Data sources

CRSP (Center for Research in Security Prices)

Subject:
Financial markets:
  • Stock markets
WRDS subscriptions
Keywords: Stock, Price, Return, Volume, Mutual fund
Accessible to: Aalto users
Attention: External account registration required; data reuse must comply with the WRDS Terms of Use.
CRSP Center for Research in security prices, LLC, written in dark blue font

Data source type

Third party data through data vendor

License

Academic and non-commercial research purposes only

Analysis unit

Stock (share class)

Geographical coverage

United States

Time period coverage

1925-present, updated quarterly (1998-present for mutual fund data)

Frequency

Daily

Format

CSV, DBF, GZ, HTM, SAV, ZIP, SAS7BDAT, DTA, TXT, XLSX

Encoding

UTF8

Description

CRSP, LLC, an affiliate of the University of Chicago Booth School of Business, maintains the most comprehensive database for the NYSE, AMEX and NASDAQ stock markets in the United States. The data begins as far back as 1925 and is updated on a quarterly and annual basis.

The daily and monthly stock (share class) price, return and trading volume data is linked to permanent identifiers which do not change over time (PERMNO for a stock issue, PERMCO for the respective company). The data contains stock market index returns, including the SP Composite Index, and an interactive tool allows importing your own firm identifiers and dates to run an event study directly on the WRDS platform.

Additional data files, which we subscribe to, include:

Stock / Events - Delisting, Distribution, Share Outstanding, NASDAQ Information

CRSP/Compustat Merged Database - Bank data, Fundamentals, Linking file (GVKEY to PERMCO), Segments

Mutual Funds - daily and monthly Returns, Fund Summary Information, Fund-Portfolio Map, Front and End Loads, Portfolio Holdings.
CRSP fund identifiers (crsp_fundno, not to be mixed up with the portfolio identifier crsp_portno) can be conveniently linked to the portfolio identifiers in the MFLINKS database (wficn) which allows linking the fund return data to Thomson/Refinitiv Mutual Fund Holdings database - see the related data sources at the bottom of the page.

Author

The Center for Research in Security Prices (CRSP), LLC

Distributor

Wharton Research Data Services (WRDS)

Acknowledgement

The CRSP subscription is financed by the Department of Finance at Aalto University School of Business.

Cite as

Wharton Research Data Services. "WRDS" wrds.wharton.upenn.edu, accessed YYYY-MM-DD.

WRDS Terms of Use requires users to acknowledge them in publications and communication by stating the following:

'Wharton Research Data Services (WRDS) was used in preparing [identify research piece]. This service and the data available thereon constitute valuable intellectual property and trade secrets of WRDS and/or its third-party suppliers.'

Contact

Access to WRDS is managed by Nikolas Breitkopf, contact via [email protected]

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Related data sources

S&P Global in red font, Market Intelligence in black font below it

Compustat

Compustat North America provides annual and quarterly fundamentals (accounting statement. Information) for public companies in the US and Canada. Additional Compustat data files include bank fundamentals, historical business segment data and executive compensation (Execucomp).

Company data:
  • Financial statements
WRDS subscriptions
Refinitiv in black font followed by a blue logotype of the letter R

Thomson/Refinitiv Holdings

The Thomson/Refinitiv Holdings database contains detailed information on institutional stock holdings and mutual fund ownership in the United States at the stock level.

Company data:
  • Governance and Ownership
Financial markets:
  • Mutual and hedge funds
WRDS subscriptions