CRSPLiquidMktCapGrpsCnts: CRSP Stocks Cap Groups Counts
In PCRA: Companion to Portfolio Construction and Risk Analysis
CRSPLiquidMktCapGrpsCnts R Documentation
CRSP Stocks Cap Groups Counts
Description
Biennial counts of bigcap, smallcap, microcap stocks among
liquid CRSP database stocks from 1964 to 2018 using weekly returns. Bigcap
stocks consist of midcap, largecap, and megacap stocks. For each contiguous
two-year interval, liquid stocks are those with no missing returns and at
most 4 returns with value 0.
Usage
data(CRSPLiquidMktCapGrpsCnts)
Format
A multivariate xts object
Source
The microcap, smallcap and bigcap groups were defined using the
using the 20th and 50th percentiles of the NYSE capitalization data as
breakpoints to separate these three market cap groups.
Examples
data(CRSPLiquidMktCapGrpsCnts)
names(CRSPLiquidMktCapGrpsCnts)
dim(CRSPLiquidMktCapGrpsCnts)
PCRA documentation built on July 15, 2026, 9:06 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| CRSPLiquidMktCapGrpsCnts | R Documentation |
CRSP Stocks Cap Groups Counts
Description
Biennial counts of bigcap, smallcap, microcap stocks among liquid CRSP database stocks from 1964 to 2018 using weekly returns. Bigcap stocks consist of midcap, largecap, and megacap stocks. For each contiguous two-year interval, liquid stocks are those with no missing returns and at most 4 returns with value 0.
Usage
data(CRSPLiquidMktCapGrpsCnts)
Format
A multivariate xts object
Source
The microcap, smallcap and bigcap groups were defined using the using the 20th and 50th percentiles of the NYSE capitalization data as breakpoints to separate these three market cap groups.
Examples
data(CRSPLiquidMktCapGrpsCnts)
names(CRSPLiquidMktCapGrpsCnts)
dim(CRSPLiquidMktCapGrpsCnts)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.