, most recently known as of observation events and cannot be used to directly
end of period. First digit describes the type of security, find the shares outstanding each calendar period.
83 Utility functions and programs are available to GENERAL INFORMATION
map observations to time series to calculate market Primary Concepts Shares Outstanding Observations Array
capitalization. If there is no time series data over a Data Type integer number
time period, but the security has a Shares Outstanding Unit of Item YYYYMMDD date
value, the last valid Shares Outstanding value has been DATE RANGE AVAILABILITY
CHAPTER 2: Data Definitions

carried over. Daily 1925

Monthly 1925
DATE RANGE AVAILABILITY
DATABASE AVAILABILITY AND UTILITY USAGE
Daily 1925
Database Formats CRSPAccess
Monthly 1925
Product Types STK
DATABASE AVAILABILITY AND PRODUCT TYPES
ts_print Daily Usage n/a
Database Formats CRSPAccess
ts_print Monthly Usage n/a
Product Types STK
stk_print Option(s) /sh, /sa
TS_PRINT/TSQUERY USAGE
C USAGE
Daily ITEMID adjshr
Object shares_arr
Monthly ITEMID madjshr
Array shares[ ]
Header Adjshr
Element shrsdt
SUBNO 0
FORTRAN-95 USAGE
Type or Subtype shares_arr
Member and/or Array shares()
Stock and Index Data Description Guide

SHARES OUTSTANDING, ADJUSTED FOR

Element shrsdt
RIGHTS
Category: Shares
SHARES OUTSTANDING OBSERVATION
Data Type: Double Precision Floating Point
END DATE
Description: The number of publicly held shares
on NYSE, NYSE MKT, NASDAQ, Arca and Bats Shares Observation End Date is the last effective date
exchanges, recorded in 1000s and adjusted for rights of a shares outstanding observation. It is set to the
only. latest date prior to the Shares Observation Date of the
next observation. The Shares Observation End Date
DATE RANGE AVAILABILITY
of the last observation is set to the Delisting Date.
Daily 1925
If the Shares Observation Date is after the Delisting
Monthly 1925
Date, then the Shares Observation End Date is set to
DATABASE AVAILABILITY AND PRODUCT TYPES
99999999.
Database Formats CRSPAccess
Product Types STK GENERAL INFORMATION
TS_PRINT/TSQUERY USAGE Primary Concepts Shares Outstanding Observations Array
Daily ITEMID adjshr Data Type integer number
Monthly ITEMID madjshr Unit of Item YYYYMMDD date
Header Adjshrxr DATE RANGE AVAILABILITY
SUBNO 1 Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
SHARES OUTSTANDING OBSERVATION DATE Database Formats CRSPAccess
Product Types STK
Shares Observation Date is a specific date
ts_print Daily Usage n/a
corresponding to a Shares Outstanding value. The
ts_print Monthly Usage n/a
shares date is either the statement date from a firm’s
stk_print Option(s) /sh, /sa
annual or quarterly report, the Ex-Distribution Date of
C USAGE
a distribution affecting the shares outstanding, or the
Object shares_arr
date of a shares observation taken from another source.
 Array shares[ ] DATE RANGE AVAILABILITY
84
Element shrsenddt Daily 1925
FORTRAN-95 USAGE Monthly 1925
Type or Subtype shares_arr DATABASE AVAILABILITY AND PRODUCT TYPES
Member and/or Array shares() Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Element shrsenddt Product Types STK

TS_PRINT/TSQUERY USAGE
SHARES OUTSTANDING OBSERVATION FLAG Daily ITEMID shr

Shares Outstanding Observation Flag is an integer Monthly ITEMID mshr

value indicating the source of the shares outstanding Header Shrxr

observation: SUBNO 1

INTEGER VALUE DESCRIPTION

0 Share structure extracted from CRSP data sources SIC CODE, END OF PERIOD
1 Share structure imputed from a split or other distribution
Category: Name History
2 Shares observation added on the date of a change in the name
history, using the effective shares outstanding on that date Data Type: Double Precision Floating Point
implied by another
Description: The SIC code used to group companies
GENERAL INFORMATION
with similar products or services at the end of the
Primary Concepts Shares Outstanding Observations Array
period reported.
Stock and Index Data Description Guide

Data Type integer number

Unit of Item Code Extended Information: The Standard Industrial
DATE RANGE AVAILABILITY Classification Manual contains descriptions of
Daily 1925 categories recognized by the US Government. SIC
Monthly 1925 Code is an integer between 100 and 9999. The first
DATABASE AVAILABILITY AND UTILITY USAGE two digits refer to a major group. The first three digits
Database Formats CRSPAccess refer to an industry group. All four digits indicate an
Product Types STK industry. Missing SIC Codes are set to either 0 or
ts_print Daily Usage n/a 9999, more so the latter after March 2000 although
ts_print Monthly Usage n/a both do still exist after this time frame. Prior to
stk_print Option(s) /sh, /sa March 2000, the NASDAQ stock exchange reported
C USAGE the first three digits of NASDAQ listed companies
Object shares_arr based on the company reported primary industry and
Array shares[ ] CRSP has commonly added a fourth digit of zero in
Element shrflg these situations. SIC codes of NYSE and NYSE MKT
FORTRAN-95 USAGE companies are reported with four digits based on SEC
Type or Subtype shares_arr groupings. Since March 2000 most new SIC Codes
Member and/or Array shares() assigned include four significant digits, but not all do
Element shrflg and so some codes after March 2000 may still only
have 3 significant digits.
SHARES OUTSTANDING, UNADJUSTED FOR SIC Codes were introduced around 1930. Securities
RIGHTS populating the CRSP universe that existed prior
Category: Shares to 1930 may have code assignments. CRSP actively
chose to apply the original SIC coding scheme to
Data Type: Double Precision Floating Point
these securities as a way to provide a valid means of
Description: The number of publicly held shares on classification.
NYSE, NYSE MKT, NASDAQ, and Arca exchanges,
The North American Industry Classification System
recorded in 1000s and adjusted for price factors other
(NAICS) was introduced in 1997, to succeed the SIC
than rights.
85 codes. See “North American Industry Classification SIC CODE, MOST RECENT
System Code”. Category: Name History
In the December 2009 stock database, CRSP removed Data Type: Double Precision Floating Point
SIC Codes provided by our source, Mergent, from our Description: The most recent SIC code used to group
Stock Databases and replaced them with SIC Codes companies with similar products or services.
CHAPTER 2: Data Definitions

from Interactive Data Corporation. Mergent was the

Date Range Availability
primary source for SIC Code for NYSE, NYSE MKT
Daily 1925
& Arca securities from 20010824 through 2009. IDC
Monthly 1925
has always been a continuous alternate source of SIC
DATABASE AVAILABILITY AND PRODUCT TYPES
Codes, so no holes in coverage were introduced by
Database Formats CRSPAccess
the elimination of the Mergent data. The differences Product Types STK
in codes resulting from our change in source did not TS_PRINT/TSQUERY USAGE
impact the CRSP Indexes. Daily ITEMID siccd

DATE RANGE AVAILABILITY Monthly ITEMID msiccd

Daily 1925 Header SICL

Monthly 1925 SUBNO 2

DATABASE AVAILABILITY AND PRODUCT TYPES

Database Formats CRSPAccess
Product Types STK SIC CODE - HEADER
Stock and Index Data Description Guide

TS_PRINT/TSQUERY USAGE Standard Industrial Classification (SIC) Code - Header

Daily ITEMID siccd
is the last non-zero SIC Code found in a specific
Monthly ITEMID msiccd
security’s name structure. The Standard Industrial
Header SIC
Classification (SIC) Code - Header is zero for
SUBNO 0
ompanies for which CRSP has no SIC Codes.
GENERAL INFORMATION
SIC CODE, END OF PREVIOUS PERIOD Primary Concepts Header Identification and Summary
Category: Name History Data
Data Type integer number
Data Type: Double Precision Floating Point
Unit of Item Code
Description: The SIC code used to group companies DATE RANGE AVAILABILITY
with similar products or services at the end of the Daily 1925
period preceding the period reported. Monthly 1925
DATE RANGE AVAILABILITY DATABASE AVAILABILITY AND UTILITY USAGE
Daily 1925 Database Formats CRSPAccess
Monthly 1925 Product Types STK
DATABASE AVAILABILITY AND PRODUCT TYPES ts_print Daily Usage n/a
Database Formats CRSPAccess ts_print Monthly Usage n/a
Product Types STK stk_print or ind_print Option(s) /hh, /hr, /hrl, /hn

TS_PRINT/TSQUERY USAGE C USAGE

Daily ITEMID siccd Object header_row

Monthly ITEMID msiccd Array header
Header SICE Element hsiccd
SUBNO 1 FORTRAN-95 USAGE
Type or Subtype stkhdr
Member and/or Array n/a
Element hsiccd
86 SPREAD BETWEEN BID AND ASK Database Formats CRSPAccess

Monthly: Spread Between Bid and Ask is the Product Types IND
ts_print Daily Usage n/a
difference between the closing bid and ask quotes for
ts_print Monthly Usage n/a
a security. It is available only when Ask or High Price
ind_print Option(s) n/a
and Bid or Low Price are available and Closing Price
CHAPTER 2: Data Definitions

C USAGE
or Bid/Ask Average is a bid/ask average. If Closing
Object rebal_arr[ ]
Price or Bid/Ask Average is zero and Spread between
Array rebal[ ][ ]
Bid and Ask is negative, the spread represents a Bid or
Element avgstat
Low Price. If Closing Price or Bid/Ask Average is zero
FORTRAN-95 USAGE
and Spread between Bid and Ask is positive, Spread
Type or Subtype rebal_arr()
Between Bid and Ask represents an Ask or High Price.
Member and/or Array rebal(,)
It is set to zero if unavailable. Element avgstat
GENERAL INFORMATION
Primary Concepts Auxiliary Time Series Data
Data Type real number STATISTIC MAXIMUM IDENTIFIER
Unit of Item Mathematical value
Statistic Maximum Identifier is the identifier of the
DATE RANGE AVAILABILITY
entity in a portfolio with the maximum statistic at
Daily n/a
the beginning of a rebalancing period. The identifier
Monthly 1925
Stock and Index Data Description Guide

can be PERMNO or PERMCO depending on Index

DATABASE AVAILABILITY AND UTILITY USAGE
Statistic Grouping Code. It is set to zero if unavailable.
Database Formats CRSPAccess
Product Types STK GENERAL INFORMATION
ts_print Daily Usage n/a Primary Concepts Index Rebalancing History Arrays
ts_print Monthly Usage n/a Data Type integer number
stk_print or ind_print Option(s) /p2 Unit of Item Id
C USAGE DATE RANGE AVAILABILITY
Object spread_ts Daily 1925
Array spread[ ] Monthly 1925
Element n/a DATABASE AVAILABILITY AND UTILITY USAGE
FORTRAN-95 USAGE Database Formats CRSPAccess
Type or Subtype spread_ts Product Types IND
Member and/or Array spread() ts_print Daily Usage n/a
Element n/a ts_print Monthly Usage n/a
ind_print Option(s) /rb#
C USAGE
STATISTIC AVERAGE IN PERIOD Object rebal_arr[ ]
Array rebal[ ][ ]
Statistic Average in Period is the average statistical
Element maxid
value in a portfolio at the beginning of a rebalancing
FORTRAN-95 USAGE
period of a market segment index. It is set to zero if
Type or Subtype rebal_arr()
missing or unavailable.
Member and/or Array rebal(,)
GENERAL INFORMATION Element maxid
Primary Concepts Index Rebalancing History Arrays
Data Type real number
Unit of Item Mathematical value STATISTIC MAXIMUM IN PERIOD
DATE RANGE AVAILABILITY Statistic Maximum in Period is a maximum statistic
Daily 1925 value in the portfolio at the beginning of a rebalancing
Monthly 1925 period. It is set to zero if unavailable.
DATABASE AVAILABILITY AND UTILITY USAGE
87
GENERAL INFORMATION STATISTIC MINIMUM IDENTIFIER
Primary Concepts Index Rebalancing History Arrays Statistic Minimum Identifier is the identifier of the
Data Type real number entity in a portfolio with the minimum statistic at the
Unit of Item Mathematical value
beginning of a rebalancing period. The identifier can
DATE RANGE AVAILABILITY
be PERMNO or PERMCO depending on the Index
CHAPTER 2: Data Definitions

Daily 1925
Statistic Grouping Code. It is set to zero if unavailable.
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE GENERAL INFORMATION

Database Formats CRSPAccess Primary Concepts Index Rebalancing History Arrays

Product Types IND Data Type integer number

ts_print Daily Usage n/a Unit of Item Id

ts_print Monthly Usage n/a DATE RANGE AVAILABILITY

ind_print Option(s) /rb# Daily 1925

C USAGE Monthly 1925

Object rebal_arr[ ] DATABASE AVAILABILITY AND UTILITY USAGE

Array rebal[ ][ ] Database Formats CRSPAccess

Element maxstat Product Types IND

FORTRAN-95 USAGE ts_print Daily Usage n/a

Type or Subtype rebal_arr() ts_print Monthly Usage n/a

Member and/or Array rebal(,) ind_print Option(s) /rb#

Stock and Index Data Description Guide

Element maxstat C USAGE

Object rebal_arr[ ]
STATISTIC MEDIAN IN PERIOD Array rebal[ ][ ]
Element minid
Statistic Median in Period is the median statistic value
FORTRAN-95 USAGE
in a portfolio at the beginning of a rebalancing period.
Type or Subtype rebal_arr()
It is set to zero if unavailable.
Member and/or Array rebal(,)
GENERAL INFORMATION Element minid
Primary Concepts Index Rebalancing History Arrays
Data Type real number
Unit of Item Mathematical value STATISTIC MINIMUM IN PERIOD
DATE RANGE AVAILABILITY Statistic Minimum in Period is the minimum
Daily 1925 statistic value in the portfolio at the beginning of the
Monthly 1925 rebalancing period. It is set to zero if unavailable.
DATABASE AVAILABILITY AND UTILITY USAGE
GENERAL INFORMATION
Database Formats CRSPAccess
Primary Concepts Index Rebalancing History Arrays
Product Types IND
Data Type real number
ts_print Daily Usage n/a
Unit of Item Mathematical value
ts_print Monthly Usage n/a
DATE RANGE AVAILABILITY
ind_print Option(s) n/a
Daily 1925
C USAGE
Monthly 1925
Object rebal_arr[ ]
DATABASE AVAILABILITY AND UTILITY USAGE
Array rebal[ ][ ]
Database Formats CRSPAccess
Element medstat
Product Types IND
FORTRAN-95 USAGE
ts_print Daily Usage n/a
Type or Subtype rebal_arr()
ts_print Monthly Usage n/a
Member and/or Array rebal(,)
ind_print Option(s) /rb#
Element medstat
C USAGE
Object rebal_arr[ ]
88
Array rebal[ ][ ] ticker symbol ABCD, NASDAQ adds two additional
Element minstat characters, A and F. Due to NASDAQ’s limited
FORTRAN-95 USAGE fields, they will delete a letter from the base ticker, so
Type or Subtype rebal_arr() ABCDAF would be truncated to ABCAF.
Member and/or Array rebal(,)
There is no guarantee that the ticker suffix matches a
CHAPTER 2: Data Definitions

Element minstat
share type. The Share Code variable should be used to
determine the security’s share type. NASDAQ tickers
T. before 1982 in an issue’s name history are presumed
to represent legitimate trading symbols for that issue
TICKER, END OF PERIOD at some point in time, although these symbols may
Category: Name History be listed out of proper chronological sequence. In
addition, the NASDAQ file ticker symbols provided
Data Type: String
do not necessarily constitute a definitive list of all
Description: An alphabetic symbol assigned to a symbols used throughout an issue’s trading history.
security by an exchange at the end of the period Due to source limitations, the ticker field may be blank
reported. in name histories of NASDAQ securities that stopped
Extended Information trading from the early 1970s through the early 1980s.

Tickers can be reused over time. The combination NYSE tickers prior to July 1962 are blank.
Stock and Index Data Description Guide

of Ticker Symbol, Share Class, Exchange Code, and

Calendar Trading Date uniquely identifies a security.
DATE RANGE AVAILABILITY
A ticker may be one to three characters for NYSE and
Daily 1925
NYSE MKT securities or four to five characters for Monthly 1925
NASDAQ securities. DATABASE AVAILABILITY AND PRODUCT TYPES
NASDAQ trading tickers have four base characters Database Formats CRSPAccess
and may include a fifth character suffix that provides Product Types STK

information about an issue’s type or temporary TS_PRINT/TSQUERY USAGE

information about an issue’s status. CRSP only Daily ITEMID ticker

includes the suffix when it provides permanent Monthly ITEMID mticker

descriptive information. The following table describes Header Ticker

SUBNO 0
the suffixes appearing in CRSP databases:
SUFFIX DESCRIPTION TICKER, END OF PREVIOUS PERIOD
A Class A
Category: Name History
B Class B
S Shares of Beneficial Interest Data Type: String
U Unit
Description: An alphabetic symbol assigned to a
V When-issued
security by an exchange at the end of the period
Y ADR
preceding the period reported.
Z Miscellaneous common issues
DATE RANGE AVAILABILITY
Daily 1962
Occasionally NASDAQ will add two additional suffixes Monthly 196207
to the base ticker to identify certain issues. However, DATABASE AVAILABILITY AND PRODUCT TYPES
because the NASDAQ ticker field only allows for five Database Formats CRSPAccess
characters, one letter of the base ticker will be dropped. Product Types STK

For example: TS_PRINT/TSQUERY USAGE

Daily ITEMID ticker
If a foreign company with a class A stock has a base
89
Monthly ITEMID mticker TICKER, MOST RECENT
Header Tickere Category: Name History
SUBNO 1
Data Type: String
Description: The most recently used alphabetic symbol
CHAPTER 2: Data Definitions

TICKER - HEADER assigned to a security by an exchange.

