CRSP US Stock (available via WRDS). The Center for Research in Security Prices (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets. CRSP databases are characterized by their comprehensive corporate action information and highly accurate total return calculations.
Coverage

All securities listed in CRSP U.S. Stock databases are equity securities, not bonds. CRSP U.S. Stock databases do not include securities for international companies (i.e. Canadian companies) – unless they are ADRs, cross-listed, or traded on the major stock exchanges mentioned above.

CRSP U.S. Stock database contains the following information:

• Price and quote data (e.g. Open, close, bid/low, ask/high, trade-only).
• Holding period returns with and without dividends.
• Excess returns and other derived data items.
• Market capitalization.
• Shares outstanding.
• Trading volume.
• Security delisting information.
• Corporate actions.
• Identifiers, descriptors, and supplemental data items.
• CRSP U.S. Stock data coverage for the various exchanges includes:
• NYSE: All data series begin on December 31, 1925.
• NYSE MKT: All data series begin on July 2, 1962.
• NASDAQ: All data series begin on December 14, 1972.
• Arca: All data series begin March 8, 2006.

The market indices cover:

• Equal and value-weighted returns for CRSP NYSE, NYSE MKT, NASDAQ, and Arca – with and without dividends.
• Composite Indices for S&P 500 and NASDAQ.
• For S&P 500 constituent data, refer to to the CRSP Indices product.

At the share type (SHRCD) level, CRSP U.S. Stock includes:

• Common Stocks.
• Certificates.
• ADRs.
• Shares of Beneficial Interest.
• Units (e.g. Depository Units, Units of Beneficial Interest, Units of Limited Partnership Interest, Depository Receipts).
• ETFs.
• Closed-End Mutual Funds.
• Foreign companies traded on NYSE, NYSE MKT, NASDAQ, and NYSE Arca.
• Americus Trust Components (Primes and Scores).
• HOLDRs Trusts.
• REITs (Real Estate Investment Trusts)

 

Lastly, CRSP U.S. Stock database excludes:

• Rights and warrants.
• Preferred shares.
• Units representing common stocks bundled with rights or warrants.
• Over the Counter Bulletin Board Issues.
• When Issued Trading.
• Data Collection Process

CRSP U.S. Stock database is collected from multiple sources.
For recent years, it is collected from Interactive Data Corporation (IDC). For more information, please refer to pages 1-2 of Stock & Indices Documentation.

* Masters and PhD students may register for an account on the WRDS website. Students will then need to wait to be verified before access is granted by the system. When registering always use your university email account. Once your account is verified you may access this resource remotely.

• Listing ID: 7858