Universidad Carlos III de Madrid - UC3M

Overview of the data

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

Key Features include:

a) Data for Individual NYSE, AMEX and NASDAQ Securities:

• Bid or Low Price
• Ask or High Price
• Open Price

o NYSE open price data beginning on December 31, 1925 and continuing to June 1962; beginning in June 1992 and continuing through the most recent update

• Closing Price
• Holding Period Return
• Year-end Capitalization
• Shares Outstanding and Security Delisting Information
• Distribution Information:

1. Description of Distribution
2. Dividend Amount
3. Factors to Adjust Price and Shares
4. Security and Company Linking Information

• Dates: Declaration, Ex-distribution, Record and Payment
• Year-end Capitalization Portfolio
• Trading Volume
• Historical Descriptive Information:

1. Name
2. Share Class
3. CUSIP
4. Share Code
5. Ticker
6. Exchange Code
7. 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) Identifying 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
• Equal-Weighted Returns, including all distributions
• Equal-Weighted Returns, excluding dividends
• Total Market Capitalization

d) Benchmark Indices:

• Total Market Count• S&P 500 Composite Index
• NASDAQ Composite Index

e) Supplemental Data for Individual NASDAQ Securities:

• Historical Traits Information:

1. Market Maker Count
2. NASD Classification

• Trading Status
• Number of Trades
• Closing Bid and Ask

How to access this database

• Local access (department) in room 6.0.52. Only by appointment. Contact Lluís Santamaria (lsantama@emp.uc3m.es).

How to use this database

Basic information on how to use these databases can be found in CRSP US STOCK.