stocksCRSP: stocksCRSP

In PCRA: Companion to Portfolio Construction and Risk Analysis

stocksCRSP

Description

CRSP monthly stocks data for 294 stocks 1993 to 2015

Usage

data(stocksCRSP)

Format

A data.table object with 82000 observations on 15 variables:

• Date: type 'Date'.

• TickerLast: type 'chr'. The ticker as of December 2015

• Ticker: type 'chr'. Monthly ticker period

• Company: type 'chr'. The name of company with TickerLast

• CapGroupLast: type 'chr'. Company market capitalization group as of December 2015, one of: MicroCap, SmallCap, MidCap or LargeCap

• CapGroup: type 'chr'. Monthly market capitalization group

• GICS: type 'chr'. 6 digit S&P GICS code

• Sector: type 'chr'. One of 10 sectors specified by the first two digits of the GICS code

• Return: type 'num'. Arithmetic stock return from one period to the next in decimal form

• RetExDiv: type 'num'.

• Price: type 'num'. Stock price at each time period in decimal form

• PrcSplitAdj: type 'num'.

• Ret4WkBill: type 'num'. Return of 4 week Treasury bill

• Ret13WkBill: type 'num'. Return of 13 week Treasury bill

• Ret1YrBill: type 'num'. Return of 1 year Treasury bill

• mktIndexCRSP: type 'num'. CRSP value weighted market return

Details

The four CapGroupLast categorizations of the stocks were determined using the three capitalization breakpoints $15.6B, $5.4B, $600M. Details concerning the construction of the monthly CapGroup categorizations will eventually be provided in a Vignette.

Weekly and daily versions stocksCRSPweekly and stocksCRSPdaily may be obtained using the function getPCRAData() - see PCRAData.R.

Source

Center for Research in Security Prices (CRSP) at the University of Chicago's Booth School of Business (CRSP). NOTE: CRSP data is not covered by the GPL. Redistribution of the data is not permitted, and use of the data in derivative works is not permitted without the written permission of CRSP.

References

A standard corporate finance textbook: Ross, Westerfield, Jaffe and Jordan (2019). Corporate Finance, McGraw-Hill Education.

Examples

data.table::setDTthreads(1)  
data(stocksCRSP)
names(stocksCRSP)
unique(stocksCRSP$Sector)
unique(stocksCRSP$CapGroup)
head(stocksCRSP,2)

PCRA documentation built on Aug. 30, 2023, 9:09 a.m.