CRSP Data Access and Analysis

by Don Cram

This CRSP Data Access and Analysis webpage attempts to provide connections to all Center for Research in Security Prices (CRSP)-related information resources published and/or on the WWW. These include: the CRSP-L email list and FAQ webpage; university webpages on how to access CRSP; papers and technical notes on access and analysis of CRSP data.

CRSP is an acronym for the Center for Research in Security Prices or the data which the Center collects, verifies and reports: monthly and daily stock and bond market information. Business and economics schools purchase annual updates of the data; researchers access it using Fortran, SAS, and Splus programs. Few like to use Fortran, but the SAS procedure to access CRSP data is only a few years old and has not yet taken over the market. I am aware of only one site where Splus is used, although Splus offers certain strong advantages.

I have written a paper entitled "CRSP Data Retrieval and Analysis in SAS Software for Users and Administrators" which you may request. Request a copy here, providing both your email and postal mail addresses. This paper is the Stanford University Graduate School of Business Technical Report #80 announced in the FEN Journal of Financial Abstracts: Series A: Corporate Finance and Organizations Working Paper Series (Vol. 3 No. 13A: April 29, 1996) and in the FEN Journal of Accounting Abstracts Working Paper Series (Vol. 2, No. 13: May 6, 1996).

CRSP data users and administrators may wish to join the CRSP-L email list on CRSP and Compustat access and analysis founded in 1996 and administered by H. Alan Montgomery at Texas A&M. The information page for this list has a growing FAQ which I maintain.

CRSP information at universities and other sites

Many sites' CRSP administrators are putting up webpages with first priority to provide information to their own users, but the pages are informative to outsiders too. Please submit URLs to me if you know of university or other CRSP webpages not listed here. Papers and technical notes and postings about CRSP data management on the web are still rare:

Other indices

Other sources on access or use of CRSP data, not available on-line:
  • the SAS Institute's SAS/ETS(R) User's Guide, Version 6, Second Edition, now $44.95 U.S., and other SAS/ETS publications
  • Donald P. Cram brief version of paper available above: "CRSP Data Retrieval and Event Study Analysis in SAS Software: Sample Programs and Programming Tips" (SAS Users Group International (SUGI 21) proceedings, March 1996)
  • Paul J. Ratnaraj and Carol M. Katzman paper: "Managing Large Financial Data with Ease: CRSP, COMPUSTAT, Etc., with SAS" (SAS Users Group International (SUGI 19) proceedings, 1994)
  • Sharon I. O'Donnell paper: "PROC DATASOURCE--Strategies for User Support" (NorthEast SAS Users Group (NESUG) proceedings, 1994)
  • Greg Duffee's "The CRSP Stock Database at the Federal Reserve Board" which describes an Splus installation
  • John J. Glascock and Imre Karafiath, "Statistical Inference in Event Studies Using Multiple Regression" published in Research Issues in Real Estate: Alternative Ideas In Real Estate Investment, edited by Arthur L. Schwartz, Jr. and Steven D. Kapplin, published by Kluwer Academic Publishers in 1995. Thanks to James Conover for the reference, who adds:
    This paper gives a 33-line SAS program using SAS MACRO's
    to calculate the Brown and Warner (1985, JFE) event study statistics.

    Sample Programs

    There are a growing number of sample programs given in the CRSP-L FAQ. Sample CRSP access programs described in my report are available for downloading at a web-address provided in the report. For comparison, you might check out sample CRSP access programs at Wharton or find the sample SAS program within University of British Columbia's CRSP page. Wharton also has an html interface for CRSP access under development, for authenticated local users only, of course. For example, an html form for requesting NYSE daily data at Wharton.

    I collect programs which access or analyze CRSP data, especially in SAS, and I collect links to CRSP-related sites.

    Please send suggestions, offers, and requests.


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