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
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:
access to CRSP 95 format, instructions to use SAS to read CRSP
data that has been converted the still-new CRSP97 access format data,
at University of South Florida (added 3/99)
- the Center
for Research in Security Prices itself, at the University of Chicago's
Graduate School of Business. A subset of the information there is
repeated at http://www.crsp.com.
University GSB CRSP webpage has info especially helpful for local users
- Wharton's Research Data
- University of Minnesota's Carlson School of
Management's CRSP Page (not confirmed working yet for outsiders
6/25/97). If that doesn't work yet, try the draft? page here
- 1995 CRSP Data on University of North Texas's Academic Mainframe
of Arizona Database Access Information including sample CRSP,
Compustat, IBES programs by Mark Trombley and the CRSP manuals
Harper's Research Home Page at University of Washington has the
voluminous official CRSP manuals available for downloading, and other
CRSP and Compustat resources including sample programs
- Lehigh University CRSP Project
html instructions for users by Doug Reese, the first CRSP-related
webpage to be opened, I believe.
- University of British Columbia
- CRSP Data at the
Claremont Graduate School
- Western Michigan University Introduction to CRSP
- the Management 239C: Empirical Research in Finance course at UCLA had a CRSP Handout
- Research Databases at Stern
- University of Tennessee, Knoxville CRSP Data Files instructions
- Cal Poly CRSP description, and CRSP on the IBM Cookbook. Hmm, I thought IBM left the kitchen after what-was-that-little-computer-for-managing-recipes bombed ...
- crsp.html CRSP data at Princeton
- U. Virginia "ITC Info" page online documentation for U Va's gwis system, with Compustat and CRSP sample programs and scripts
- Indiana U. "UCS Knowledge Base" a brief answer to local users on "How do I access the Compustat and CRSP databases?"
- "Working with CRSP and COMPUSTAT datasets at Penn State" by Sharon O'Donnell
- Berkeley's Research Data Systems using SAS primarily, developed by Kyle Lundstedt.
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.
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.
Return to my home page http://web.mit.edu/doncram/www/