Ticker - Header is set to the first seven characters of DATE RANGE AVAILABILITY
Trading Ticker Symbol - Header for active issues, and is Daily 1962
blank for delisted issues. The Trading Ticker Symbol - Monthly 196207
Header contains the symbol used by automated trading DATABASE AVAILABILITY AND PRODUCT TYPES
systems, including all supplied class, share type, or Database Formats CRSPAccess
status suffixes, with no punctuation for active securities Product Types STK
in the file. There are no current trading symbols longer TS_PRINT/TSQUERY USAGE
than seven characters. Daily ITEMID ticker
Monthly ITEMID mticker
Ticker - Header is used in CRSP access routines and Header Tickerl
utility programs using ticker as a database key. Usage is SUBNO 2

unchanged, but input lists built on previous

TRADING STATUS, END OF PERIOD
conventions of TICKER.SHRCLS for NYSE and
Stock and Index Data Description Guide

NYSE MKT securities must be changed to comply with Category: Name History
the new data. This change provides a field in the CRSP Data Type: Character
database that contains an exact match with symbols
Description: One-character field describing the status
available directly from exchanges and other sources.
of a security at the end of the period. (A = active, H =
halted, S = suspended, X = unknown)
GENERAL INFORMATION
Primary Concepts Header Identification and Summary DATE RANGE AVAILABILITY
Data Daily 1925
Data Type character Monthly 1925
Unit of Item Id DATABASE AVAILABILITY AND PRODUCT TYPES
DATE RANGE AVAILABILITY Database Formats CRSPAccess
Daily 1962 Product Types STK
Monthly 196207 TS_PRINT/TSQUERY USAGE
DATABASE AVAILABILITY AND UTILITY USAGE Daily ITEMID trdstat
Database Formats CRSPAccess Monthly ITEMID mtrdstat
Product Types STK Header Trdstat
ts_print Daily Usage n/a SUBNO 0
ts_print Monthly Usage n/a
ind_print Option(s) /hh, /hn
C USAGE
TRADING STATUS, END OF PREVIOUS
Object header_row
PERIOD
Array header
Element htick Category: Name History
FORTRAN-95 USAGE Data Type: Character
Type or Subtype stkhdr
Member and/or Array n/a
Description: One-character field describing the
Element htick
status of a security at the end of the period preceding
the period reported. (A = active, H = halted, S =
suspended, X = unknown)
 DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
90
Daily 1925 Daily 1925
Monthly 1925 Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Product Types STK Product Types STK

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID trdstat Daily ITEMID trdstat
Monthly ITEMID mtrdstat Monthly ITEMID mtrdstat
Header Trdstate Header Trdstatl
SUBNO 1 SUBNO 2

TRADING STATUS - HEADER

TRADING TICKER SYMBOL, END OF PERIOD
Trading Status is a one-character field containing the
Category: Name History
trading status of securities. See Trading Status for a list
of codes. Data Type: String
GENERAL INFORMATION Description: Trading symbol listed by exchanges and
Primary Concepts Header Identification and Summary consolidated quote systems, including all temporary
Stock and Index Data Description Guide

Data values, share classes and share type suffixes, at the end
Data Type character
of the period reported. There is no punctuation (no
Unit of Item Code
periods) in the Trading Ticker Symbol. N.B. this field
DATE RANGE AVAILABILITY
includes data starting on 20020102 for NYSE/NYSE
Daily 1925
MKT, and 19821101 for NASDAQ.
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE DATE RANGE AVAILABILITY

Database Formats CRSPAccess Daily 19821101

Product Types STK Monthly 198211

ts_print Daily Usage n/a DATABASE AVAILABILITY AND PRODUCT TYPES

ts_print Monthly Usage n/a Database Formats CRSPAccess

ind_print Option(s) /hn Product Types STK

C USAGE TS_PRINT/TSQUERY USAGE

Object header_row Daily ITEMID tsymbol

Array header Monthly ITEMID mtsymbol
Element htrdstat Header Symbol

FORTRAN-95 USAGE SUBNO 0

Type or Subtype stkhdr

Member and/or Array n/a
Element htrdstat
TRADING TICKER SYMBOL, END OF
PREVIOUS PERIOD
TRADING STATUS, MOST RECENT Category: Name History
Category: Name History Data Type: String
Data Type: Character Description: Trading symbol listed by exchanges and
Description: One-character field describing the status consolidated quote systems, including all temporary
of a security most recently known at the end of the values, share classes and share type suffixes, at the end
period. (A = active, H = halted, S = suspended, X = of the period preceding each period reported.
unknown)
 DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY
91
Daily 19821101 Daily 19821101
Monthly 198211 Monthly 198211
DATABASE AVAILABILITY AND PRODUCT TYPES DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess Database Formats CRSPAccess
CHAPTER 2: Data Definitions

Product Types STK Product Types STK

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE
Daily ITEMID tsymbol Daily ITEMID tsymbol
Monthly ITEMID mtsymbol Monthly ITEMID mtsymbol
Header Symbole Header Symboll
SUBNO 1 SUBNO 2

TRADING TICKER SYMBOL - HEADER U.

Trading Ticker Symbol - Header is the most current
UNIVERSE SUBSET TYPE CODE (PARTITION
trading symbol on file, listed by exchanges and
OR INDEX RESTRICTION)
consolidated quote systems. It includes all temporary
values, share classes, and share type suffixes. Universe Subset Type Code is an integer code defining
a set of restrictions used to define the universe of
GENERAL INFORMATION
stocks used to create partitions for an index or for the
Primary Concepts Header Identification and Summary
actual index. The following codes are used:
Stock and Index Data Description Guide

Data
Data Type character CODE DESCRIPTION
Unit of Item Id 0 Identifier restriction not applicable
DATE RANGE AVAILABILITY 10 NYSE common excluding foreign, ADRs, REIT, Closed End Funds
Daily 19821101 11 NYSE/NYSE MKT common excluding foreign, ADRs, REIT, Closed End
Monthly 198211 Funds

DATABASE AVAILABILITY AND UTILITY USAGE 12 NYSE/NYSE MKT/The NASDAQ National Market common excluding
foreign, ADRs, REIT, Closed End Funds
Database Formats CRSPAccess
20 NYSE common excluding ADRs
Product Types STK
21 NYSE MKT common excluding ADRs
ts_print Daily Usage n/a
22 NYSE/NYSE MKT common excluding ADRs
ts_print Monthly Usage n/a
23 NASDAQ common excluding ADRs
ind_print Option(s) /hn
24 NYSE/NYSE MKT/NASDAQ common excluding ADRs
C USAGE
30 NYSE common
Object header_row
31 NYSE MKT common
Array header
32 NYSE/NYSE MKT common
Element htsymbol
33 NASDAQ common
FORTRAN-95 USAGE
34 NYSE/NYSE MKT/NASDAQ common
Type or Subtype stkhdr
35 NYSE common excluding ADRs and foreigns
Member and/or Array n/a
36 NYSE MKT common excluding ADRs and foreigns
Element htsymbol
37 NYSE/NYSE MKT common excluding ADRs and foreigns
38 NASDAQ common excluding ADRs and foreigns

TRADING TICKER SYMBOL, MOST RECENT 39 NYSE/NYSE MKT/NASDAQ common excluding ADRs and foreigns
40 Arca common excluding ADRs
Category: Name History
41 Arca common
Data Type: String 42 NYSE/NYSE MKT/NASDAQ/Arca common excluding ADRs
43 NYSE/NYSE MKT/NASDAQ/Arca common
Description: Trading symbol listed by exchanges and
consolidated quote systems, including all temporary
values, share classes and share type suffixes, most
recently known.
 GENERAL INFORMATION ts_print Daily Usage n/a
92
Primary Concepts Index Header ts_print Monthly Usage n/a
Data Type integer number ind_print Option(s) /hr
Unit of Item Code C USAGE
DATE RANGE AVAILABILITY Object indhdr_row
CHAPTER 2: Data Definitions

Daily 1925 Array indhdr

Monthly 1925 Element partuniv.wantexch or induniv.wantexch
DATABASE AVAILABILITY AND UTILITY USAGE FORTRAN-95 USAGE
Database Formats CRSPAccess Type or Subtype indhdr
Product Types IND Member and/or Array partuniv or induniv
ts_print Daily Usage n/a Element wantexch
ts_print Monthly Usage n/a
ind_print Option(s) /hr
C USAGE VALID FIRST DIGIT OF SHARE CODE
Object indhdr_row (PARTITION OR INDEX RESTRICTION)
Array indhdr
Valid First Digit of Share Code is an integer code
Element partuniv.univcode or induniv.univcode
describing the valid digits in the first digit of the share
FORTRAN-95 USAGE
code in a subset universe used to partition an index or
Type or Subtype indhdr
in the actual index. Valid First Digit of Share Code is
Member and/or Array partuniv or induniv
Stock and Index Data Description Guide

Element univcode
the decimal representation of a 10-digit binary number.
The nth bit of the binary number is 1 if an n in the
first digit of the Share Code is valid in the subset, and
V.
a 0 otherwise.
VALID EXCHANGE CODES IN UNIVERSE
GENERAL INFORMATION
(PARTITION OR INDEX RESTRICTION)
Primary Concepts Index Header
Valid Exchange Codes in Universe is an integer code Data Type integer number
indicating the base exchanges in the universe used to Unit of Item Code
partition an index or to populate the actual index. The DATE RANGE AVAILABILITY
following table lists the base codes used. The sum of Daily 1925
two or more codes indicates all selected exchanges are Monthly 1925
valid. DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
CODE DESCRIPTION
Product Types IND
0 No exchange restriction
ts_print Daily Usage n/a
1 NYSE
ts_print Monthly Usage n/a
2 NYSE MKT
ind_print Option(s) /hr
4 NASDAQ Stock Market
C USAGE
8 Arca
Object indhdr_row
Array indhdr
GENERAL INFORMATION
Element partuniv.shrcd.fstdig or induniv.shrcd.
Primary Concepts Index Header
fstdig
Data Type integer number
FORTRAN-95 USAGE
Unit of Item Code
Type or Subtype indhdr
DATE RANGE AVAILABILITY
Member and/or Array partuniv or induniv
Daily 1925
Element fstdig
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
93 VALID INCORPORATION OF SECURITIES GENERAL INFORMATION
IN UNIVERSE (PARTITION OR INDEX Primary Concepts Index Header
RESTRICTION) Data Type integer number
Unit of Item Code
Valid Incorporation of Securities in Universe describes
DATE RANGE AVAILABILITY
the incorporation of companies selected in a subset
CHAPTER 2: Data Definitions

Daily 19820402
universe used to partition an index or in the actual
Monthly 198204
index. The following integer codes are used.
DATABASE AVAILABILITY AND UTILITY USAGE
CODE DESCRIPTION Database Formats CRSPAccess
0 Not applicable or no restriction by country of incorporation Product Types IND
1 Companies incorporated outside of the US are excluded ts_print Daily Usage n/a
ts_print Monthly Usage n/a
GENERAL INFORMATION ind_print Option(s) /hr
Primary Concepts Index Header C USAGE
Data Type integer number Object indhdr_row
Unit of Item Code Array indhdr
DATE RANGE AVAILABILITY Element partuniv.wantnms or induniv.wantnms
Daily 1962 FORTRAN-95 USAGE
Monthly 1925 Type or Subtype indhdr
DATABASE AVAILABILITY AND UTILITY USAGE Member and/or Array partuniv or induniv
Stock and Index Data Description Guide

Database Formats CRSPAccess Element wantnms

Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
VALID SECOND DIGIT OF SHARE CODE
ind_print Option(s) /hr (PARTITION OR INDEX RESTRICTION)
C USAGE Valid Second Digit of Share Code is an integer code
Object indhdr_row describing the valid digits in the second digit of the
Array indhdr Share Code in a subset universe used in an index
Element partuniv.wantinc or induniv.wantinc partition or in the actual index. Valid Second Digit of
FORTRAN-95 USAGE Share Code is the decimal representation of a 10-digit
Type or Subtype indhdr binary number. The nth bit of the binary number is 1
Member and/or Array partuniv or induniv if an n in the second digit of the Share Code is valid in
Element wantinc
the subset, and a 0 otherwise.

VALID NASDAQ MARKET GROUPS GENERAL INFORMATION

IN UNIVERSE (PARTITION OR INDEX Primary Concepts Index Header

RESTRICTION) Data Type integer number

Unit of Item Code

Valid NASDAQ Market Groups in Universe is an DATE RANGE AVAILABILITY

integer code indicating valid NASDAQ markets in Daily 1925

the universe subset used to partition an index or used Monthly 1925

in the actual index. The NASDAQ National Market DATABASE AVAILABILITY AND UTILITY USAGE

is a subset of The NASDAQ Stock MarketSM. The Database Formats CRSPAccess

following codes are used: Product Types IND

ts_print Daily Usage n/a
CODE DESCRIPTION ts_print Monthly Usage n/a
0 No National Market restriction, or not applicable ind_print Option(s) /hr
1 Only issues listed on The NASDAQ National Market are included C USAGE
Object indhdr_row
94
Array indhdr VOLUME, AVERAGE
Element partuniv.shrcd.secdig or induniv.shrcd.secdig Category: Volume
FORTRAN-95 USAGE
Type or Subtype indhdr
Data Type: Double Precision Floating Point
Member and/or Array partuniv or induniv Description: Daily — Average daily volume traded
CHAPTER 2: Data Definitions

Element secdig within the selected output calendar. For example, the
weekly calendar will average the 5 trading days within
each week.
VALID WHEN-ISSUED SECURITIES IN
UNIVERSE (PARTITION OR INDEX Monthly — Average monthly volume traded within the
RESTRICTION) selected output calendar. For example, the quarterly
Valid When-Issued Securities in Universe is an integer calendar will average the 3 month-end volumes in the
code describing the types of when-issued trading quarter.
allowed in a subset universe used in an index partition Date Range Availability
or in the actual index. The following codes are used: Daily 1925
Monthly 1925
CODE DESCRIPTION
Database Availability and Product Types
0 No when-issued restrictions, or not applicable
Database Formats CRSPAccess
10 Initial when-issued trading is included when available. Ex-distribution
trading is excluded. When-issued trading during reorganizations is Product Types STK
included. ts_print/TsQuery Usage
Stock and Index Data Description Guide

110 Initial when-issued trading is excluded until issue attains regular-way Daily ITEMID volavg
status. Ex-distribution trading is excluded. When-issued trading during Monthly ITEMID mvolavg
reorganizations is included.
Header Volavg
SUBNO 0
GENERAL INFORMATION
Primary Concepts Index Header
Data Type integer number VOLUME, MEDIAN
Unit of Item Code
Category: Volume
DATE RANGE AVAILABILITY
Daily 1925 Data Type: Double Precision Floating Point
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE Description: Daily — Median daily volume traded
Database Formats CRSPAccess within the selected output calendar. For example, the
Product Types IND weekly calendar will select the median value for the 5
ts_print Daily Usage n/a trading days within each week.
ts_print Monthly Usage n/a
ind_print Option(s) /hr Monthly — Median monthly volume traded within the
C USAGE selected output calendar. For example, the quarterly
Object indhdr_row calendar will select the median value for the 3 month-
Array indhdr end volumes in the quarter.
Element partuniv.wantwi or induniv.wantwi
FORTRAN-95 USAGE DATE RANGE AVAILABILITY
Type or Subtype indhdr Daily 1925
Member and/or Array partuniv or induniv Monthly 1925
Element wantwi DATABASE AVAILABILITY AND PRODUCT TYPES
Database Formats CRSPAccess
Product Types STK
TS_PRINT/TSQUERY USAGE
Daily ITEMID volmed
95
Monthly ITEMID mvolmed number of shares they bought and the total number of
Header Volmed shares they sold. The NASDAQ system summed the
SUBNO 0 greater figure (whether buy or sell) from the market
reports to create daily volume figures.
VOLUME, TOTAL
CHAPTER 2: Data Definitions

Category: Volume Beginning in November 2008, the BATS Exchange

joined the consolidated pricing network. From that
Data Type: Floating Point
time forward, volumes reported in the CRSP Stock
Description: database include trades on the BATS Exchange, which
Daily: Total raw number of shares of a stock traded now accounts for over 10% of all US equity trading on
on that day, and is not adjusted for splits during the a daily basis.
month and it does not contain over-allotments.
DATE RANGE AVAILABILITY
Monthly: The sum of the trading volumes during Daily 1925
that month. Monthly volumes are the sum of shares Monthly 1925

reported in units of 100, and are not adjusted for splits DATABASE AVAILABILITY AND PRODUCT TYPES

during the month. Database Formats CRSPAccess

Product Types STK
Volume, Total is the integer raw number of shares TS_PRINT/TSQUERY USAGE
traded during the calendar period. It is expressed in Daily ITEMID tvol
Stock and Index Data Description Guide

units of one share, for daily data, and on hundred Monthly ITEMID mtvol

shares for monthly data. Up until March, 2014, our Header Vol

data source for NYSE/NYSE MKT reports the number SUBNO 0

rounded to the nearest hundred. For example, 12,345

shares traded will be reported on the NASDAQ Stock VOLUME, TOTAL ADJUSTED
Exchange as 12,345 and on the NYSE or NYSE MKT
Category: Volume
exchanges as 12,300. Volume is set to -99 if the value is
missing. A volume of zero usually indicates that there Data Type: Floating Point
were no trades during the time period and is usually Description:
paired with bid/ask quotes in price fields. Trades on Daily: Total volume traded within the selected output
all exchanges connected to the consolidated pricing calendar, adjusted for splits. For example, the weekly
network are included in the volume. calendar will sum the 5 trading days within each week.

