Xiamen University, IFAS Copyright© 2009 The Center for Research in Security Prices IFAS of Xiamen University Charles Lee

Xiamen University, IFAS, Object : To Get Start With CRSP Background System Requirements & Installation Tips The Use of CRSPSIFT

Xiamen University, IFAS, BACKGROUND

What is the Center for Research in Security Prices? Often known by its acronym CRSP, it is a research center at the Graduate School of Business (founded in 1898) of the University of Chicago. CRSP is a non-profit center which also functions as a vendor of historical data. All revenues after expenses support the Graduate School of Business, providing grants for faculty and student research.

Xiamen University, IFAS, What Makes CRSP Data Unique? Its accuracy, depth and breadth of history, and its permanent identifiers. All CRSP data are checked for accuracy and internal consistency, and secondary sources are used to check suspect values. Considerable resources are expended in checking and improving the quality of the data. Errors and omissions in source data are not common. Historical corrections account for the differences in the data from update to update. CRSP's unique and permanent security and company identifiers, PERMNO® and PERMCO®, offer uninterrupted time-series analysis by tracking securities across time, regardless of identifier changes to CUSIP, ticker, company name, SIC Code, and exchange. This feature permits accurate time-series and events studies.

Xiamen University, IFAS, Who are typical users of CRSP equity data? Typical users include members of the academic and investment communities. Academic users: Top US and international academic institutions Commercial users: quantitative analysts, equity derivatives traders, researchers and marketers, portfolio managers and research analysts, merger and acquisition groups and management consultants, attorneys, hedge fund and mutual fund managers, exchanges Government agencies

Xiamen University, IFAS, How many historical databases does CRSP provide? CRSP provides six databases: CRSP US Stock Database CRSP US Indices Database CRSP US Treasuries Database CRSP US Survivor-Bias-Free Mutual Funds Database CRSP/COMPUSTAT Merged Database CRSP/Ziman Real Estate Data Series

Xiamen University, IFAS, How far back do the CRSP data go? Subscribers depend on CRSP as it provides the most extensive and accurate historical data on US equities. –NYSE daily data begin December 1925 –Alternext (formerly AMEX) daily data begin July 1962 –NASDAQ daily data begin December 1972 –ARCA daily data begin March 2006

Xiamen University, IFAS, How many companies are in the CRSP stock universe? CRSP end-of-day historical data covers roughly 26,500 stocks – active and inactive -- listed on the NYSE, Alternext (formerly known as Alternext (formerly AMEX)), NASDAQ, and ARCA exchanges. OTC bulletin board stocks are not included. CRSP does not follow securities that trade on an over- the-counter listing service such as Pink Sheets or OTCBB?

Xiamen University, IFAS, What is CRSPSIFT? CRSPSIFT, CRSP's Security Information Filtering Tool, is CRSP's suite of data access utilities. Efficient and intuitive, the Windows interface provides a central location for four modules: –TsQuery - Time Series Access for CRSP US Stock, Stock & Indices, and CRSP/Compustat Merged Databases –StkQuery - Event and time series access for CRSP security data, including corporate action history and market data access –IndQuery - Access to CRSP Indices data, including index levels, counts, returns, and weights –CCMQuery - CRSP/Compustat link history, access to Compustat's industrial and bank files, segment, and PDE data. (Compustat subscribers only)

Xiamen University, IFAS, The Evolution of CRSP The original CRSP stock file contained month-end prices and returns from the New York Stock Exchange (NYSE) dating from December, Daily and monthly American Stock Exchange (AMEX, now Alternext) data and Daily NYSE data beginning in July, 1962, were respectively combined into monthly and daily NYSE/AMEX files providing price and return information on NYSE/AMEX common stock securities. CRSP’s data coverage expanded in 1987 to include NASDAQ daily and monthly stock data, with information for domestic common stocks and ADRs traded on the NASDAQ Stock Market beginning December 14, 1972.

Xiamen University, IFAS, The Evolution of CRSP In 2005, CRSP completed the compilation and merging of daily data between 1925 and 1962 for securities that traded on NYSE in that period, resulting in seamless daily and monthly data for securities trading on NYSE between as early as December NYSE Arca daily and monthly data were added in July 2007 for securities with primary listings on that exchange. NYSE Arca coverage begins on March 8, On October 1, 2008, NYSE Euronext completed its acquisition of the American Stock Exchange LLC. AMEX’s new name is NYSE Alternext US. References to “Alternext” throughout CRSP products and guides imply AMEX prior to October 2008.

Xiamen University, IFAS, NASDAQ MARKETS The NASDAQ Stock MarketSM consists of three subsets of securities, the NASDAQ Global Market, Global Select Market, and the NASDAQ Capital Market. The Securities are tiered based on criteria setting minimum levels for: annual income, numbers of publicly traded shares, market capitalization, share price, and number of market makers. A security may move between tiers as its status changes. Prior to July 2006, the Global and Global Select Markets were combined in a single tier called the NASDAQ National Market. The NASDAQ Capital Market was called the NASDAQ SmallCap Market.

Xiamen University, IFAS, NASDAQ MARKETS The NASDAQ National Market was initiated in April 1982 for larger and generally more actively traded NASDAQ securities. The NASDAQ National Market Securities had to meet higher financial and nonfinancial criteria than other NASDAQ stocks, and were subject to last-sale reporting. In June of 1992 the regular NASDAQ segment of The NASDAQ Stock Market was renamed The NASDAQ SmallCap Market and for the first time these became subject to real-time price and volume reporting. The CRSPAccess NASDAQ security data include closing bid, closing ask, and the number of trades, formerly included in the CRSP Supplemental NASDAQ Data File. The latter data items have been reported for issues listed on The NASDAQ National Market since November 1, Issues listed on The NASDAQ SmallCap Market have had these data reported since June 15, 1992.

Xiamen University, IFAS, NASDAQ MARKETS For a more detailed description of how to identify The NASDAQ Market Tiers, see the NASDAQ National Market Indicator definition in the NASDAQ information history array described in the data definitions section.

Xiamen University, IFAS, System Requirements & Installation Tips

Xiamen University, IFAS, System Requirements Microsoft Windows XP Professional SP 2 Display resolution of 1024 x 768 or higher Microsoft.NET Framework – Microsoft SQL Server Express Adobe Flash Player Campus Network

Xiamen University, IFAS, Installation Step 1: Install Microsoft.NET Framework Please restart your computer to continue to the next step.

Xiamen University, IFAS, Click here!

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Xiamen University, IFAS, Finished. Restart your PC now!

Xiamen University, IFAS, Installation Step 2: Install CRSPSift 2.2 Enterprise Client Note: if you have the version 2.1, please update it!

Xiamen University, IFAS,

Note I will show you how to access the databases and download the data on the lecture. Please bring your own computer!

Xiamen University, IFAS, Thank you for your time!