CRSP

The CRSP US Stock Database contains daily and month-end closing prices for all common stocks listed on the NYSE, AMEX, and NASDAQ, along with basic market indices, and includes the most complete distribution information available, with the most accurate total return calculations.

Key features include:

a) Individual security data from the NYSE, AMEX, and NASDAQ:

• Bid price or minimum price
• Ask price or maximum price
• Opening price

o NYSE opening price data from December 31, 1925 to June 1962; from June 1992 to the latest update.

• Closing price.
• Holding period return.
• Market capitalization at year-end.
• Shares outstanding and delisting information.
• Distribution information:
  – Distribution description.
  – Dividend amount.
  – Factors to adjust price and shares.
  – Information on the link between securities and companies.
• Dates: declaration, ex-distribution, record, and payment.
• Market capitalization at year-end. Portfolio.
• Trading volume.
• Historical descriptive information:
  – Name.
  – Share class.
  – CUSIP.
  – Stock code.
  – Stock symbol.
  – Exchange code.
  – SIC code.
• NYSE data: all data series begin on December 31, 1925.
• AMEX data: all data series begin on July 2, 1962.
• NASDAQ data: all data series begin on December 14, 1972.

b) Identification information:

PERMNO, CRSP’s unique and permanent issue identification number.
PERMCO, CRSP’s unique and permanent company identification number.

c) Market indices:

• Value-weighted returns, excluding dividends.
• Value-weighted returns, including all distributions.
• Equally weighted returns, including all distributions.
• Equally weighted returns, excluding dividends.
• Total market capitalization.

d) Benchmark indices:

• Total market count • S&P 500 Composite Index
• NASDAQ Composite Index

e) Supplementary data for individual NASDAQ securities:

• Historical characteristics information:
  – Number of market makers
  – NASD classification
• Trading status
• Number of trades
• Bid and ask closing price