On NASDAQ, volumes of after-hours trades are Monthly: Total volume traded within the selected
included in the current day, while the trades or quotes output calendar, adjusted for splits. For example, the
are included the next day. Therefore, it is possible quarterly calendar will sum the 3 months within each
to have bid/ask or missing price quotes paired with quarter.
nonzero volumes. Trades on all exchanges connected
to the consolidated pricing network and all late trades DATE RANGE AVAILABILITY
are included in the volume. There are no volumes Daily 1925
available on NASDAQ prior to November 1, 1982. Monthly 1925
DATABASE AVAILABILITY AND PRODUCT TYPES
Until June 15, 1992, NASDAQ reported volumes Database Formats CRSPAccess
differently on the NASDAQ National Market and Product Types STK
NASDAQ SmallCap Market. On the National Market, TS_PRINT/TSQUERY USAGE
the volume of each transaction was reported by one Daily ITEMID adjvol
party involved in the transaction. On the SmallCap Monthly ITEMID madjvol
Market, all market makers of a security made two Header Adjvol

volume reports at the end of the market day, the total SUBNO 0
96 W.

WEIGHT OF ISSUE
Weight of Issue is the defined weight of an issue within
the index during the range indicated in a list defining
CHAPTER 2: Data Definitions

the index. It is set to zero if weighting is defined based

on data and not part of the list definition.
GENERAL INFORMATION
Primary Concepts Index List History Array
Data Type real number
Unit of Item Mathematical value
DATE RANGE AVAILABILITY
Daily 1925
Monthly 1925
DATABASE AVAILABILITY AND UTILITY USAGE
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
Stock and Index Data Description Guide

ind_print Option(s) /hr

C USAGE
Object list_arr[]
Array list[][]
Element weight
FORTRAN-95 USAGE
Type or Subtype list_arr()
Member and/or Array list()
Element weight
 CHAPTER 3: CRSP CALCULATIONS

This area contains formulas and methodologies used to if t > C0 and no split events since t-1,
derive CRSP variables in the stock and index files and C(t) = C(t-1)
generated by the CRSP data utilities. if t > C0 and a split event with factor f since t-1,
C(t) = C(t-1) * f
ADJUSTED DATA if t > C0 and split event change
Price, dividend, shares, and volume data are historically C(t-1)/f
adjusted for split events to make data directly comparable if t < C0 and a split event change
at different times during the history of a security. CRSP C(t+1)*f
provides raw, Unadjusted Data, but data utilities stk_print
and ts_print can be used to generate Adjusted Data. Where factor is typically the Factor to Adjust Price
variable + 1.
An adjustment base date is chosen as the anchor date.
All data on this date are unadjusted, and other data are If there is a gap in trading where possible split events are not
converted based on the split events between the base date known, all adjusted values are set to missing when the gap is
and the time of that data. The adjustment base date is between the observation and the adjustment base date.
usually chosen to be the last available day of trading.
Monthly: If monthly summary data (id or Low Price, Ask or
Split events always include stock splits, stock dividends, High Price, and Volume Traded) are adjusted, the adjustment
and other distributions with price factors such as spin-offs, factor cannot take into account adjustments that take place
stock distributions, and rights. Shares and volumes are only in the middle of the month. Therefore, the result assumes all
adjusted using stock splits and stock dividends. Split events adjustment events occur on the last trading day of the month.
are applied on the Ex-Distribution Date. A more accurate monthly adjusted value can be derived by
adjusting and resummarizing the underlying daily data.
Price and dividend data are adjusted with the calculation:

A(t) = P(t) / C(t),

ANNUALIZED RETURN
where A(t) is the adjusted value at time t, P(t) is the raw Annualized Return is the constant annual return applied
value at time t, and C(t) is the cumulative adjustment to each period in arrays that would result in the actual
factor at time t. compounded return over that range. An Annualized Return
is a special case of a Geometric Average Return where the
Share and volume data are adjusted with the calculation: time periods are expressed in terms of years.

A(t) = P(t) * C(t),

ASSOCIATED PORTFOLIO RETURN
where A(t) is the adjusted value at time t, P(t) is the raw
Associated Portfolio Returns are a composite of a group of
value at time t, and C(t) is the cumulative adjustment
portfolio index series based on a time-dependent portfolio
factor at time t.
assignment for a security. They are built for each security
based on assignments within the specified portfolio type.
In both cases, where C0 is the adjustment base date, the
The associated portfolio return at any time is the return of
cumulative adjustment factor is:
the portfolio to which the security belongs at that time. If
if t = C0, the security is not assigned to a portfolio of that type at the
C(t) = 1.0 time, the associated portfolio return is set to a missing value.

Stock and Index Data Description Guide • PAGE 97

98 CUMULATIVE RETURN DIVIDEND AMOUNT IN PERIOD (TS_PRINT ITEM)
A Cumulative Return is a compounded return from Dividend Amount is the cash adjustment factor in a
a fixed starting point. Each period in a time series of holding period return time period used to calculate
Cumulative Returns contains the compounded return returns. It is an adjusted summation of all distribution
from the first period in the time series to the end of cash amounts available in the distribution history with
CHAPTER 3: CRSP Calculations

that period. Ex-distribution dates after the previous period and

up to and including the current period, adjusted to
the basis at the end of the previous period. Dividend
DELISTING RETURN Amount can be divided into nonordinary and ordinary
types. Nonordinary dividends include return of capital
Delisting Return is the return of security after it is
distributions. Ordinary dividends are excluded from
delisted. It is calculated by comparing a value after
capital appreciation returns calculations.
delisting against the price on the security’s last trading
date. The value after delisting can include a price on
To calculate an adjusted Dividend Amount in Period
another exchange or the total value of distributions to
to its basis at the end of a date range, the following
shareholders. If there is no opportunity to trade a stock
formula may be used with data items extracted through
after delisting before it is declared worthless, the value
ts_print:
after delisting is zero. Delisting Returns are calculated
similarly to total returns except that the value after Divamt in period adjusted to end of range = divamt /
delisting is used as the current price. cumfacpr / facpr
Stock and Index Data Description Guide

Valid delisting payment information is either a

Where
valid price with at least a bid and ask quote within
divamt Dividend Amount in Period
ten trading periods, or a complete set of payments
cumfacpr Cumulative Factor to Adjust Prices
received for the shares. If information after delisting
over a Date Range
is insufficient to generate a return a missing value is
facpr Factor to Adjust Price in Period
reported.
Thus, to calculate a total return using adjusted
Monthly: The monthly Delisting Return is calculated
prices and dividends,
from the last month ending price to the last daily
Total Return = (adjprc + (divamt / cumfacpr / facpr)) /
trading price if no other delisting information is
prev_adjprc – 1
available. In this case the delisting payment date is the
same as the delisting date. If the return is calculated
Where
from a daily price, it is a partial-month return. The
adjpr Price Adjusted, End of Period
partial-month returns are not truly Delisting Returns
ev_adjprc Price Adjusted, End of Previous
since they do not represent values after delisting, but
Period
allow the researcher to make a more accurate estimate
of the Delisting Returns.

When valuing a portfolio, the Delisting Return or EXCESS RETURN

other representation can be used to assign a value An Excess Return is defined as the return in excess of
to the delisted security. The researcher must decide a comparable benchmark. The benchmark can be a
whether to assign alternate estimated values based single associated index series or a composite of a group
on the Delisting Code when delisting payment of portfolio index series based on security and time-
information is unavailable. If using monthly data and dependent portfolio assignments.
an alternate estimate for Delisting Return is used,
partial month returns should also be adjusted by this
factor.
99 If an Excess Return is based on a single index series, The Geometric Average Return is calculated using the
the Excess Return for a period is formula below:
E(t) = R(t)-I(t),
gn = ( 1 + rc)1/n – 1
where E(t) is the Excess Return at time t, R(t) is the Where
CHAPTER 3: CRSP Calculations

security return at time t, and I(t) is the index return gn = the Geometric Average Return applicable on
at time t. If the security return R(t) is based on a each subset period n
previous price t’ that is not the previous time period, rc = the cumulative return over the entire period
I(t) is the compounded index return from t’ + 1 to t. n = the number of equal subset periods to average
the return
If an Excess Return is based on associated portfolios,
the Excess Return for a period is
E(t) = R(t)-I(p(t),t) INCOME RETURN
Income Return is the return on the ordinary dividends
where E(t) is the Excess Return at time t, R(t) is
paid to shareholders of a security. It is the ratio of
the security return at time t, p(t) is the portfolio
the amount of ordinary dividends since the end of
assignment of the security at time t, and I(p(t),t) is
the previous period up to and including the end of
the return of that portfolio at time t. If the security
the period of interest to the price at the end of the
return R(t) is based on a previous price t’ that is not
previous period. It is similar to a dividend yield.
Stock and Index Data Description Guide

the previous time period, I(p(t),t) is the compounded

return of the security’s portfolio return from t’ +
Income Return is calculated by CRSP as the difference
1 to t. If the security is not assigned a portfolio
of the Total Return and Capital Appreciation Return,
assignment of the given type at time t, E(t) is set to a
as follows.
missing value.
irett=tret–arett where:
irett is the income return for time t
When cumulating Excess Return, the security returns
tret is the total return for time t,
and the index returns are cumulated separately before
arett is the capital appreciation return for time t.
subtracting the difference.

INDEX COUNT
Index Count is the count in an index for a time period
FACTOR TO ADJUST PRICES IN PERIOD (TS_PRINT
is the number of securities in the portfolio during the
ITEM)
time period. Rules are based on the specific index or
Factor to Adjust Prices in Period is the amount the portfolio methodology. See Total and Used Counts
current price is multiplied by in returns calculations for more details.
so that current and previous prices are on the same
split-adjusted basis. Factor to Adjust Prices in Period INDEX LEVEL
is derived from the Factor to Adjust Price field of Index Level is the value of an investment relative to
distributions with Ex-Distribution Dates after the its value at one fixed point in time. Index Levels allow
previous period and up to and including the current convenient comparison of the relative performance
period. In simple stock splits, Factor to Adjust Prices in of the different portfolios or asset classes. Differences
Period is distribution Factor to Adjust Price plus one. arise when indexes are based on different underlying
databases such as daily and monthly CRSP stock
products.
GEOMETRIC AVERAGE RETURN
The initial date and value are set arbitrarily, but must
A Geometric Average Return is the constant return be consistent if comparing multiple indexes. The Index
applied to each period in a range that would result in Level for any series at any time after the initial point
the compounded return over that range. indicates the value at that time of the initial value
100 invested at the initial point. The Index Level for any INDEX RETURN
series at any time before the initial point, indicates the An Index Return is the change in value of a portfolio
value invested at that time that will result in the initial over some holding period. The return on an index (Rt)
value at the initial point. The Index Level of a series is calculated as the weighted average of the returns for
missing prior to its first available return. Let: the individual securities in the index:
CHAPTER 3: CRSP Calculations

‚ It = Index Level for any series at time t

‚ Rt = return for the period t-1 to t
‚ F = First Return. The time of the first non-missing
return of the series where:
‚ D = Initial Date. An arbitrary date where the level is
set to the initial value ‚ Rt is the index return
‚ L = Initial Level. An arbitrary value the level is set to ‚ wi,t is the weight of security i at time t.
on the initialization date ‚ ri,t is the return of security i at time t. (see section
xxxx of Stock guide for Security Return Calculation)
then
In a value-weighted index, the weight (wi,t) assigned
‚ if t = D, then It = L
is its total market value; see Index Weight below. In
‚ if t > D, then It = It-1*(1+ Rt )
an equally-weighted index, the weight is equal and by
‚ if t < D, then It =
convention wi,t is set to one for every stock. Such an
Stock and Index Data Description Guide

‚ if t-1 < F then It is set to missing- Note: Missing values index would consist of n stocks, with the same dollar
are file format specific. amount invested in each stock.

Defined CRSP indexes use the following initial dates The security returns can be total returns or capital
and levels: appreciation (returns without dividends). This
determines whether the index is a total return index or
CRSP Stock File Indexes a capital appreciation index.
initial level 100.00
initial date December 29, 1972 In an index where the individual components are not
known, but an index level is available from an external
source, such as the Standard & Poor’s 500 Composite
CRSP Cap-Based Portfolios Index, the return Rt is calculated as follows:
initial level 1.00
initial date December 31, 1925

CRSP US Government Treasury and Inflation Rt is the index return for time t
Indexes
It is the index level at time t
initial level 100.00
initial date December 29, 1972 It-1 is the index level at end of the previous period (time
t-1)
Publicly available indexes such as for the S&P 500
Composite and NASDAQ Composite have initial
values set by their creators and differ from the CRSP
initializations.
101 INDEX WEIGHT RETURN
The weight of an index for a time period is the total A Return is the change in the total value of an
market value of the securities in the index at the end of investment in a security over some period of time
the previous trading period. Vt = ∑(wi,t)= ∑(vi,t) where: per dollar of initial investment. Total Return is the
vi,t = pi,t-1* si,t-1 in which: Holding Period Total Return for a sale of a security
CHAPTER 3: CRSP Calculations

on the given day, taking into account and reinvesting

‚ vi,t is value of security i at time t all distributions to shareholders. It is based on a
‚ pi,t-1 is the price of security i at the end of the previous purchase on the most recent time previous to this day
trading period (time t-1). when the security had a valid price. Usually, this time
‚ si,t-1 is the number of shares outstanding of security i is the previous calendar period, but may be up to ten
at the end of the previous trading period (time t-1). calendar periods prior to the calculation.

Returns are calculated as follows:

For time t (a holding period), let

MARKET CAPITALIZATION
Market Capitalization (in 1000s) is a measurement of Œ t’ = time of last available price < t
the size of a security defined as the price multiplied
by the number of shares outstanding. CRSP uses Œ r(t) = return on purchase at t’, sale at t
the closing price or the absolute value of the bid/ask
Stock and Index Data Description Guide

average from the Price or Bid/Ask Average variable Πp(t) = last sale price or closing bid/ask average at
and the applicable shares observation from the Shares time t
Outstanding Observation Array for each calendar
Πd(t) = dividend amount for t
period to calculate Market Capitalization.
Πf(t) = factor to adjust price in period t

REBASING INDEX LEVELS Œ p(t’) = last sale price or closing bid/ask average at
It is possible to rebase an index to make index levels of time of last available price < t
two index level series comparable. To rebase an index,
choose a new initial date and value, find the current
index level on the new initial date, and multiply the
levels on all dates by the new initial value divided by
the old initial date index level:
t’ is usually one period before t, but t’ can be up to
ten periods before t if there are no valid prices in the
interval. If there is a trading gap with unknown status
between t and t’, the previous price is considered
invalid.
where:
‚ It = Original Index Level for the series at time t
In daily databases, dividends are reinvested in the
‚ Nt = New Index Level for the series at time t
security on the Ex-Distribution Date. In monthly
‚ D = New Initial Date.
databases, the returns are holding period returns from
‚ ID = Original Index Level for the series on the new
month-end to month-end, not compounded daily
initial date
returns, and dividends are reinvested in the security at
‚ L = New Initial Level.
month-end.

The Factor to Adjust Prices in Period is derived from

the distribution history Factor to Adjust Price using
all distributions with Ex-Distribution dates after the
102 previous period and up to the end of the current ‚ Mt is the value-weighted market return at time t
period. The dividend amount is derived from the ‚ lMt=ln(1+Mt ) is the natural log of the value-weighted
distribution history Dividend Cash Amount and market return at time t+1 or the continuously
Factor to Adjust Price in the same range. For example, compounded return.
if a 2-for-1 split is the only distribution event in the ‚ M3t = lMt-1+ lMt + lMt+1 is the three-day moving
CHAPTER 3: CRSP Calculations

time range, Factor to Adjust Price is 1.0, Factor to window of the above market return
Adjust Prices in Period is 2.0, and Dividend Cash ‚ ni is the number of non-missing returns for security i
Amount is 0.0. If a one dollar dividend is the only during the year
distribution event in the time range, both Dividend
Cash Amount and dividend amount are 1.0. where the summations are over t and include all days
on which security i traded, beginning with the first
A series of special return codes specify the reason a trading day of the year and ending with the last trading
return is missing: day of the year. There are two index families based
on Scholes- Williams Beta calculations: NYSE/NYSE
-66.0 Valid current price, but no valid MKT and NASDAQ-only.
previous price; either first price,
unknown exchange between current In the NYSE/NYSE MKT family, only trading prices
and previous price, or more than are considered in the beta calculation, and a security
10 periods between time t and the must have traded half the days in a year to be given
time of the preceding price t’ a non-missing beta for that year. The index used in
Stock and Index Data Description Guide

-77.0 Not trading on the current exchange the calculation is the total returns on the Trade-only
at time t NYSE/NYSE MKT Value-Weighted Market Index.
-88.0 Outside the range of the security’s
price range Betas for the NASDAQ family do not use the standard
-99.0 Missing return due to missing price at Scholes-Williams trade-only data restriction, since
time t most NASDAQ securities were not required to report
transactions until 1992. Removing bid/ask averages
would restrict NASDAQ data to only NASDAQ
SCHOLES-WILLIAMS BETA National Market securities after 1982. NASDAQ
Beta is a statistical measurement of the relationship returns based on bid/ask averages have different
between two time series, and has been used to compare characteristics from trade-based returns, and betas are
security data with benchmark data to measure risk in provided for comparison. NASDAQ betas are based
financial data analysis. CRSP provides annual betas on the total returns on the NASDAQ Value-Weighted
computed using the methods developed by Scholes Market Index.
and Williams (Myron Scholes and Joseph Williams,
“Estimating Betas from Nonsynchronous Data,”
Journal of Financial Economics, vol 5, 1977, 309-327).

