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.
The CRSP subscription is financed by the Department of Finance at Aalto University School of Business.
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.'
Access to WRDS is managed by Nikolas Breitkopf, contact via [email protected]
