CRSP Data Access and Analysis
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Colorado Rockfall Simulation Program CRSP 3D Yeh and Associates, Inc. Consulting Engineers & Scientist Rick Andrew, Yeh & Associates, Inc. Matt DeMarco, FHWA Central Federal Lands Ty Ortiz, Colorado Department of Transportation Jerry Higgins, Colorado School of Mines Howard Hume, PhD, Yeh & Associates, Inc. Alan Rock, GAP Engineering, Inc.
by Don Cram
This CRSP Data Access and Analysis webpage attempts to provideconnections 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; universitywebpages on how to access CRSP; papers and technical notes on accessand analysis of CRSP data.CRSP is an acronym for the Center for Research in Security Prices orthe data which the Center collects, verifies and reports: monthly anddaily stock and bond market information. Business and economicsschools purchase annual updates of the data; researchers access itusing Fortran, SAS, and Splus programs. Few like to use Fortran, butthe SAS procedure to access CRSP data is only a few years old and hasnot yet taken over the market. I am aware of only one site whereSplus is used, although Splus offers certain strong advantages.
I have written a paper entitled 'CRSP Data Retrieval and Analysis inSAS Software for Users and Administrators' which you may request. Request acopy here, providing both your email and postal mail addresses.This paper is the Stanford University Graduate School of BusinessTechnical Report #80 announced inthe FEN Journal of Financial Abstracts: Series A: Corporate Financeand Organizations Working Paper Series (Vol. 3 No. 13A: April 29,1996) and in the FEN Journal of Accounting Abstracts Working PaperSeries (Vol. 2, No. 13: May 6, 1996).
CRSP data users and administrators may wish to join the CRSP-Lemail list on CRSP and Compustat access and analysis founded in1996 and administered by H. AlanMontgomery at Texas A&M. The information page for this list hasagrowing FAQ which I maintain.
CRSP information at universities and other sites
Many sites' CRSP administrators are putting up webpages with firstpriority to provide information to their own users, but the pages areinformative to outsiders too. Please submit URLs to me if you know ofuniversity or other CRSP webpages not listed here.- SASaccess to CRSP 95 format, instructions to use SAS to read CRSPdata that has been converted the still-new CRSP97 access format data,at University of South Florida (added 3/99)
- the Centerfor Research in Security Prices itself, at the University of Chicago's Graduate School of Business. A subset of the information there isrepeated at http://www.crsp.com.
- StanfordUniversity GSB CRSP webpage has info especially helpful for local users
- University of Minnesota's Carlson School ofManagement's CRSP Page (not confirmed working yet for outsiders6/25/97). If that doesn't work yet, try the draft? page here
- Universityof Arizona Database Access Information including sample CRSP,Compustat, IBES programs by Mark Trombley and the CRSP manualson-line;
- KevinHarper's Research Home Page at University of Washington has thevoluminous official CRSP manuals available for downloading, and otherCRSP and Compustat resources including sample programs
- Lehigh University CRSP Projecthtml instructions for users by Doug Reese, the first CRSP-relatedwebpage to be opened, I believe.
- University of British ColumbiaCRSPRetrieval Program
- CRSP Data at theClaremont Graduate School
- Western Michigan University Introduction to CRSPinstructions
- the Management 239C: Empirical Research in Finance course at UCLA had a CRSP Handout
- 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.
- Peter C.C. Luan paper proposing a CRSP file structure: 'AccessingRestructured CRSP Data Using SAS PROC DATASOURCE: A DownsizingExperience' (Western Users of SAS Software (WUSS) proceedings, 1995).The paper is available at Peter C.C. Luan's website.
- SAS-L archives search this thriving SAS users discussion for mention of CRSP (there hasn't been as much discussion as one might have expected)
Other indices
- OSU Financial Data Finder provides links to info on many other financial databases.
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John J. Glascock and Imre Karafiath, 'Statistical Inference in Event Studies Using Multiple Regression' publishedin Research Issues in Real Estate: Alternative Ideas InReal Estate Investment, edited by Arthur L. Schwartz, Jr.and Steven D. Kapplin, published by Kluwer Academic Publishersin 1995. Thanks to James Conover for the reference, who adds:Sample Programs
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There are a growing number of sample programs given in the CRSP-L FAQ.Sample CRSP access programs described in myreport are available for downloading at a web-address provided in thereport. For comparison, you might check out sample CRSP accessprograms 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 analyzeCRSP data, especially in SAS, and I collect links to CRSP-related sites.
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Please send suggestions, offers, and requests.
Email:doncram@mit.edu
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