Beta is calculated each year as follows:

where:

‚ βi is the Beta for security i for the year being

calculated
‚ ri,t is the return of security i at day t
‚ lri,t = ln(1+ri,t )is the natural log of the return
of security i at time t+1 or the continuously
compounded return.
103 STANDARD DEVIATION TOTAL VALUE (TOTVAL) AND USED VALUE (USDVAL)
Standard Deviation is a statistical measurement Total Value and Used Value are provided for all
of the volatility of a series. CRSP provides annual CRSP stock indexes. The following table identifies
standard deviations of daily returns using the following differences.
calculations:
CHAPTER 3: CRSP Calculations

TOTAL VALUE USED VALUE

Current Day market value of eligible For value-weighted indexes, this is the
securities - price and shares for the Index weight - market value of eligible
current day are required for inclusion securities with - price for the current
day and price and shares for the
previous day are required for inclusion
where:
On same date the Total Value will
‚ σi is the standard deviation for security i for the year always be greater than or equal to the
being calculated Used Value.
‚ ri,t is the return of security i at time t
‚ ni is the number of non-missing returns for security i
during the year TRADE-ONLY DATA
where the summations are over t and include all CRSP provides Price or Bid/Ask Average as the
days on which security i had a non-missing return, standard daily price field, and derives returns from this
beginning with the first trading day of the year and field. Bid/ask averages are marked as negative numbers
ending with the last trading day of the year. A security
Stock and Index Data Description Guide

by convention. A trade-only price is derived from Price

must have valid returns for eighty percent of the or Bid/Ask Average by setting all bid/ask average
trading days in a year to have a Standard Deviation prices to missing. Trade-only returns are calculated
calculated. There are two families of indexes provided using trade-only prices. A trade-only index is calculated
by CRSP with annual standard deviations as the using trade-only prices and returns.
statistic, the NYSE/NYSE MKT Standard Deviation
Portfolios and the NASDAQ Standard Deviation UNADJUSTED DATA
Portfolios. Unadjusted Data is price, dividend, shares, and
volume data reported in the amounts reported at the
TOTAL COUNTS (TOTCNT) AND USED COUNTS
time of the observations. All CRSP data are provided
(USDCNT) unadjusted. However, the distribution history can be
Total Counts and Used Counts are provided for all used to generate Adjusted Data from the raw data.
indexes and portfolios. The following table identifies
differences. WEIGHTED RETURN
Weighted Return is the relative weight of a security
TOTAL COUNT USED COUNT
within a portfolio or index multiplied by its return.
Current Day closing price required for Previous day & current day closing
In a value-weighted portfolio, Weighted Return is
inclusion prices required for inclusion
the capitalization at the end of the previous period
On same date the Total Count will The Total Count on Day t will be greater
always be greater than or equal to the than or equal to the Used Count on Day multiplied by the return for the period.
Used Count. The difference will be t+1. The difference will be the number
the number of securities with missing of securities with missing prices on
prices on the previous day (usually t+1 (usually the drops)
adds).
Total Count will fluctuate throughout Used Count will fluctuate throughout
the year. the year.
 CHAPTER 4: INDEX METHODOLOGIES
CRSP provides a wide range of indexes that can be used as An Equal-Weighted Index and a Value-Weighted Index are
benchmarks of market performance. Broad market indexes calculated for each market group. Each index contains index
are provided with CRSP stock files. Additional market returns with and without dividends, index weights and
indexes, stock portfolios, bond indexes, and inflation series counts.
are provided with CRSP index files. The combination of
portfolio results and assignment data provided with CRSP The Equal-Weighted Index is an Equal-Weighted Portfolio
index files added to the security data in CRSP stock files built each calendar period from all issues listed on the
allows a comparison of securities against comparative selected exchanges with valid prices on the current and
benchmarks with a historical perspective. previous periods.

The Value-Weighted Index is a Value-Weighted Portfolio

I. STOCK FILE INDEXES
built each calendar period using all issues listed on the
selected exchanges with available shares outstanding and
The CRSP Stock File Indexes are a set of Market Indexes valid prices in the current and previous periods, excluding
and Decile Portfolio Indexes provided daily, monthly, American Depositary Receipts. Issues are weighted by their
quarterly, and annually for five market groups of securities. Market Capitalization at the end of the previous period.
The market groups of securities for which indexes are
calculated are the individual NYSE, NYSE MKT, NASDAQ An additional daily trade-only value-weighted index is
and Arca markets, the NYSE/NYSE MKT, NYSE/NYSE available for NYSE/NYSE MKT. This index uses the same
MKT/NASDAQ, and the NYSE/NYSE MKT/NASDAQ/ methdology as the NYSE/NYSE MKT Value-Weighted
Arca market combinations. Published S&P 500 and Market Index, but only includes non-ADR securities with
NASDAQ Composite Index Data are also included. trades on current and previous trading days.

The ranges for individual exchange data are listed below. Index Levels of CRSP Market Indexes are set to 100.0 on
The series containing combinations of exchanges begin December 29, 1972.
at the earliest point that data for any of the exchanges is
available. The NYSE/NYSE MKT/NASDAQ/Arca Market Indexes are
available in Daily and Monthly Stock Files. Other exchange
ƒ The New York Stock Exchange (NYSE) all series begins combinations are available in the CRSP US Index Database
December 31, 1925 and Security Portfolio Assignment Module.
ƒ NYSE MKT all series begins July 2, 1962
ƒ The NASDAQ Stock Market (NASDAQ) all series begins B. PUBLISHED S&P 500 AND NASDAQ COMPOSITE
December 14, 1972 INDEX DATA
‚ The Arca Exchange (Arca) all series begins The S&P 500 Composite Index is a value-weighted index
March 8, 2006 created by Standard & Poor’s. Since March 1957, the
index contains 500 securities. Prior to that time the index
NOTE: Quarterly and annual index returns are not
contained 90 securities. These have been combined into a
available for the series including Arca.
single time series. S&P Composite levels are collected from
Daily and monthly index returns are calculated based public sources such as the Dow Jones New Service, the Wall
on daily and monthly security holding period returns Street Journal and the Standard & Poor’s Statistical Service.
respectively. Quarterly and annual frequency index returns
The NASDAQ Composite Index is a value-weighted index
are calculated by compounding monthly index returns.
created by the NASDAQ Stock Market.
A. CRSP MARKET INDEXES

Stock and Index Data Description Guide • PAGE 104

105 Published S&P 500 and NASDAQ Composite “Estimating Betas from Nonsynchronous Data”,
Index Data are provided with the daily and monthly Journal of Financial Economics, vol 5, 1977, 309-327).
CRSPAccess Stock Files. Index levels and returns The other ranking uses the annual standard deviation
exclude dividends. As a result, the Return with of the daily returns for its ranking.
CHAPTER 4: Index Methodologies

Dividends variable returns a -88, or missing return

code, for both indexes. Total returns and membership The methodologies used to calculate these statistics
data for the S&P 500 are available to subscribers of the are described in the CRSP Calculations section under
CRSPAccess Index Files. Scholes- Williams Beta and Standard Deviation.

C. CRSP STOCK FILE CAPITALIZATION DECILE CRSP Stock File Risk-Based Decile Indexes are
INDEXES rebalanced each year by ranking the statistics at the
end of the previous year. If there are no data for the
CRSP Stock File Capitalization Decile Indexes are
previous year for an issue but a valid statistic can be
calculated for each of the Stock File Indexes market
calculated for the current year, that statistic is used in
groups. All securities excluding American Depositary
the rankings.
Receipts on a given exchange or combination of
exchanges are ranked according to capitalization and CRSP Beta Deciles are ranked with Portfolio 1
then divided into ten equal parts each rebalancing containing the securities with the largest positive betas
period. and 10 containing securities with the smallest and
most negative.
Stock and Index Data Description Guide

The portfolios are rebalanced each year, using the

security market capitalization at the end of the previous CRSP Standard Deviation Deciles are ranked with
year to rank the securities. If a security starts trading in Portfolio 1 containing the securities containing the
the middle of a year, its first capitalization of the year is largest standard deviations and portfolio 10 containing
used in the ranking. The largest securities are placed in securities with the lowest.Once securities are assigned
portfolio 10 and the smallest in portfolio 1. A security to portfolios, an equal-weighted total return index is
not assigned to a portfolio is not used in the index and calculated for each portfolio each calendar period.
has its Portfolio Assignment set to 0. Trade-only security total returns are used for the
NYSE/NYSE MKT Beta Portfolios only. Index levels
Value-Weighted Index Returns including all dividends
are calculated based on an initial value of 100.0 on
are calculated on each of the ten portfolios. Index
December 29, 1972.
levels are calculated based on an initial value of 100.0
on December 29, 1972. Each set of decile indexes represents one Index Group
of index results and one Portfolio Type of portfolio
Each set of decile indexes represents one Index Group
assignments and statistics. Ten Index Series are created
of index results and one Portfolio Type of portfolio
for each Portfolio Type.
assignments and statistics. Ten Index Series are created
for each Portfolio Type.
II. CRSP CAP-BASED PORTFOLIOS
D. CRSP STOCK FILE RISK-BASED DECILE
INDEXES
CRSP Cap-Based Portfolio Index data are a monthly
CRSP Stock File Risk-Based Decile Indexes are created series based on portfolios that are rebalanced quarterly.
for the daily NYSE/NYSE MKT and NASDAQ The methodology used to calculate the series differs
market combinations for two risk-based criteria. In from the CRSP Stock File Capitalization Decile
these Market Segment Indexes, portfolios are created Indexes.
by ranking securities according to a measurement of
the risk of their returns. One ranking uses beta values The universe includes all common stocks listed on the
computed using the methods developed by Scholes NYSE, NYSE MKT, and NASDAQ National Market
and Williams (Myron Scholes and Joseph Williams, excluding Unit Investment Trusts, Closed-End Funds,
106 REITs, Americus Trusts, foreign stocks and American these returns series based on an investment of one
Depositary Receipts. Eligible companies with primary dollar on December 25, 1925.
listings on the NYSE are ranked into equally populated ‚ Only monthly indexes and portfolio assignments are
deciles. The largest capitalizations in each decile serve calculated for the Cap-Based Portfolios. Each of the
CHAPTER 4: Index Methodologies

as the breakpoints that are applied to various exchange three sets of Cap-Based Indexes represents one Index
groupings of the universe. Group of index results and one Portfolio Type of
portfolio assignments and statistics. Seventeen Index
Decile results are created for three exchange groups: Series, one for each decile and each composite, are
created for each Portfolio Type.
‚ NYSE only
‚ NYSE and NYSE MKT. NYSE MKT data are added
beginning July 1962 III. CRSP INDEXES FOR THE
‚ NYSE, NYSE MKT and the NASDAQ National S&P 500 UNIVERSE
Market. The NASDAQ National Market data are
added beginning April 1982 CRSP Indexes for the S&P 500® Universe are
standard CRSP Market Indexes derived from CRSP
Individual decile portfolios are created for each Stock Files but include only issues from the CRSP
exchange group, the largest being in decile 1 and stock data that are in the S&P 500® universe.
the smallest in decile 10. In addition to each decile
Stock and Index Data Description Guide

portfolio, returns are calculated for the following: The CRSP Indexes for the S&P 500® series contain
CRSP 1-2, CRSP 3-5, CRSP 6- 8, CRSP 9-10, CRSP value- and equal-weighted returns with and without
6-10 and CRSP 1-10. dividends for a market of stocks in the S&P 500®
universe. Daily and monthly data beginning December
Companies becoming eligible or ineligible during a 25, 1925 are provided. The published S&P 500®
quarter are handled with the following rules: index and returns are also included for comparison.
‚ Previous period market capitalizations are used for For a security to be included in the CRSP indexes for
assigning deciles and weights.
the S&P 500 Universe, it must have a price at the end
‚ Securities added during a quarter are assigned to of the current period, a price at the end of the previous
appropriate portfolios when two consecutive month- period, and it must be a member of the S&P 500
end prices are available. Universe at the end of the current period. See CRSP
‚ When a security’s last price is a month-end price, Market Indexes for the variables calculated and the
its month’s return is included in the portfolios’ methodology used.
quarterly return.
Prior to March, 1957, the index contains 90 issues.
‚ When the month-end price is missing, a replacement
CRSP does not have data for two securities between
month-end value is derived from the delisting return
1925 and 1931 as follows.
including merger terms, regional exchanges, etc.
If the derived replacement month-end price is not Company Name Start Date End Date
available, the last available daily price is used.
INT’L MERCANTILE MARINE PFD 31-dec-1925 22-jul-1929
‚ If an issue becomes ineligible for an index in the STANDARD POWER & LIGHT “B” 06-feb-1930 16-nov-1931
middle of a quarter but is still active, such as after an
exchange change or because the issue is leaving the Due to differences in handling mergers,
NASDAQ National Market, the issue is considered reorganizations, and other major corporate actions,
held until the end of the month and then dropped. CRSP data and the S&P 500® universe do not always
‚ Index Total Returns, Index Capital Appreciation, have a one-to-one mapping. In some cases this results
and Index Income Returns are calculated from a in a short period where CRSP is missing prices or has
value-weighted portfolio of securities in the portfolio multiple prices per company listed by S&P.
each period. Index Levels are calculated for each of
The Count of Securities Used is not always 500 (90
107 prior to March 1957) due to missing prices. Known than ninety days to maturity may be selected. Due to
reasons for missing prices are when-issued trading, the lack of data, the selection process in periods prior
halts, and suspensions. to 1942 is somewhat subjective and the maturities of
the selected issues may deviate more than several days
A. CRSP PORTFOLIOS FOR THE S&P 500
CHAPTER 4: Index Methodologies

from the thirty and ninety day targets. Where bills were
UNIVERSE not available, certificates or notes may have been used.
The CRSP Portfolios for the S&P 500 Universe Exclusions may include:
include an alternate value- and equal-weighted version
of the CRSP indexes for the S&P 500 Universe. The ƒ suspicious quotes,
methodology differences are: ƒ issues that did not mature on their next coupon
payment data, or
ƒ Issues are selected based on membership in the S&P ‚ bid quotations that implied negative yields.
500 at the end of the previous period instead of the
end of the current period. Each monthly return is calculated as price change plus
‚ Delisting returns are used to evaluate the value of interest, divided by last month’s price. The returns and
securities that delist before the end of a period they corresponding index values are set to -99 for months
were selected. in which a return cannot be calculated, i.e. if the price
is missing for either this month or last month, or if no
valid issue was available.
IV. CRSP TREASURY AND INFLATION
Stock and Index Data Description Guide

INDEXES The issue chosen for the 30, 20, 10, 7, 5, 2, and 1 year
Fixed Term Index series for a given date was selected
The CRSP US Treasury and Inflation Series (CTI) based on its length to maturity as of the date. The
Files are provided on a monthly frequency. The series returns contained in these series are calculated under
contains returns adapted from the CRSP US Treasury the assumption that the relevant issue is bought one
Fixed Term Index Series, the CRSP Risk Free Rates month prior to the quote date and sold on the date.
File, and the US Government Consumer Price Index.
These derived files offer 10 groups of indexes: 30 The issue chosen for the 90 and 30 day Treasury
year, 20 year, 10 year, 7 year, 5 year, 2 year, 1 year, 90 Bill series on a given date was selected based on its
day, and 30 day target maturity indexes, as well as the length to maturity as of the month immediately prior
Consumer Price Index. to the date. The 90 and 30 day series returns were
calculated on the basis of buying the relevant issue
For fixed-term series with maturities of one year or one month prior to the date and selling it on the
greater, a representative Treasury bond or note for each date. For example, a 90 day bill return is calculated
series is selected. Available issues are filtered on the between a date approximately 90 days prior to the
basis of their characteristics. Each month, the most bill’s maturity, and the date which is a month after
recent non-callable, non-flower, and fully taxable issue this date. Likewise, a 30 day bill return is calculated
closest to the target maturity is selected. If none are between a date approximately 30 days prior to the bill’s
found, a second pass allows flower bonds. Note that maturity, and the date which is a date one month later.
all these series begin in 1941 or 1942 due to the lack of In cases where the date chronologically approached
suitable issues in the early history. or exceeded the maturity date, thereby making a final
price unavailable, the return was calculated based on a
For thirty and ninety day risk-free series, a final price of $100.
representative Treasury bill for each series is selected.
Each month the issue maturing closest to the target The associated index levels of the CRSP US Treasury
duration, as measured from the end of the previous and Inflation Series all have been initialized so that
month, is selected. Bills must have at least thirty days December 29, 1972 (19721229) equals 100. This
to their maturity date to be selected for the thirty day facilitates comparison between the CTI Indexes and
series. However, for ninety day series, bills with less Stock File Indexes.
108 V. CRSP SELECT FILE SPECIFICATIONS move up to the next highest maturity and so forth.

A. LONG TERM BOND SELECTION For the period 1934-1942, always choose a non-flower
bond (iflwr of 1) and preference is given to a bond
1. Select the 20-year bond that is the closest to having
that is partially tax-exempt (itax of 2). If a partially tax-
CHAPTER 4: Index Methodologies

a term of at least 19.5 years to maturity at the

exempt bond does not meet the above criteria, choose
beginning of the year. If more than one exists,
a wholly taxexempt bond ( itax of 3). After 1942 only
choose the bond with the most current dated date
fully taxable non-flower bonds are chosen.
(i.e. most recently issued).
Callable and non-callable U.S. Treasury bonds and
2. If a 20-year bond does not meet the above criteria,
notes are considered for index inclusion. The issues are
choose the 25-year bond with at least 19.7 years to
chosen from a universe of bonds issued with a term to
maturity at the beginning of the year. If more than
maturity between 1000 to 7000 days to maturity.
one exists, choose the bond closest to 20 years to
maturity. SHORT TERM BOND SELECTION

3. If a 25-year bond does not meet the above criteria, Choose the Treasury Bill closest to 90 days to maturity
choose the 30-year bond with at least 19.7 years to on the quote date. A bill can be within 4 days of target
maturity at the beginning of the year. If more than maturity, i.e. 90 days plus or minus 4 days. If a bill is
one exists, choose the bond closest to 20 years to not available use a certificate or a note.
Stock and Index Data Description Guide

maturity on the quote date.

The bond chosen under any of the categories above

cannot be dated any later than December 1st of the
previous year for which the bond is being considered
for inclusion in the index (i.e. dated date + one month
< = quote date). Before 1942, only partially tax-exempt
bonds (itax=2) are chosen because of the limited
number of fully taxable bond issues. After 1942, only
fully taxable issues are chosen (itax=1).

