Center for Research in Securities Prices
CRSP stands for Center for Research in Security Prices. CRSP is developed and sold by University of Chicago's Graduate School of Business . The CRSP services available in the W. P. Carey School of Business are:
- Daily NYSE/AMEX/NASDAQ Combined File
- CRSP Government Bonds
The NYSE/AMEX/NASDAQ Daily History file provides:
- name histories, all historical CUSIPs, shares classes, tickers, SIC codes and other identifiers;
- price histories and trading volumes;
- information on why a security stopped trading;
- distribution histories including all dividends, stock splits, and special distributions, and
- shares outstanding values and year-end market capitalization.
The CRSP Government Bonds file provides Month-end price data on virtually all negotiable direct obligations of the United States Treasury for the period beginning December, 1925.
Accessing CRSP data
CRSP data can be accessed through user-written FORTRAN code, specialized software (like Eventus), CRSP utilities such as TSPrint, and in SAS format on the school network. The CRSP User's Guides are available online at CRSP's online documentation website.
CRSP Programs
To access the CRSP data using FORTRAN:
- Log-on to the WRDS Unix server using SSH (wrds.wharton.upenn.edu)
- Copy a sample FORTRAN program, or write one. Give the new program a .f extension (cp /wrds/crsp/samples/CRSPAccess/ussamp1.for ussamp1.f)
- Edit the program if desired (pico ussamp1.f)
- Compile the program (f77 -o ussamp1 ussamp1.f -I$CRSP_INCLUDE $CRSP_LIB/crsplib.a)
- Submit the program (ussamp1)
- Review your output (pico dcnames.dat)
- For more info on using Fortran in WRDS (http://wrds.wharton.upenn.edu/support/docs/techbr_for.pdf)
To access the CRSP data using C:
- Log-on to the WRDS Unix server using SSH (wrds.wharton.upenn.edu)
- Copy a sample C program, or write one. Give the new program a .c extension (cp /wrds/crsp/samples/CRSPAccess/stk_samp1.c stk_samp1.c)
- Edit the program if desired (pico stk_samp1.c)
- Compile the program (cc -DUNIX=1 -DSOLARIS -I$CRSP_INCLUDE -xarch=v9 -w -KPIC -o stk_samp1 stk_samp1.c $CRSP_LIB/crsplib.a -lm)
- Submit the program (stk_samp1)
CRSP provides several sample FORTRAN and C programs that you can copy into your Unix workspace and alter to suit your needs. These programs can be copied from the CRSP sample library/wrds/crsp/samples/CRSPAccess/ into your workspace. The sample CRSP programs can be viewed on the internet in the "CRSPAccess97 Database Format - Programmer's Guide" at CRSP's online documentation website.
The Government Bonds files are located in /afs/asu.edu/bus/crsp/usgovt. For more information about these files, please see "CRSP Monthly US Government Bills, Notes, and Bonds Guide" at CRSP's online documentation website.
If you expect your program to run for a long time, you will want to submit your program in batch mode. SeeBasic LSF Commands.
NOTE: Albert Yan in Finance has created a Unix shellscript named c2k3. It automatically calls the C compiler with proper command line options. To use it:
- Right click on the filename to the right and choose "Save Target As": c2k3
- Upload it to your account on general.asu.edu.
- Make the script executable using the following Unix command: "chmod 755 c2k3"
- Use the command to compile a C program by typing c2k3 and the name of the program (the filename MUST end in ".c"). For example, to compile stk_samp1.c, type: "c2k3 stk_samp1.c"
- A compiled program with the same name followed by ".exe" will be produced. In the example above, it would be "stk_samp1.c.exe". Simply run the resulting program as desired.
Wharton Research Data Service (WRDS) Web Interface
CRSP data can be accessed through web interface provided through the W. P. Carey School of Business' WRDS subscription. For more information on accessing and using it, visit the WRDS research pages.
CRSP Utilities and TSPrint
CRSP includes browse and reporting tools with their files that can be used at the command line in Unix. For usage information, see the Utilities Guide at CRSP's online documentation website.
In addition, CRSP provides TSPrint for Windows. This java based program allows users to extract CRSP data on the school network into text files from within a Windows based program. For more information on TSPrint for Windows, go to the the TSPrint web page.
Accessing CRSP data using SAS
CRSP data can be accessed within SAS in two ways. First, the CRSP binary data can be directly extracted into SAS using Eventus. Eventus is an add-in to SAS which accesses CRSP data from the W. P. Carey School of Business network and performs event studies. Eventus is installed by default in SAS installations running from the W. P. Carey School of Business network S: drive.
In addition, CRSP data is available in SAS format on the W. P. Carey School of Business Network at N:\SAS . The data is appears as four SAS datasets:
- da.sas7bdat: Contains the daily CRSP data in its entirety
- dacont.sas7bdat: Contains a list of variable names and labels
- daevent.sas7bdat: Contains events such as delistings
- dakey.sas7bdat: Lists information on the data series collected for each company such as start/end dates for series, number of observations, etc
Other CRSP sites