The bond is held for one full year in the index. Bonds
chosen for this index are either non-callable or callable
Treasury bonds with a type of Bond or Callable Bond.
A 20-year bond can be selected from a universe of
bonds that were issued as having a term to maturity
of 7305-7693 days, a 25-year bond from an issue of
8766-9892 days, and a 30- year bond from an issue of
10955-11288 days.

B. INTERMEDIATE TERM BOND SELECTION

1. Select the most currently issued 5 year bond with
at least 5 years to maturity at the beginning of the
calendar year.

2. If a 5-year bond does not meet the above criteria

select the next shortest maturity that is closest to 5
years to maturity on the quote date. For example,
if a 7-year bond exists, choose the 7-year closest to
5 years to maturity. If a 7-year bond does not exist
109 VI. CRSP INDEX SERIES

A. CRSP INDEX SERIES

The following table lists all CRSP Index Series by INDNO.
CHAPTER 4: Index Methodologies

INDNO Index Name Daily Setid Monthly Setid Product

1000000 CRSP NYSE Value-Weighted Market Index 460 420 IX
1000001 CRSP NYSE Equal-Weighted Market Index 460 420 IX
1000002 CRSP NYSE Market Capitalization Decile 1 460 420 IX
1000003 CRSP NYSE Market Capitalization Decile 2 460 420 IX
1000004 CRSP NYSE Market Capitalization Decile 3 460 420 IX
1000005 CRSP NYSE Market Capitalization Decile 4 460 420 IX
1000006 CRSP NYSE Market Capitalization Decile 5 460 420 IX
1000007 CRSP NYSE Market Capitalization Decile 6 460 420 IX
1000008 CRSP NYSE Market Capitalization Decile 7 460 420 IX
1000009 CRSP NYSE Market Capitalization Decile 8 460 420 IX
1000010 CRSP NYSE Market Capitalization Decile 9 460 420 IX
1000011 CRSP NYSE Market Capitalization Decile 10 460 420 IX
1000012 CRSP NYSE Market Capitalization Deciles 440 400 IX
1000020 CRSP NYSE MKT Value-Weighted Market Index 460 420 IX
Stock and Index Data Description Guide

1000021 CRSP NYSE MKT Equal-Weighted Market Index 460 420 IX

1000022 CRSP NYSE MKT Market Capitalization Decile 1 460 420 IX
1000023 CRSP NYSE MKT Market Capitalization Decile 2 460 420 IX
1000024 CRSP NYSE MKT Market Capitalization Decile 3 460 420 IX
1000025 CRSP NYSE MKT Market Capitalization Decile 4 460 420 IX
1000026 CRSP NYSE MKT Market Capitalization Decile 5 460 420 IX
1000027 CRSP NYSE MKT Market Capitalization Decile 6 460 420 IX
1000028 CRSP NYSE MKT Market Capitalization Decile 7 460 420 IX
1000029 CRSP NYSE MKT Market Capitalization Decile 8 460 420 IX
1000030 CRSP NYSE MKT Market Capitalization Decile 9 460 420 IX
1000031 CRSP NYSE MKT Market Capitalization Decile 10 460 420 IX
1000032 CRSP NYSE MKT Market Capitalization Deciles 440 400 IX
1000040 CRSP NYSE/NYSE MKT Value-Weighted Market Index 460 420 IX
1000041 CRSP NYSE/NYSE MKT Equal-Weighted Market Index 460 420 IX
1000042 CRSP NYSE/NYSE MKT Market Capitalization Decile 1 460 420 IX
1000043 CRSP NYSE/NYSE MKT Market Capitalization Decile 2 460 420 IX
1000044 CRSP NYSE/NYSE MKT Market Capitalization Decile 3 460 420 IX
1000045 CRSP NYSE/NYSE MKT Market Capitalization Decile 4 460 420 IX
1000046 CRSP NYSE/NYSE MKT Market Capitalization Decile 5 460 420 IX
1000047 CRSP NYSE/NYSE MKT Market Capitalization Decile 6 460 420 IX
1000048 CRSP NYSE/NYSE MKT Market Capitalization Decile 7 460 420 IX
1000049 CRSP NYSE/NYSE MKT Market Capitalization Decile 8 460 420 IX
1000050 CRSP NYSE/NYSE MKT Market Capitalization Decile 9 460 420 IX
1000051 CRSP NYSE/NYSE MKT Market Capitalization Decile 10 460 420 IX
1000052 CRSP NYSE/NYSE MKT Market Capitalization Deciles 440 400 IX
1000053 CRSP NYSE/NYSE MKT Trade-Only Value-Weighted Market Index 460 - IX
1000060 CRSP NASDAQ Value-Weighted Market Index 460 420 IX
110
INDNO Index Name Daily Setid Monthly Setid Product
1000061 CRSP NASDAQ Equal-Weighted Market Index 460 420 IX
1000062 CRSP NASDAQ Market Capitalization Decile 1 460 420 IX
1000063 CRSP NASDAQ Market Capitalization Decile 2 460 420 IX
CHAPTER 4: Index Methodologies

1000064 CRSP NASDAQ Market Capitalization Decile 3 460 420 IX

1000065 CRSP NASDAQ Market Capitalization Decile 4 460 420 IX
1000066 CRSP NASDAQ Market Capitalization Decile 5 460 420 IX
1000067 CRSP NASDAQ Market Capitalization Decile 6 460 420 IX
1000068 CRSP NASDAQ Market Capitalization Decile 7 460 420 IX
1000069 CRSP NASDAQ Market Capitalization Decile 8 460 420 IX
1000070 CRSP NASDAQ Market Capitalization Decile 9 460 420 IX
1000071 CRSP NASDAQ Market Capitalization Decile 10 460 420 IX
1000072 CRSP NASDAQ Market Capitalization Deciles 440 400 IX
1000080 CRSP NYSE/NYSE MKT/NASDAQ Value-Weighted Market Index 460 420 STK, IX
1000081 CRSP NYSE/NYSE MKT/NASDAQ Equal-Weighted Market Index 460 420 STK, IX
1000082 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 1 460 420 IX
1000083 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 2 460 420 IX
1000084 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 3 460 420 IX
1000085 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 4 460 420 IX
Stock and Index Data Description Guide

1000086 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 5 460 420 IX

1000087 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 6 460 420 IX
1000088 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 7 460 420 IX
1000089 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 8 460 420 IX
1000090 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 9 460 420 IX
1000091 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 10 460 420 IX
1000092 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Deciles 440 400 IX
1000102 CRSP NYSE/NYSE MKT Beta Decile 1 460 - IX
1000103 CRSP NYSE/NYSE MKT Beta Decile 2 460 - IX
1000104 CRSP NYSE/NYSE MKT Beta Decile 3 460 - IX
1000105 CRSP NYSE/NYSE MKT Beta Decile 4 460 - IX
1000106 CRSP NYSE/NYSE MKT Beta Decile 5 460 - IX
1000107 CRSP NYSE/NYSE MKT Beta Decile 6 460 - IX
1000108 CRSP NYSE/NYSE MKT Beta Decile 7 460 - IX
1000109 CRSP NYSE/NYSE MKT Beta Decile 8 460 - IX
1000110 CRSP NYSE/NYSE MKT Beta Decile 9 460 - IX
1000111 CRSP NYSE/NYSE MKT Beta Decile 10 460 - IX
1000112 CRSP NYSE/NYSE MKT Beta Deciles 440 - IX
1000122 CRSP NYSE/NYSE MKT Standard Deviation Decile 1 460 - IX
1000123 CRSP NYSE/NYSE MKT Standard Deviation Decile 2 460 - IX
1000124 CRSP NYSE/NYSE MKT Standard Deviation Decile 3 460 - IX
1000125 CRSP NYSE/NYSE MKT Standard Deviation Decile 4 460 - IX
1000126 CRSP NYSE/NYSE MKT Standard Deviation Decile 5 460 - IX
1000127 CRSP NYSE/NYSE MKT Standard Deviation Decile 6 460 - IX
1000128 CRSP NYSE/NYSE MKT Standard Deviation Decile 7 460 - IX
1000129 CRSP NYSE/NYSE MKT Standard Deviation Decile 8 460 - IX
1000130 CRSP NYSE/NYSE MKT Standard Deviation Decile 9 460 - IX
1000131 CRSP NYSE/NYSE MKT Standard Deviation Decile 10 460 - IX
111
INDNO Index Name Daily Setid Monthly Setid Product
1000132 CRSP NYSE/NYSE MKT Standard Deviation Deciles 440 - IX
1000142 CRSP NASDAQ Beta Decile 1 460 - IX
1000143 CRSP NASDAQ Beta Decile 2 460 - IX
CHAPTER 4: Index Methodologies

1000144 CRSP NASDAQ Beta Decile 3 460 - IX

1000145 CRSP NASDAQ Beta Decile 4 460 - IX
1000146 CRSP NASDAQ Beta Decile 5 460 - IX
1000147 CRSP NASDAQ Beta Decile 6 460 - IX
1000148 CRSP NASDAQ Beta Decile 7 460 - IX
1000149 CRSP NASDAQ Beta Decile 8 460 - IX
1000150 CRSP NASDAQ Beta Decile 9 460 - IX
1000151 CRSP NASDAQ Beta Decile 10 460 - IX
1000152 CRSP NASDAQ Beta Deciles 440 - IX
1000162 CRSP NASDAQ Standard Deviation Decile 1 460 - IX
1000163 CRSP NASDAQ Standard Deviation Decile 2 460 - IX
1000164 CRSP NASDAQ Standard Deviation Decile 3 460 - IX
1000165 CRSP NASDAQ Standard Deviation Decile 4 460 - IX
1000166 CRSP NASDAQ Standard Deviation Decile 5 460 - IX
1000167 CRSP NASDAQ Standard Deviation Decile 6 460 - IX
Stock and Index Data Description Guide

1000168 CRSP NASDAQ Standard Deviation Decile 7 460 - IX

1000169 CRSP NASDAQ Standard Deviation Decile 8 460 - IX
1000170 CRSP NASDAQ Standard Deviation Decile 9 460 - IX
1000171 CRSP NASDAQ Standard Deviation Decile 10 460 - IX
1000172 CRSP NASDAQ Standard Deviation Deciles 440 - IX
1000200 CRSP NYSE/NYSE MKT/NASDAQ/Arca Value-Weighted Market Index 460 440 STK, IX
1000201 CRSP NYSE/NYSE MKT/NASDAQ/Arca Equal-Weighted Market Index 460 440 STK, IX
1000300 CRSP NYSE Cap-Based Portfolio 1 - 420 IX
1000301 CRSP NYSE Cap-Based Portfolio 2 - 420 IX
1000302 CRSP NYSE Cap-Based Portfolio 3 - 420 IX
1000303 CRSP NYSE Cap-Based Portfolio 4 - 420 IX
1000304 CRSP NYSE Cap-Based Portfolio 5 - 420 IX
1000305 CRSP NYSE Cap-Based Portfolio 6 - 420 IX
1000306 CRSP NYSE Cap-Based Portfolio 7 - 420 IX
1000307 CRSP NYSE Cap-Based Portfolio 8 - 420 IX
1000308 CRSP NYSE Cap-Based Portfolio 9 - 420 IX
1000309 CRSP NYSE Cap-Based Portfolio 10 - 420 IX
1000310 CRSP NYSE Cap-Based Portfolio 1-2 - 420 IX
1000311 CRSP NYSE Cap-Based Portfolio 3-5 - 420 IX
1000312 CRSP NYSE Cap-Based Portfolio 6-8 - 420 IX
1000313 CRSP NYSE Cap-Based Portfolio 9-10 - 420 IX
1000314 CRSP NYSE Cap-Based Portfolio 1-5 - 420 IX
1000315 CRSP NYSE Cap-Based Portfolio 6-10 - 420 IX
1000316 CRSP NYSE Cap-Based Portfolio Market - 420 IX
1000317 CRSP NYSE Cap-Based Portfolios - 400 IX
1000320 CRSP NYSE/NYSE MKT Cap-Based Portfolio 1 - 420 IX
1000321 CRSP NYSE/NYSE MKT Cap-Based Portfolio 2 - 420 IX
1000322 CRSP NYSE/NYSE MKT Cap-Based Portfolio 3 - 420 IX
112
INDNO Index Name Daily Setid Monthly Setid Product
1000323 CRSP NYSE/NYSE MKT Cap-Based Portfolio 4 - 420 IX
1000324 CRSP NYSE/NYSE MKT Cap-Based Portfolio 5 - 420 IX
1000325 CRSP NYSE/NYSE MKT Cap-Based Portfolio 6 - 420 IX
CHAPTER 4: Index Methodologies

1000326 CRSP NYSE/NYSE MKT Cap-Based Portfolio 7 - 420 IX

1000327 CRSP NYSE/NYSE MKT Cap-Based Portfolio 8 - 420 IX
1000328 CRSP NYSE/NYSE MKT Cap-Based Portfolio 9 - 420 IX
1000329 CRSP NYSE/NYSE MKT Cap-Based Portfolio 10 - 420 IX
1000330 CRSP NYSE/NYSE MKT Cap-Based Portfolio 1-2 - 420 IX
1000331 CRSP NYSE/NYSE MKT Cap-Based Portfolio 3-5 - 420 IX
1000332 CRSP NYSE/NYSE MKT Cap-Based Portfolio 6-8 - 420 IX
1000333 CRSP NYSE/NYSE MKT Cap-Based Portfolio 9-10 - 420 IX
1000334 CRSP NYSE/NYSE MKT Cap-Based Portfolio 1-5 - 420 IX
1000335 CRSP NYSE/NYSE MKT Cap-Based Portfolio 6-10 - 420 IX
1000336 CRSP NYSE/NYSE MKT Cap-Based Portfolio Market - 420 IX
1000337 CRSP NYSE/NYSE MKT Cap-Based Portfolios - 400 IX
1000340 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 1 - 420 IX
1000341 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 2 - 420 IX
1000342 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 3 - 420 IX
Stock and Index Data Description Guide

1000343 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 4 - 420 IX

1000344 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 5 - 420 IX
1000345 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 6 - 420 IX
1000346 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 7 - 420 IX
1000347 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 8 - 420 IX
1000348 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 9 - 420 IX
1000349 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 10 - 420 IX
1000350 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 1-2 - 420 IX
1000351 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 3-5 - 420 IX
1000352 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 6-8 - 420 IX
1000353 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 9-10 - 420 IX
1000354 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 1-5 - 420 IX
1000355 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 6-10 - 420 IX
1000356 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio Market - 420 IX
1000357 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolios - 400 IX
1000500 CRSP Value-Weighted Index of the S&P 500 Universe 460 420 IX
1000501 CRSP Equal-Weighted Index of the S&P 500 Universe 460 420 IX
1000502 S&P 500 Composite 460 420 STK, IX
1000503 NASDAQ Composite 460 420 STK, IX
1000510 CRSP Value-Weighted Portfolios of the S&P 500 Universe 460 420 IX
1000511 CRSP Equal-Weighted Portfolios of the S&P 500 Universe 460 420 IX
1000700 CRSP 30-Year Bond Returns - 420 IX
1000701 CRSP 20-Year Bond Returns - 420 IX
1000702 CRSP 10-Year Bond Returns - 420 IX
1000703 CRSP 7-Year Bond Returns - 420 IX
1000704 CRSP 5-Year Bond Returns - 420 IX
1000705 CRSP 2-Year Bond Returns - 420 IX
1000706 CRSP 1-Year Bond Returns - 420 IX
113
INDNO Index Name Daily Setid Monthly Setid Product
1000707 CRSP 90-Day Bill Returns - 420 IX
1000708 CRSP 30-Day Bill Returns - 420 IX
1000709 Consumer Price Index - 420 IX
CHAPTER 4: Index Methodologies

B. CRSP INDEX GROUPS

The following table lists all CRSP Index Groups by INDNO.

Index Group INDNO Daily Monthly Product Availability

CRSP NYSE Market Capitalization Deciles 1000012 Yes Yes IX
CRSP NYSE MKT Market Capitalization Deciles 1000032 Yes Yes IX
CRSP NYSE/NYSE MKT Market Capitalization Deciles 1000052 Yes Yes IX
CRSP NASDAQ Market Capitalization Deciles 1000072 Yes Yes IX
CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Deciles 1000092 Yes Yes IX
CRSP NYSE/NYSE MKT Beta Deciles 1000112 Yes - IX
CRSP NYSE/NYSE MKT Standard Deviation Deciles 1000132 Yes - IX
CRSP NASDAQ Beta Deciles 1000152 Yes - IX
CRSP NASDAQ Standard Deviation Deciles 1000172 Yes - IX
Stock and Index Data Description Guide

CRSP NYSE Cap-Based Portfolios 1000317 - Yes IX

CRSP NYSE/NYSE MKT Cap-Based Portfolios 1000337 - Yes IX
CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based 1000357 - Yes IX
Portfolios

C. CRSP PORTFOLIO TYPES

Portfolio Type Description Rebalancing INDNO Daily Monthly Product
Calendar Portfolio Type Portfolio Type Availability
NYSE/NYSE MKT/NASDAQ Capitalization Annual 1000092 1 1 DA, MA, IX
Deciles
NYSE/NYSE MKT Capitalization Deciles Annual 1000052 2 2 IX
NASDAQ Capitalization Deciles Annual 1000072 3 3 IX
NYSE Capitalization Deciles Annual 1000012 4 4 IX
NYSE MKT Capitalization Deciles Annual 1000032 5 5 IX
NYSE/NYSE MKT Beta Deciles Annual 1000112 6 - IX
NYSE/NYSE MKT Standard Deviation Deciles Annual 1000132 7 - IX
NASDAQ Beta Deciles Annual 1000152 8 - IX
NASDAQ Standard Deviation Deciles Annual 1000172 9 - IX
Cap-Based NYSE/NYSE MKT/NASDAQ Quarterly 1000357 - 6 IX
National Market Portfolios
Cap-Based NYSE Portfolios Quarterly 1000317 - 7 IX
Cap-Based NYSE/NYSE MKT Portfolios Quarterly 1000337 - 8 IX
 CHAPTER 5: DATA CODING SCHEMES

I. NAME HISTORY ARRAY CODES NORTH AMERICAN SECURITY EXCHANGE &

INDEX CODES
SHARE TYPE The following is a list of codes for major North American
A share type code contains two digits. The first digit security exchanges and indexes found in the CRSP data files:
describes the type of security traded.
CODE EXCHANGE NAME
The second digit describes more detailed information about -2 Halted By NYSE Or NYSE MKT
the type of security. -1 Suspended By NYSE, NYSE MKT, or NASDAQ
0 Not Trading On NYSE, NYSE MKT, or NASDAQ
SHARE TYPE - FIRST DIGIT
1 NYSE
CODE DEFINITION 2 NYSE MKT
1 Ordinary Common Shares 3 NASDAQ
2 Certificates, Americus Trust Components (Prime, Score, & Units)* 4 Arca
3 ADRs (American Depositary Receipts) 5 Bats (As Quoted By NASDAQ)
4 SBIs (Shares Of Beneficial Interest) 10 Boston Stock Exchange
7 Units (Depositary Units, Units Of Beneficial Interest, Units Of Limited Partnership 13 Chicago Stock Exchange
Interest, Depositary Receipts, etc.), Exchange Traded Funds**
16 Pacific Stock Exchange

Note: *Americus Trust Components are exclusive to First Digit 2 and 17 Philadelphia Stock Exchange
Second Digit 3. 19 Toronto Stock Exchange
20 Over-The-Counter (Non-NASDAQ Dealer Quotations)
Note: **Exchange Traded Funds are exclusive to First Digit 7 and Second
Digit 3. 31 When-Issued Trading On NYSE
32 When-Issued Trading On NYSE MKT
SHARE TYPE - SECOND DIGIT 33 When-Issued Trading On NASDAQ
CODE DEFINITION 34 When-Issued Trading On Arca
0 Securities Which Have Not Been Further Defined
1 Securities Which Need Not Be Further Defined
2 Companies Incorporated Outside The U.S II. DISTRIBUTION CODES
3 Americus Trust Components (Prime, Score, & Units)*, Exchange Traded Funds**
4 Closed-End Funds and Unit Investment Trusts A four-digit code describes distribution events. The first digit
5 Closed-End Fund Companies Incorporated Outside The US describes the distribution in general terms. The second digit
8 REIT’s (Real Estate Investment Trusts) describes the form or method of payment. The meaning of
the third digit varies with the value of the first digit, and
Note: *Americus Trust Components are exclusive to First Digit 2 and
Second Digit 3.
gives a more detailed description of the event. The fourth
digit provides information about the tax status of the
Note: **Exchange Traded Funds are exclusive to First Digit 7 and Second distribution.
Digit 3.
The coding and meanings of the four digits are described
below. For digits 2, 3, and 4, special conventions apply: a
value of “0” implies that CRSP has not yet discovered the
descriptive information for the corresponding digit; a value
of “1” implies sources have been checked and the status
for the corresponding attribute is actually unspecified, not
applicable, or not available for the distribution.

Stock and Index Data Description Guide • PAGE 114

115 FIRST DIGIT: EVENT TYPE Event Descriptor (for first digit = 3 only)
CODE MEANING CODE MEANING

1 ordinary dividend 0 unknown, not yet coded

2 liquidating dividend 1 unspecified or not applicable

CHAPTER 5: Data Coding Schemes

3 exchanges and reorganizations 2 merger

4 subscription rights 5 non-ordinary distribution in another stock

5 splits and stock dividends 6 reorganization

6 notation of issuance (change in shares outstanding) 7 option of stock

7 general information announcement for dropped issues 8 exchange

SECOND DIGIT: PAYMENT METHOD Rights Valuation Method (for first digit = 4 only)
CODE MEANING
CODE MEANING
0 unknown, not yet coded
0 unknown, not yet coded
1 Transferable unknown value (no price or assigned value)
1 unspecified or not applicable
2 market value of trading right on exdate
2 cash, United States dollars
3 Fair market value
3 cash, foreign currency converted to US dollars
4 Value at exdate, calculate
4 cash, Canadian dollars (now obsolete, converted to US dollars)
5 Non-transferable fair market value
5 same issue of common stock
6 Non-transferable value at exdate, calculated (based on recdate if
6 units including same issue of common stock
Stock and Index Data Description Guide

exdate is unavailable)
7 an issue of a different common stock which is on the file
7 Non-transferable, unknown value
8 other property

Split Type (for first digit = 5 only)

THIRD DIGIT: CODE MEANING
Dividend Frequency (for first digit = 1 only) 0 unknown, not yet coded
CODE MEANING 1 unspecified or not applicable
0 unknown, not yet coded 2 split
1 unspecified or not applicable 3 stock dividend
2 monthly 4 split & stock dividend
3 quarterly 5 option of cash
4 semi-annual 6 distribution of different issue of common; same company
5 annual 7 initial distribution of other class of common; same company
6 year-end or final
7 extra or special Types of Offer or Reason for Issuance (for first digit
8 interim = 6 only)
9 non-recurring CODE MEANING
0 unknown, not yet coded
Event Descriptor (for first digit = 2 only) 1 unspecified or not applicable
CODE MEANING 2 step in merger with company on file
0 unknown, not yet coded 3 step in merger with company not on file
1 unspecified or not applicable 4 stock conversion
3 partial liquidation 5 executive option exercise
4 step in total liquidation 6 own tender offer: stock buy-back
5 final liquidation 7 own exchange offer: recapitalization
6 approval of liquidation 8 stock offering
7 sale of assets resulting in liquidation of company
8 court proceedings determining status of company assets
116 Event Descriptor (for first digit = 7 only) the CRSP Stock files, the dividend code will be in the
CODE MEANING form*7**.
0 unknown, not yet coded
1 bankruptcy filing The distribution codes 6***, excepting 6225, are
CHAPTER 5: Data Coding Schemes

2 negative financial performance informational. They indicate a significant change

3 external tender offer results in too few shareholders in the shares outstanding and the reason for the
4 internal tender offer results in too few shareholders
change. Code 6225 specifies a dividend amount. See
5 US government intervention
the variable Dividend Cash Amount for additional
6 foreign or external intervention
information on the 6225 code.
7 company request
8 failure to meet exchange requirements
DIVIDEND
CODE DESCRIPTION
1200 US cash dividend, tax status unknown
1202 US cash dividend, taxable in normal way
FOURTH DIGIT: TAX STATUS
1212 US cash dividend, unspecified frequency, taxable same rate as
CODE MEANING dividends
0 unknown, not yet coded 1214 US cash dividend, tax status - return of capital, gain recognized, loss
1 unspecified or not applicable not
2 normal taxable at same rate as dividends 1218 US cash dividend, unspecified frequency, fully taxable as ordinary
3 normal non-taxable income to individuals
Stock and Index Data Description Guide

4 return of capital (i.e., gain recognized, loss not) 1222 US cash dividend, monthly, taxable same rate as dividends

5 gain or loss realized compared with cost 1224 US cash dividend, monthly, tax status - return of capital, gain
recognized, loss not
6 realized capital gain (Investment Companies)
1228 US cash dividend, monthly, fully taxable as ordinary income to
7 capital gains tax credit
individuals
8 fully taxable as ordinary income to individuals
1232 US cash dividend, quarterly, taxable same rate as dividends
9 dividend reinvestment plan qualifies for the limited exclusion
1234 US cash dividend, quarterly, tax status - return of capital, gain
provided by Sec. 305(e) of the Internal Revenue Code
recognized, loss not
1238 US cash dividend, quarterly, fully taxable as ordinary income to
Coding convention note for distribution codes with individuals
the fourth digit (tax status) coded as 2 or 8: Until 1986, 1239 US cash dividend, quarterly, tax status - dividend reinvestment plan
distribution codes 2 and 8 were used in conjunction qualifies for the limited exclusion provided by Sec. 305(e) of the
with one another such that the 2 represented the part Internal Revenue Code
of the dividend qualifying for the dividend exclusion 1242 US cash dividend, semi-annual, taxable same rate as dividends
and the 8 representing the part that did not. Since the 1244 US cash dividend, semi-annual, tax status - return of capital, gain
tax reform act of 1986, which eliminated the exclusion, recognized, loss not

these have been coded as 2’s. 1248 US cash dividend, semi-annual, fully taxable as ordinary income to
individuals

Commonly Coded Distribution Events in CRSP 1252 US cash dividend, annual, taxable same rate as dividends

Stock Files 1254 US cash dividend, annual, tax status - return of capital, gain
recognized, loss not

The following table describes some of the most 1258 US cash dividend, annual, fully taxable as ordinary income to
individuals
commonly coded distribution events in the CRSP
1262 US cash dividend, year-end or final, taxable same rate as dividends
stock files. CRSP did not verify the tax status of
1272 US cash dividend, extra or special, taxable same rate as dividends
ordinary dividends in the NYSE/NYSE MKT file after
1274 US cash dividend, extra or special, tax status - return of capital, gain
April, 1987 or in the Supplemental NASDAQ file at
recognized, loss not
any time. Instead, CRSP assigned ordinary dividends
1278 US cash dividend, extra or special, fully taxable as ordinary income to
the default tax code (12*2); that is, US cash dividend, individuals
taxable in the normal way as a dividend. If a dividend 1282 US cash dividend, interim, taxable same rate as dividends
received is in the form of a security which is traded on
117
DIVIDEND LIQUIDATION
CODE DESCRIPTION CODE DESCRIPTION
1292 US cash dividend, non-recurring, or proceeds from sale of rights, 2235 Cash paid in partial liquidation, tax status - return of capital, gain,
taxable same rate as dividends loss realized
CHAPTER 5: Data Coding Schemes

1312 Cash dividend (foreign currency converted to US), unspecified 2243 Cash paid as a step in liquidation, non-taxable
frequency, tax status - unspecified or not applicable 2244 Cash paid as a step in liquidation tax status - return of capital, gain
1318 Cash dividend (foreign currency converted to US), unspecified recognized, loss not
frequency, fully taxable as ordinary income to individuals 2245 Cash paid as a step in liquidation, tax status - return of capital, gain
1332 Cash dividend (foreign currency converted to US), quarterly, taxable or loss realized
same rate as dividends 2255 Cash paid as a final liquidating payment, tax status - return of
1338 Cash dividend (foreign currency converted to US), quarterly; fully capital, gain or loss realized
taxable as ordinary income to individuals 2744 Other issue on file distributed as a step in liquidation, tax status -
1342 Cash dividend (foreign currency converted to US), semi-annual, return of capital, gain recognized, loss not
taxable same rate dividends 2817 Issue not on file distributed as a step in unspecified liquidation
1348 Cash dividend (foreign currency converted to US), semi-annual, fully process, tax status - capital gains tax credit
taxable as ordinary income to individuals 2844 Issue not on file distributed as a step in liquidation, tax status return
1352 Cash dividend (foreign currency converted to US), annual, taxable of capital, gain recognized, loss not
same rate as dividends 2999* Missing liquidation information, tax status - dividend reinvestment
1372 Cash dividend (foreign currency converted to US), extra or special, plan qualifies for the limited exclusion provided by Sec. 305(e) of the
taxable same rate as dividends Internal Revenue Code
1378 Cash dividend (foreign currency converted to US), extra or special,
Stock and Index Data Description Guide

fully taxable as ordinary income to individuals

ACQUISITION/REORGANIZATION
1412 Cash dividend return of capital, taxable as normal dividend
CODE DESCRIPTION
1712 Dividend in other issue on file, unspecified frequency, taxable same
3131 Announcement of tender offer - offer not accepted, offer rescinded, or
rate as dividends
merger failed, tax status unspecified
1713 Dividend in other issue on file, non-taxable
3215 Cash received, preferred redeemed, tax status - gain or loss realized
1714 Dividend in other issue on file, taxable as return of capital
compared with cost
1718 Dividend in other issue on file, taxable as ordinary income to
3222 Cash received in a merger, taxable same rate as dividends
individuals
3224 Cash received in a merger, tax status - return of capital gain, gain
1772 Dividend in other issue on file with an extra or special frequency,
recognized, loss not
taxable same rate as dividends
3225 Cash received in a merger, tax status - gain or loss realized compared
1812 Dividend in issue not on file, unspecified frequency, taxable as
with cost
dividend
3285 Cash received in an exchange of stock, tax status - gain or loss
1813 Dividend in issue not on file, non-taxable
realized compared with cost
1814 Dividend in issue not on file, taxable as return of capital
3723 Issue of file, received in a non-taxable merger
1872 Special Dividend in issue not on file, taxable as normal dividend
3724 Issue on file, received in a merger tax status - return of capital, gain
1999* Missing dividend terms, tax status - dividend reinvestment plan recognized, loss not
qualifies for the limited exclusion provided by Sec. 305(e) of the
3725 Issue on file, received in a merger, tax status - gain or loss realized
Internal Revenue Code compared with cost
3752 Issue on file, received as a non-ordinary stock distribution, taxable
same rate as dividends
LIQUIDATION
3753 Issue on file, received as a non-ordinary stock distribution, non-
CODE DESCRIPTION
taxable
2161 Announcement of liquidation or liquidating plan, tax status
3762 Issue on file, received as a spin-off in reorganization, taxable same
unspecified
rate as dividends
2171 Announcement of sale of assets, tax status unspecified
3763 Issue on file, received as a spin-off in reorganization, non-taxable
2181 Liquidation involved in court proceedings, tax status unspecified
3764 Issue on file, received as a spin-off in reorganization, tax status -
2216 Cash paid in distribution, tax status - realized capital gains, return of capital, gain recognized, loss not
(Investment Companies)
3783 Issue on file, received as an exchange, non-taxable
2234 Cash paid in partial liquidation, tax status - return of capital, gain
3784 Issue on file, received as an exchange, tax status - return of capital,
recognized, loss not
gain recognized, loss not
118
ACQUISITION/REORGANIZATION STOCK
CODE DESCRIPTION CODE DESCRIPTION
3785 Issue on file, received as an exchange, tax status - gain or loss 5763 Stock distribution in different issue of same company which trades on
realized compared with cost the file, non-taxable
CHAPTER 5: Data Coding Schemes

3823 Issue not on file, received in a merger, non-taxable 5773 Initial stock distribution of other class of common, same company,
3824 Issue not on file, received in a merger, tax status - return of capital, which is on the file, non-taxable
gain recognized, loss not 5872 Initial stock distribution in different issue of common, same company,
3825 Issue not on file, received in a merger, tax status - gain or loss realized which is not on file, taxable same rate as dividends
compared with cost 5873 Initial stock distribution in different issue of common, same company,
3852 Issue not on file, received as a non-ordinary distribution in another which does not trade on the file, non-taxable
stock, taxable same rate as dividends
3853 Issue not on file, received as a non-ordinary distribution, non-taxable
OFFER/ISSUANCES
3854 Issue not on file, received as a non-ordinary distribution, tax status -
CODE DESCRIPTION
return of capital, gain recognized, loss not
6235 Common shares increased by merger with company not on file, tax
3862 Issue not on file, received in a reorganization, taxable as dividend
status - gain or loss realized compared with cost
3863 Issue not on file, received in a reorganization, non-taxable
6261 Common shares decreased through a companies own tender offer, tax
3864 Issue not on file, received in a reorganization, tax status - return of status - unknown
capital, gain recognized, loss not
6511 Common shares increased or decreased for reasons not specified
3883 Issue not on file, received in an exchange of stock, non-taxable
6521 Common shares increased by merger with company on file, tax status
3884 Issue not on file, received in an exchange of stock, return of capital - unspecified or not applicable
Stock and Index Data Description Guide

(gain recognized, loss not), nontaxable

6531 Common shares increased by merger with company not on file, tax
3885 Issue not on file, received in an exchange of stock, gain or loss realized status - unspecified or not applicable
compared with cost
6541 Common shares increased through stock conversion, tax status -
3888* Partially coded final or other non-ordinary distribution; amount or unspecified or not applicable
some terms missing; tax status unknown
6543 Common shares increased through stock conversion, non-taxable
3989* Debenture without established market value, tax status unknown
6561 Common shares reduced through company’s buy-back of shares, tax
status - unspecified or not applicable

RIGHTS 6571 Common shares increased through company’s own exchange offer, tax
status - unspecified or not applicable
CODE DESCRIPTION
6581 Common shares increased through sale of stock other than rights
4523 Rights to buy more of this security, at market value, non-taxable
issue, tax status - unspecified or not applicable
4533 Rights to buy more of this security at indicated value, non-taxable
7111 Bankruptcy filing (for any reason) tax status - unspecified or not
4563 Rights to buy more of this security, non-transferable value at exdate, applicable
calculated (based on recdate if exdate unavailable), non-taxable
7121 Negative financial performance tax status - unspecified or not
4623 Rights to buy ‘units’ that include this security, non-taxable applicable
4722 Rights to buy another common issue on file, taxable same rate as 7131 External tender offer results in too few shareholders tax status -
dividends unspecified or not applicable
4822 Rights to buy other securities at market value, taxable same rate as 7141 Internal tender offer results in too few shareholders tax status -
dividends unspecified or not applicable
4823 Rights to buy other securities, nontaxable 7151 US government intervention (SEC intervention, other government
4833 Rights to buy other securities at indicated value, non-taxable intervention or request)

4999* Missing rights distribution, tax status - dividend reinvestment plan 7161 Foreign or external intervention (non-US government intervention,
qualifies for the limited exclusion provided by Sec. 305(e) of the foreign non-government intervention, “acts of god”) tax status -
Internal Revenue Code unspecified or not applicable
7171 Company request (any reason except bankruptcy) tax status -
unspecified or not applicable
STOCK
7181 Failure to meet exchange requirements tax status - unspecified or not
CODE DESCRIPTION
applicable
5523 Stock split, non-taxable
5533 Stock dividend, non-taxable *This code alerts the user to information that is not coded, and is
inconsistent with the conventional distribution-coding scheme.
5538 Stock dividend, fully taxable as ordinary income to individuals
119 III. DELISTING CODES
MERGERS
CODE DESCRIPTION
ACTIVE 290 Flags a merger with missing final distribution information. Replaces
CODE DESCRIPTION code 240. Code 240 is no longer assigned.
CHAPTER 5: Data Coding Schemes

100 Issue still trading NYSE/NYSE MKT, NASDAQ, Arca or Bats.

150* Issue still active, but no prices in this version of file. EXCHANGES
160* Issue stopped trading, but no prices in file after 840831. CODE DESCRIPTION
170* Issue stopped trading, but not delisted from current exchange 300 Issue acquired by exchange of stock, details unknown.
(suspended or inactive).
301 Issue exchanged for issue trading on NYSE.
302 Issue exchanged for issue trading on NYSE MKT.
MERGERS 303 Issue exchanged for issue trading on NASDAQ.
CODE DESCRIPTION 320 Issue exchanged for stock trading Over-the-Counter.
200 Issue acquired in merger, payment details unknown. 331 Issue exchanged, primarily for another class of common stock. Replaces
201 Merged into or in order to form an issue trading on NYSE. codes 301, 302, and 303. Codes 301-303 are no longer assigned.

202 Merged into or in order to form an issue trading on NYSE MKT. 332 Issue exchanged, primarily for another class of common stock. (Other
stock is not maintained on the CRSP file.)
203 Merged into or in order to form an issue trading on NASDAQ.
333 Issue exchanged, primarily for cash.
205 When merged, shareholders primarily receive shares of mutual funds.
334 Issue exchanged, primarily for preferred stock, or rights, or warrants, or
231 When merged, shareholders primarily receive common stock or ADRs.
debentures, or notes.
Replaces codes 201, 202 and 203. Codes 201-203 are no longer
Stock and Index Data Description Guide

assigned. 335 Issue exchanged, primarily for other property.

232 When merged, shareholders primarily receive common stock or ADRs. 340* Flags an exchange with missing final distribution information.
(Merged stock is not maintained on the CRSP file.) Replaces codes 210- 341 Flags an exchange, shareholders receive common stock and cash. Issue
220. Codes 210-220 are no longer assigned. on CRSP file.
233 When merged, shareholders receive cash payments. 342 Flags an exchange, shareholders receive common stock and preferred
234 When merged, shareholders primarily receive preferred stock, bundled stock or warrants or rights or debentures or notes. Issue on CRSP file.
units, warrants, or rights, or debentures, or notes, or bundled units. 343 Flags an exchange, shareholders receive common stock and other
235 When merged, shareholders primarily receive other property. property. Issue on CRSP file.

240* Flags merger with missing final distribution information. 350* Flags an exchange attempt that was not sufficient to “kill” issue.

241 When merged, shareholders primarily receive common stock and cash, 351 Flags an exchange, shareholders receive common stock and cash. Issue
issue on CRSP file. not on CRSP file.

242 When merged, shareholders primarily receive common stock and 352 Flags an exchange, shareholders receive common stock and preferred
preferred stock or warrants or rights or debentures or notes, issue on stock, or warrants, or rights, or debentures, or notes. Issue not on CRSP
CRSP file. file.

243 When merged, shareholders primarily receive common stock, issue on 353 Flags an exchange, shareholders receive common stock and other
CRSP file and other property, issue on CRSP file. property. Issue not on CRSP file.

244 When merged, shareholders primarily receive common stock or ADR, 361 When exchanged, sharesholders primarily receive cash and preferred
and cash and preferred stock or warrants or rights or debentures or stock or warrants or rights or debentures or notes.
notes. Issue on CRSP file. 362 When exchanged, shareholders primarily receive cash and other
251 When merged, shareholders primarily receive common stock or ADRs property.
and cash. (Merged stock is not maintained on the CRSP file.) 371 When exchanged, shareholders primarily receive preferred stock or
252 When merged, shareholders primarily receive common stock or ADRs warrants or rights or debentures or notes and other property.
and preferred stock, or warrants, or rights, or debentures, or notes. 390* Flags an unsuccessful exchange attempt with missing distribution
253 When merged, shareholders primarily receive common stock or ADRs information.
and other property.
261 When merged, shareholders primarily receive cash and preferred stock,
LIQUIDATIONS
or warrants, or rights, or debentures, or notes.
CODE DESCRIPTION
262 When merged, shareholders primarily receive cash and other property.
400 Issue stopped trading as result of company liquidation.
271 When merged, shareholders primarily receive preferred stock or
warrants, or rights, or debentures, or notes and other property. 401 Issue liquidated, for issue trading on NYSE.

280 Issue delisted due to merger attempt, but merger attempt failed. 403 Issue liquidated for issue trading on NASDAQ.
120
LIQUIDATIONS DROPPED
CODE DESCRIPTION CODE DESCRIPTION
450 Issue liquidated, final distribution verified, issue closed to further 583 Delisted by current exchange - denied temporary exception
research. requirement.
CHAPTER 5: Data Coding Schemes

460 Issue liquidated, no final distribution is verified, issue closed to further 584 Delisted by current exchange - does not meet exchange’s financial
research. guidelines for continued listing.
470 Issue liquidated, no final distribution is verified, issue pending further 585 Delisted by current exchange - protection of investors and the public
research. interest.
480 Issue liquidated, no distribution information is available, issue is 586 Delisted by current exchange - composition of unit is not acceptable.
pending further research. 587 Delisted by current exchange - corporate governance violation.
490 Issue liquidated, no distributions are to be paid, issue closed to further 588 Conversion of a closed-end investment company to an open-end
research. investment company.
589 Delisted by current exchange - unlisted trading privileges

DROPPED 591 Delisted by current exchange - delist required by Securities Exchange

Commission (SEC)
CODE DESCRIPTION
500 Issue stopped trading on exchange - reason unavailable.
501 Issue stopped trading current exchange - to NYSE. EXPIRATIONS
502 Issue stopped trading current exchange - to NYSE MKT. CODE DESCRIPTION

503 Issue stopped trading current exchange - to NASDAQ. 600 Expired warrant or right
Stock and Index Data Description Guide

505 Issue stopped trading current exchange - to Mutual Funds. 601 Warrants, rights, preferreds, or units called for redemption

510 Issue stopped trading current exchange - to Boston Exchange. 610 Unit split into its component parts

513 Issue stopped trading current exchange - to Midwest Exchange.

514 Issue stopped trading current exchange - to Montreal Exchange. DOMESTICS THAT BECAME FOREIGN
516 Issue stopped trading current exchange - to Pacific Stock Exchange. CODE DESCRIPTION
517 Issue stopped trading current exchange - to Philadelphia Stock 900 A domestic Security becomes foreign
Exchange.
901 A domestic Security becomes foreign, but continues to trade on NYSE
519 Issue stopped trading current exchange - to Toronto Stock Exchange.
902 A domestic Security becomes foreign, but continues to trade on NYSE
520 Issue stopped trading current exchange - trading Over-the-Counter. MKT
535 Delisted by current exchange - unlisted trading privileges. 903 A domestic Security becomes foreign, but continues to trade on NASDAQ
550 Delisted by current exchange - insufficient number of market makers.
551 Delisted by current exchange - insufficient number of shareholders. *Discontinued. Replaced with specific codes in the
400-range.
552 Delisted by current exchange - price fell below acceptable level.
560 Delisted by current exchange - insufficient capital, surplus, and/or
equity.
561 Delisted by current exchange - insufficient (or non-compliance with
rules of) float or assets.
570 Delisted by current exchange - company request (no reason given).
572* Delisted by current exchange - company request, liquidation.
573 Delisted by current exchange - company request, deregistration (gone
private).
574 Delisted by current exchange - bankruptcy, declared insolvent.
575 Delisted by current exchange - company request, offer rescinded, issue
withdrawn by underwriter.
580 Delisted by current exchange - delinquent in filing, non-payment of
fees.
581 Delisted by current exchange - failure to register under 12G of
Securities Exchange Act.
582 Delisted by current exchange - failure to meet exception or equity
requirements.
121 IV. NASDAQ INFORMATION CODES 35 NDXX - NQ-100 Ex-Tech Sect. Ind.
39 NQGS - NQ Glob Sel Mark Comp Ind
NASDAQ STATUS CODE 40 NQGM - NQ Glob Market Comp Index

0 Unknown or not applicable 41 RCMP - Nasdaq Cap Mkt Composite

CHAPTER 5: Data Coding Schemes

1 Active 42 IXIDR - Nasdaq SCM Industrial   

2 Trading with only one market maker 43 IXBKR - Nasdaq SCM Bank         

3 Suspended 44 IXFNR - Nasdaq SCM Other Finance

4 Inactive 45 IXISR - Nasdaq SCM Insurance    

5 Delisted 49 IXCS - Nasdaq SCM Computer     

50 IXBTS - Nasdaq SCM Biotechnology
NASDAQ NATIONAL MARKET INDICATOR 51 IXCMR - SmallCap Market Composite

0 Unknown or unavailable 52 NETR - NQ100 Eq Wght Tot Ret Ind

1 The NASDAQ SmallCap Market before June 15, 1992 53 NTTR - NQ100 Tech Sec Tot Ret In

2 The NASDAQ National Market 54 NXTR - NQ100 Ex-Tech Sec Tot Ret

3 The NASDAQ SmallCap Market after June 15, 1992 55 BIXX - BetterInvesting 100 Index
62 IXF - Nasdaq Financial 100    
NASDAQ INDEX CODE 63 NDXL - NQ 100 Double Leverage IN

1 NONE - No index                 70 QGRD - NQ OMX Cln Edg Smrt Gr IN

2 INDS - Nasdaq Industrial        71 NBI - Nasdaq Biotechnology(DRM)

Stock and Index Data Description Guide

3 BANK - Nasdaq Bank              72 QNET - NASDAQ Internet Index   

4 OFIN - Nasdaq Other Finance     73 ILTI - NQ OMX AeA IL Tech Index

5 INSR - Nasdaq Insurance         74 NOCO - NQ OMX Excess Return Indx

6 TRAN - Nasdaq Transportation    75 QWND - NQ OMX Clean Edge Wind IN

7 IXUT - Nasdaq Utility           76 QWNX - NQ OMX Clean Edge Wind TR

8 IXTC - Nasdaq Telecommunication 77 NHXC - NQ OMX Halter USX China I

9 IXCO - Nasdaq Computer          78 FINX - NQ Banking & Finl Index

10 IXBT - Nasdaq Biotechnology     79 QAGR - NQ OMX Glob Agri Index  

11 IXCM - Nasdaq Composite          80 QAGX - NQ OMX Glob Agri Tot Ret

12 NDX - Nasdaq 100               81 HAUL - Wilder Glob Enrgy Tran IN

13 IXO - Nasdaq 100(Unadjusted)   82 HAUX - Wilder Glob Enrgy Tot Ret

17 NDXE - Nasdaq 100 alternate     83 QGBI - NQ OMX Glob Biotech Index

18 IXHC - Nasdaq Health Care       84 QGBX - NQ OMX Glob Biotech Tot R

19 XNBI - NQ Biotechnology Tot Ret 85 QCOL - NQ OMX Glob Coal Index  

20 DIVQ - NQ Div. Acheivers Index 86 QCLX - NQ OMX Glob Coal Tot Ret

21 NBIE - NQ Biotech Equal Weight 87 QSTL - NQ OMX Glob Steel Index

22 IXIDN - Nasdaq NNM Industrial    88 QSTS - NQ OMX Glob Steel Tot Ret

23 IXBKN - Nasdaq NNM Bank          89 QGLD - NQ OMX Glob Gold&Prec Ind

24 IXFNN - Nasdaq NNM Other Finance 90 QGLX - NQ OMX Glob Gold&Prec Tot

25 IXISN - Nasdaq NNM Insurance     91 CDGR - Copeland Risk Man Div GTR

28 IXTCN - Nasdaq NNM Telecommunicat 92 ABQI - NQ OMX ABA Comm Bank Indx

29 IXCON - Nasdaq NNM Computer      93 ABQX - NQ OMX ABA Com Bank IndxR

30 IXBTN - Nasdaq NNM Biotechnology 94 CHXI - Unknown                 

31 IXCMN - Nasdaq NNM Composite     95 CDGX - Copeland Risk Man Div Gro

32 DTEC - NQ Dallas Regional Chambe 96 XABQ - ABA NQ COM BANK TOT RET

33 DVQT - NQ Div. Achievers Tot Ret 97 QCRX - NQ OMX CRD GL SUS TOT RET

34 NDXT - NQ-100 Tech. Sector Ind. 98 QCRD - NQ OMX CRD GLOB SUST 50
99 XCMP - NQ COMP TOT RET         
122 V. MISSING RETURN CODES

PARAMETER RET(I) REASON FOR MISSING RETURN

RMISSN -44.0 missing excess return due to no portfolio assignment.
CHAPTER 5: Data Coding Schemes

RMISSD -55.0 missing delisting return.

RMISSG -66.0 more than 10 trading days between this day and the day
of latest preceding price.
RMISSE -77.0 not trading on an included exchange for this file.
RMISSR -88.0 no return, array index not within range of Begin and End
Index of Return Data.
RMISSP -99.0 missing return due to missing price.
Stock and Index Data Description Guide
 CHAPTER 6: DATABASE STRUCTURES

I. BASE CRSPACCESS DATA STRUCTURES C. HEADER OBJECTS

Header Objects are data structures used to store header data
A. TIME SERIES OBJECTS
in CRSPAccess databases. A CRSP Header Object contains
Time Series Objects are data structures used to store time
information about the type of data stored and the actual
series data in CRSPAccess databases. A CRSP time series
contains information about the type of data stored for header fields.
each observation, the ranges of valid data for the current
entity, the actual list of data observations, and the calendar Variable Name Variable

information needed to place the observations in time. Data Description Object Type Code objtype
Information Array Type Code arrtype

Variable Name Variable Data Subtype Code subtype

Data Description Object Type Code objtype Array Structure Size size_of_ array_width
Information Array Type Code arrtype Object Array Object Array arr

Data Subtype Code subtype

Array Structure Size size_of_ array_width
D. CALENDAR OBJECTS
Maximum Number of Array maxarr Calendar Objects are data structures used to store calendar
Elements data in CRSPAccess databases. A Calendar Object contains
Ranges of Valid Data Begin of Valid Data beg information about the type of data stored, descriptive
End of Valid Data end information about the calendar, the number of time periods
Associated Calendar Calendar Time Period caltype available, and lists of calendar periods. The Calendar
Information Description Code
Objects are used with Time Series Objects to match data
Calendar Associated with cal observations with a point in time. The calendar periods are
Time Series
usually identified by the last trading date in the period.
Object Array Object Array arr

Variable Name Variable

B. EVENT ARRAY OBJECTS Data Description Object Type Code objtype
Event Array Objects are data structures used to store Information Maximum Number of Array maxarr
event data in CRSPAccess databases. A CRSP event array Elements
contains information about the type of data stored for each Calendar Type Availability Flag loadflag
observation, the number of events for the current entity, and Ranges of Valid Data Number of Periods in Calendar ndays
the actual event observations. The event dates or effective Calendar Description Calendar Name name
date ranges are contained within the observations. Information Calendar Identification Number calid
Calendar Period Arrays Calendar Period Grouping callist
Variable Name Variable
Identifiers
Data Description Object Type Code objtype
Calendar Trading Date caldt
Information Array Type Code arrtype
Data Subtype Code subtype
Array Structure Size size_of_ array_width
II. STOCK DATA STRUCTURE
Data Secondary Subtype dummy
Code
Maximum Number of Array maxarr
A. HEADER IDENTIFICATION AND SUMMARY
Elements DATA - HEADER
Number of Array Elements Number of Array Elements num Header Identification and Summary Data is a set of
Object Array Object Array arr variables, in a CRSPAccess stock database using CRSP C
access functions, that identify an issue and summarize its

Stock and Index Data Description Guide • PAGE 123

124 classification. There is no time component to the B. NAME HISTORY ARRAY - NAMES
header data so the data are valid the entire range of The Name History Array includes sets of identification
the issue. Header Identification and Summary Data variables effective at different times during the history
contains the most current information on the issue of a security. Each set of information, or name
CHAPTER 6: Database Structures

maintained in the file. There is only one header structure, contains name and classification fields and
structure per issue for any data iteration. Note that the effective date ranges of those fields. Each security
Ticker Symbol - Header only contains tickers for active has at least one name structure.
securities.
Variable Name Variable
Variable Name Variable Secondary Identifiers CUSIP ncusip
Primary Permanent PERMCO permco North American Industry Classification naics
Identifiers PERMNO permno System (NAICS) Code
Secondary Permanent CUSIP - Header hcusip Ticker Symbol ticker
Identifiers NASDAQ Company Number compno Standard Industrial Classification siccd
NASDAQ Issue Number issuno (SIC) Code

Security Date Ranges Begin of Stock Data begdt Date Range of Name Name Effective Date namedt
History Record Last Date of Name 1
nameenddt
End of Stock Data enddt
Most Recent Header Company Name - Header hcomnam Identifying Information Company Name comnam
Identification and Convertible Code - Header hconvcd Convertible Code convcd
Summary Data
Stock and Index Data Description Guide

Country Code - Header hcntrycd Country Code cntrycd

Information
Eligibility Code - Header heligcd Eligibility Code eligcd

Exchange Code - Header hexcd Exchange Code exchcd

Expiration Date hexpdt Expiration Date expdt

Incorporation Code - Header hinccd Incorporation Code inccd

Interest Rate or Strike Price hrating Interest Rate or Stricke Price rating

Intermarket Trading System Indicator hits Intermarket Trading System Indicator its
- Header Issuer Code issuercd
Issue Description - Header hnamedesc Name Code namecd
Issuer Code - Header hissuercd Name Description namedesc
Name Code - Header hnamecd Name Flag nameflag
Name Description - Header hnamedesc Primary Exchange primexch
Name Flag - Header hnameflag Security Status secstat
North American Industry Classification hnaics Share Class shrcls
Code - Header Share Code shrcd
Primary Exchange - Header hprimexch Share Type shrtype
Security Status - Header hsecstat Sub-exchange subexch
Share Code - Header hshrcd Trading Denomination denom
Share Type - Header hshrtype Trading Status trdstat
Standard Industrial Classification hsiccd Trading Ticker Symbol tsymbol
(SIC) Code - Header
Sub-exchange - Header hsubexch CRSPAccess only
1

Ticker Symbol - Header (active htick

securities only) If the CUSIP, Company Name, Exchange Code,
Trading Denomination - Header hdenom Exchange Ticker Symbol, Share Class, or SIC Code
Trading Ticker Symbol - Header htsymbol changes during the security’s trading history, a new
Most Recent Listing Delisting Code - Header dlstcd name structure is added, with the Name Effective Date
Information Trading Status - Header htrdstat of the change. That information is valid until another
name structure is added or the security becomes
obsolete.
125 Name Histories may include periods, possibly price of the parent security on the Ex-Distribution
outside the data range, when the security is trading Date. Acquiring PERMNO and Acquiring
on a different exchange or is not trading at all. The PERMCO can be used to link to the new company
Exchange Code description contains more detailed when available.
CHAPTER 6: Database Structures

information on trading status and location for a given ‚ Liquidation payments - All partial and final
date range. liquidation payments are included. These contain
the value of each payment and relevant dates that
C. DISTRIBUTION EVENT ARRAY - DISTS are known. If the payment is in the form of stock,
The Distribution Event Array is a list of events or if a payment is known to come from the purchase
describing cash dividends, capital adjustments, and of assets by a known company, the Acquiring
other distributions made to shareholders of a security. PERMNO and Acquiring PERMCO are set to that
company or issue.
Variable Name Variable ‚ Return of capital distributions.
Distribution Information Distribution Code DISTCD ‚ Rights offerings.
Dividend Cash Amount DIVAMT ‚ Merger, acquisition, and reorganization
Factors to Adjust Prices Factor to Adjust Price FACPR distributions.
and Shares Factor to Adjust Shares Outstanding FACSHR ‚ Limited tender offers.
Dates Associated with Distribution Declaration Date DCLRDT ‚ Information on announcements related to
the Distribution Ex-Distribution Date EXDT liquidations and tender offers that resulted in
Stock and Index Data Description Guide

Record Date RCRDDT delistings.

Payment Date PAYDT ‚ Known shares buybacks, offerings, and share
Securities/Companies Acquiring PERMNO 1
ACPERM increases due to acquisitions.
Related to the Event Acquiring PERMCO 1
ACCOMP
See Distribution Codes for the coding scheme used
CRSPAccess variable only, available in both FORTRAN and C.
1 by CRSP, as well as examples of specific cases of
distributions.
If a distribution event has more than one component,
CRSP codes each component of the event separately D. SHARES OUTSTANDING OBSERVATIONS
with a four-digit code. All components of a ARRAY - SHARES
distribution event share the same Ex-Distribution The Shares Outstanding Observations Array contains
Date. Distributions for each security are unique and the history of observations of the shares outstanding
are sorted by Ex-Distribution Date, Distribution Code, history of a security. CRSP records the shares
and Acquiring PERMNO. Distribution Events are a outstanding only for the security, not the total shares
descriptive set of events, not a summary by period. for the company. Treasury shares are not included.
The data can be summarized for returns calculations, Shares outstanding for American Depositary Receipts
delisting returns, price and shares adjustments, and (ADRs) are the shares outstanding of the ADR, not the
dividend and split totals. The following types of event underlying issue. Shares outstanding are recorded in
are available: thousands.

‚ Periodic and special cash dividends - the cash Variable Name Variable

amount in US dollars, frequency, and related dates Shares Information Shares Outstanding SHROUT

of all cash dividends are provided. Shares Outstanding SHRFLG

‚ Stock splits, stock dividends, and reverse splits - the Observation Flag

factors to adjust price and shares, type of action, and Share Observation Date Shares Outstanding SHRSENDDT
Range Observation End Date1
related dates of all splits are provided.
Shares Outstanding SHRSDT
‚ Spin-offs - All spin-off events are included. The cash
Observation Date
value of the spin-off is the price at the end of the ex-
distribution date of the stock received. A price factor 1
CRSPAccess data access only.
is calculated by dividing the cash amount by the
126 There are two types of Shares Outstanding Variable Name Variable
Observations: Delist Information Amount After Delisting dlamt
Delisting Code dlstcd
1. Primary shares observations contain a shares Delisting Price dlprc
CHAPTER 6: Database Structures

outstanding amount taken directly from an annual Delisting Return dlret

or quarterly report or a data source using company
Delisting Return without dlretx
reports. Dividends
Dates Assocaited with Delisting Date dlstdt
2. These are supplemented with imputed shares Delist Date of Next Available nextdt
observations derived from distributions affecting Information
shares outstanding using Factor to Adjust Shares. Delisting Payment Date dlpdt
Securities/Companies New PERMCO 1
nwcomp
A new entry does not imply that there was a change Associated with Delist New PERMNO1 nwperm
in the number of shares outstanding. In general, every
company has at least one shares structure per year. 1
CRSPAccess C and FORTRAN only.

Exactly one shares structure is effective each date in the In current CRSP files only the most recent delisting
security’s history. One shares outstanding observation event is coded in the Delisting Event Array. If an issue
is effective until the next observation or the delisting leaves an exchange in the CRSP data files and later
date. The first shares observation is effective from the returns, the gap is marked in the Name History Array
Stock and Index Data Description Guide

Shares Observation Date backward to the beginning of with an Exchange Code of 0. During this time, event
data. data are not tracked and time series data are filled in
with missing values.
The Shares Outstanding Observations Array cannot
be used to directly find the shares outstanding each Delisting information is determined by several
calendar period. Utility functions and programs are factors: the exchange of shares at the earliest possible
available to map observations to time series used to opportunity, trade on a secondary market, payments
calculate market capitalization. from the company, or outstanding tender offer. The
information is coded as it becomes available. An issue
E. DELISTING EVENT ARRAY - DELIST is considered closed to further research if any of the
Every security on the CRSP file is assigned one following conditions apply:
delist record. The Delisting Event Array contains
information on the status of a security after it is no ‚ Research has verified that a final distribution has
longer listed on an exchange in a CRSP file. Each been paid to stockholders.
delisting history event contains a code describing ‚ A price is found on another exchange.
the reason for delisting, the value after delisting ‚ Research has verified that no distributions were ever
(when available), forward links to acquiring issue and paid to stockholders.
company traded on NYSE, NYSE MKT, NASDAQ, ‚ Some distributions have been paid to stockholders,
or Arca and delisting return. Active issues have a but no final distribution information can be found
delisting history event where Delisting Date is set to and 10 years have passed since the date of the most
the last date of available price data. The Distribution recent delisting information.
History Array includes itemized data on the payments ‚ No information concerning the delisting can be
made to shareholders after the delisting, and includes found and 10 years have passed since the delist date.
announcement information related to the delisting If none of these conditions applies to a delisted issue,
when available. the issue is pending, which means that further research
is required until one of the above conditions has been
met. If no information is found or the information
found is incomplete, no delisting return will be
calculated by CRSP.
127 Monthly: If no delisting information exists, and G. PRICE, VOLUME, AND RETURN TIME
daily data exist after the last month-end trading date, SERIES ARRAYS
CRSP generates partial-month delisting amounts and Price, Volume, and Return Time Series Arrays are
returns by using the price on the last daily trading date. a set of time series that makes up the core of CRSP
CHAPTER 6: Database Structures

Although the partial month returns are stored in the stock data. This includes three price time series, total
Delisting Return field, they are not delisting returns. returns, and trading volumes. All these time series in a
stock file use the same calendar(s).
F. NASDAQ INFORMATION ARRAY - NASDIN
The NASDAQ Information Array contains a history Variable Name Variable
of an issue’s trading status on The NASDAQ Stock Price, Volume, and Return Time Ask or High Price askhi
Market. Each set of information, or structure, contains Series Data Bid or Low Price bidlo
status and classification fields and the effective date Holding Period Total Return ret
ranges of those fields. If the NASDAQ Traits Code, Price or Bid/Ask Average prc
NASDAQ National Market Indicator, NASD Index Volume Traded vol
Code, or Market Makers Count changes, then a
new structure is added, and the date of the change H. AUXILIARY TIME SERIES DATA
is recorded in the NASDAQ Traits Date. Each issue Auxiliary Data Time Series are additional time series
traded on the NASDAQ Stock Market since November provided in CRSPAccess stock files at the same
1982 has at least one NASDAQ Information Array. frequency as the Price, Volume, and Return Time
Stock and Index Data Description Guide

Series Arrays.
Variable Name Variable
NASDAQ Information Market Maker Count mmcnt Variable Name Variable
Array Data NASD Index Code nsdinx Monthly Alternate Price Price Alternate (monthly only) altprc
NASDAQ National Market Indicator nmsind and Date, Daily Open Price Alternate Date (monthly only) altprcdt
Price, Returns Without
NASDAQ Traits Code trtscd Return Without Dividends retx
Dividends, Spread Time
NASDAQ Information NASDAQ Traits Date trtsdt Spread Between Bid and Ask spread
Series Data
Date Range NASDAQ Traits End Date trtsenddt (monthly only)
Open Price (daily only) openprc
NASDAQ information structures are available for securities trading on NASDAQ
Ask ask
beginning on April 1, 1982 for NASDAQ Traits Date and NASDAQ National Market
Indicator. All fields are available beginning November 1, 1982. 1 Bid bid
NASDAQ Number of Trades (daily numtrd
1
NASDAQ information data are missing in December, 1982 for all issues with NASD only)
company numbers less than 1025 (approximately 20 percent of the securities active
at that time), and are missing in February, 1986 for all issues. NASDAQ Traits Date, I. PORTFOLIO STATISTICS AND ASSIGNMENT
NASDAQ Traits Code, and NASDAQ National Market Indicator are complete. All other
TIME SERIES - PORT
fields are missing.
Portfolio Statistics and Assignment Time Series is
The NASDAQ National Market was initiated in April a set of portfolio time series. Each portfolio time
1982 for larger and generally more actively traded series is based on a portfolio type defined by CRSP
NASDAQ securities. The NASDAQ National Market and contains a history of statistics and portfolio
Securities must meet higher financial and non- assignments for a security. Two variables are available
financial criteria than other NASDAQ stocks, and were for each calendar period:
always subject to last-sale reporting. In June of 1992
the regular NASDAQ segment of the NASDAQ Stock Variable Name Variable

Market was renamed The NASDAQ SmallCap Market Portfolio Statistic and Portfolio Assignment port
Assignment Times Series Number
and for the first time these issues became subject to
Data Portfolio Statistic Value stat
real-time price and volume reporting.
128 Each Portfolio Statistics and Assignment Time Series Variable Name Variable
in the set is called a Portfolio Type. Portfolio Types Group Data Group Flag of Associated grpflag
are predefined groupings based on CRSP indexes. Index

The portfolio time series can be linked to CRSP index Group Secondary Flag grpsubflag
CHAPTER 6: Database Structures

returns data to calculate excess returns of a security Group Date Range Begin of Group Data grpdt

against its assigned index portfolio at any time during End of Group Data grpenddt
its history.
The only grouptype currently available is 16 - S&P
Each Portfolio Type represents a predefined index 500 Universe. Only inclusion events are added to this
group with its own methodology and rebalancing group, so Group Flag of Associated Index is always 1.
period. The portfolio time series can be linked to Begin of Group Data and End of Group Data identify
different calendars based on the rebalancing frequency the range the security was included in the S&P 500
of the index. The timing and calculation of the index. The user must subscribe to the appropriate
statistic and assignment rules are also dependent on stock and index databases to extract group data.
the index. Calendars used in portfolios are not the
same calendars used with security price and returns
data. Portfolio ranges and calendars can differ for III. INDEX DATA STRUCTURES
all portfolio types. In a portfolio time series, the
Data Subtype Code is set to the Permanent Index A. INDEX HEADER - INDHDR
Identification Number, INDNO, of an index that
Stock and Index Data Description Guide

The Index Header is a set of fields containing

contains the performance results of the group of index identification and methodology information about an
series built using the assignments. index series or group. See Index Methodologies for
more descriptive information about the methodologies
The portfolio assignments for the CRSP Stock File
of the CRSP index types.
Decile Capitalization Indexes for NYSE/NASDAQ are
provided with daily and monthly stock files. Additional Variable Name Variable
Portfolio Types are available with the CRSP US Index Permanent Index INDNO indno
Database and Security Portfolio Assignment Module. Identifiers INDCO indco
Note that the portfolio information is a module of the Descriptive Identifiers Index Primary Link primflag
associated CRSPAccess daily or monthly stock data.
Portfolio Number if portnum
Portfolio assignment data for daily or monthly indexes Subset Series
can be extracted through the stock utilities when the Index Name indname
user subscribes to the appropriate stock and index Index Group Name groupname
products. Indexes based on the portfolios are included Index Structures Index Methodology method
in the CRSP Index File and Portfolio Assignments (detailed below) Description Structure
product. Index Exception Handling flags
Flags
See the Portfolio Types table for more details about the Index Subset Screening partuniv
defined portfolios available in monthly and daily stock Structure

files. Partition Subset induniv

Screening Structure

J. GROUP DATA Portfolio Building Rules rules

Structure
Group Data are a set of arrays of universe inclusion
Related Assignment assign
events. Each supported universe is called a grouptype Information
and assigned an integer number that identifies it. The
array for each grouptype lists the number of universe
events and dates.
129 1. Index Methodology Description Structure – 4. Share Code Screen Structure in a Partition or
method - Expansion Index Restriction - shrcd - Expansion

Variable Name Variable Variable Name Variable

CHAPTER 6: Database Structures

Methodology Description Index Method Type Code methcode Share Code Screen Share Code Groupings sccode
Structure Index Primary primtype Structure for Subsets in a
Methodology Type Restriction

Index Secondary subtype Valid First Digit of Share fstdig

Methodology Group Code in a Restriction

Index Reweighting Type wgttype Valid Second Digit secdig

Flag of Share Code in a
Restriction
Index Reweighting wgtflag
Timing Flag

2. Index Exception Handling Flags – flags - Expansion 5. Portfolio Building Rules Structure - rules -
Expansion
Variable Name Variable
Exception Handling Flag Index Basic Exception flagcode Variable Name Variable
Structure Types Code Portfolio Building Rules Index Basic Rule Types rulecode
Stock and Index Data Description Guide

Index New Issues Flag addflag Code

Index Ineligible Issues delflag Index Function Code for buyfnct
Flag Buy Rules
Return of Delisted Issues delretflag Index Function Code for sellfnct
Flag Sell Rules
Index Missing Data Flag missflag Index Function Code for statfnct
Generating Statistics
Index Statistic Grouping groupflag
Code
3. Partition/Index Subset Screening Structure -
partuniv/induniv - Expansion 6. Related Assignment Information – assign -
Expansion
Variable Name Variable
Index Subset Screening Universe Subset Types univcode Variable Name Variable
Structure and Partition Code in a Restriction Portfolio Building Rules Index Basic Assignment assigncode
Subset Screening Restriction Beginning begdt Structure Types Code
Structure Date INDNO of Associated asperm
Restriction End Date enddt Index

Valid Exchange Codes in wantexch Portfolio Number in asport

Universe in a Restriction Associated Index

Valid NASDAQ Market wantnms Calendar Identification rebalcal

Groups in Universe in a Number of Rebalancing
Restriction Calendar

Valid When-Issued wantwi Calendar Identification assigncal

Securities in Universe in Number of Assignment
a Restriction Calendar

Valid Incorporation of wantinc Calendar Identification calccal

Securities in Universe in Number of Calculations
a Restriction Calendar

Share Code Screen shrcd

Structure in a Restriction
130 B. INDEX REBALANCING HISTORY ARRAY - C. INDEX LIST HISTORY ARRAY
REBAL[#][N] Variable Name Variable
The Index Rebalancing History Arrayss are a set of Security Identifier Permanent Number of permno
CRSPAccess event array structures containing decile- Securities in Index List
CHAPTER 6: Database Structures

level historical rebalancing statistical information for Date Range First Date Included begdt
in List
rebalancing periods in an index. Each event array
Last Date Included in enddt
structure within the history contains the characteristics
List
for one portfolio for one time range in the index,
Security Characteristics Index Subcategory Code subind
including the breakpoints used to assign securities to
Weight of Issue weight
the portfolio.

Variable Name Variable

Rebalancing Date Index Rebalancing Begin rbbegdt
D. INDEX TIME SERIES
Ranges Date
Index Rebalancing End rbenddt Index Time Series are sets of result and summary time
Date series arrays for indexes. They include the following
Rebalancing Portfolio Count Used as of usdcnt variables:
Statistics Rebalancing
Maximum Count During maxcnt Variable Name Variable
Period Index Summary Statistics Index Used Count usdcnt
Stock and Index Data Description Guide

Count Available as of totcnt Index Total Count totcnt

Rebalancing
Index Used Value usdval
Count at End of endcnt
Index Total Value totval
Rebalancing Period
Index Returns Index Total Return tret
Breakpoint Information Statistic Minimum minid
Identifier Index Capital aret
Appreciation Return
Statistic Maximum maxid
Identifier Index Income Return iret

Statistic Minimum in minstat Index Levels Index Total Return Index tind
Period Level

Statistic Maximum in maxstat Index Capital aind

Period Appreciation Index Level

Statistic Median in medstat Index Income Return iind

Period Index Level

Statistic Average in avgstat

Period The variable Number of Index Types contains the
count of index series available for each of the indexes
The variable Number of Rebalancing Types contains in a set. There is always one time series for all data
the count of the rebalancing history arrays available for items in an index series, and more than one time series
all indexes in a set. There are ten possible rebalancing for data items in an index group. Not all time series
arrays in current Index Groups and one in all Index are available for each index. If the range for one of the
Series. Each array has its own count of periods, which time series is not set, data of that type is not available
is set to zero if not applicable to the particular index. for that index.