DATA DESCRIPTIONS GUIDE CRSP US STOCK & US INDEX DATABASES

R CENTER FOR RESEARCH IN SECURITY PRICES, LLC An Affiliate of the University of Chicago Booth School of Business CRSP CONTACT INFORMATION

105 West Adams, Suite 1700 Chicago, IL 60603

Phone: 312.263.6400 Fax: 312.263.6430

Email: [email protected]

For further information, please visit our website at www.crsp.org or email [email protected] CONTENTS

CHAPTER 1: BACKGROUND...... 4

CHAPTER 2: DATA DEFINITIONS...... 7

CHAPTER 3: CRSP CALCULATIONS...... 97

CHAPTER 4: INDEX METHODOLOGIES...... 104

CHAPTER 5: DATA CODING SCHEMES...... 114

CHAPTER 6: DATABASE STRUCTURES...... 123

Document last modified February 2, 2021 Chapter 1: BACKGROUND

CRSP CALENDARS ‚ Shares of Beneficial Interest ‚ Units (Depository Units, Units of Beneficial Interest, A CRSP calendar is a set of time periods with header Units of Limited Partnership Interest, Depository information about those time periods. The calendar time Receipts, etc. periods are chosen as points of interest rather than all ‚ ETFs calendar days, and therefore a daily calendar contains only the ‚ Closed-End Mutual Funds dates where trading was conducted on a major US exchange. ‚ Foreigns on NYSE, NYSE MKT, NASDAQ, Arca and Bats Data are never provided on weekends or trading holidays. ‚ Americus Trust Components (Primes and Scores) The standard identification of a time period is the date, an ‚ HOLDRs Trusts integer in YYYYMMDD format, at the end of the period. ‚ REITs (Real Estate Investment Trusts) CRSP stock databases exclude: There are currently five calendars provided with CRSPAccess databases: daily, monthly, weekly, quarterly, and annual. The ‚ Rights and Warrants daily calendar is used to derive the others so that the last ‚ Preferreds trading date in each month, week, quarter, or year is used to ‚ Units Representing Common Stocks Bundled with Rights build those respective calendars. or Warrants ‚ Over the Counter Bulletin Board Issues Time series data are always associated with one of these ‚ When Issued Trading calendars. The list of time series observations is synchronized with a calendar so that the nth time series observation is associated with the nth calendar period. DEVELOPMENT OF THE CRSP STOCK FILES

A Calendar Name and an integer Calendar Identification CRSP STOCK FILE DATA DATES BY EXCHANGE Number identify each calendar. The calendars supported in EXCHANGE MONTHLY STOCK FILES DAILY STOCK FILES CRSPAccess databases are: BEGINNING DATE BEGINNING DATE NYSE 12/31/1925 12/31/1925 Calendar ID Name Beginning Date NYSE MKT 07/31/1962 07/02/1962 Daily 100 Daily Trading Calendar 19251231 NASDAQ 12/29/1972 12/14/1972 Monthly 101 Month-end Trading Calendar 19251231 Arca 03/31/2006 03/08/2006 Annual 300 Annual Trading Calendar 19251231 Bats 01/31/2012 01/24/2012 Quarterly 310 Quarterly Trading Calendar 19251231 Weekly 500 Weekly Trading Calendar 19260102 The CRSP Data Files were developed by the Center for Research in Security Prices (CRSP), Booth School of Business, University of Chicago. Lawrence Fisher and James STOCK DATA UNIVERSE Lorie, during their tenure at the University of Chicago, built the CRSP stock file and originated its basic design and CRSP stock data includes data from NYSE, NYSE MKT, content. NASDAQ, Arca and Bats stock exchanges. The original CRSP stock file contained month-end prices The following items are included in our stock databases: and returns from the New York Stock Exchange (NYSE) dating from December, 1925. Daily and monthly American ‚ Common Stocks Stock Exchange (NYSE MKT) data and Daily NYSE data ‚ Certificates beginning in July, 1962, were respectively combined into ‚ ADRs monthly and daily NYSE/NYSE MKT files providing

Stock and Index Data Description Guide • PAGE 4 December 1925-January 1928: Commercial and Commercial 1928: December 1925-January and Quotation “Bank Section” Financial Chronicle, Bank and Quotation 1960: February 1928-December of the Bank and Quotation an expansion Record, Section.

closing bid, closing ask, bid, closing closing of trades, number and the Supplemental CRSP in the included formerly been Data data latter File. The have items NASDAQ National NASDAQ on The listed issues reported for on The Issues listed 1982. 1, since November Market had these data have Market SmallCap NASDAQ 1992. reported since June 15, identify to detailed of how description a more For see the NASDAQ Tiers, Market The NASDAQ definition Indicator in the NASDAQ Market National history described in the datainformation array definitions section. OF THE CRSP STOCK DATA ACCURACY DATA and research designed for files are CRSP stock be highly accurate. to proven educational use and have in ongoing expended are Considerable resources data both quality and improve efforts check to Data update. and in the current corrections historically are made as errors are information historical to that Notes detailedidentified in the Release and are data each cut. accompany in result security data to may corrections Historical and levels. returns CRSP index historical to changes database stock the calendar year-end year, given In any as a second “Z-Cut”, as well ship as the standard may been substantial or significant have “X-Cut” if there data end. Both cuts reflect year applied at corrections “Z-Cut” contains the routine however, corrections, while the “X-Cut’s” minor monthly corrections extensive more data edits typically required year-end to potential hold a greater efforts and may research the CRSP indexes. impact SOURCES DATA DATABASE CRSP MONTHLY ORIGINAL ‚ ‚ of cash dividends The collection and initial correction price and return information on NYSE/NYSE MKT on NYSE/NYSE information and return price data CRSP’s securities. coverage stock common daily and include NASDAQ to in 1987 expanded domestic for data, information with stock monthly and ADRs traded the NASDAQ on stocks common 1972. 14, December beginning Market Stock and compilation the In 2005, CRSP completed for and 1962 1925 of daily datamerging between in that period, resulting securities that traded on NYSE securities monthly datain seamless daily and for 1925. as early as December between trading on NYSE in July 2007 added daily and monthly dataArca were securities with primaryfor on that exchange. listings 8, 2006. begins on March coverage Arca its completed Euronext 2008, NYSE 1, On October LLC. Exchange Stock of the American acquisition added with data was beginning The Bats exchange January 2012. 24, MARKETS NASDAQ of three consists MarketSM Stock The NASDAQ Global Market, of securities, the NASDAQ subsets Capital the NASDAQ and Global Select Market, based on criteria tiered The Securities are Market. annual income, numbers for: minimum levels setting capitalization, share market of publicly traded shares, A security may makers. price, and number of market tiersas its status changes. between move July 2006, the Global and Global Select Prior to combined in a single tier called the were Markets Capital The NASDAQ Market. National NASDAQ SmallCap Market. called the NASDAQ was Market in April initiated was Market National The NASDAQ traded actively and generally larger more for 1982 Market National securities. The NASDAQ NASDAQ higher financial and non- meet Securities had to and stocks, NASDAQ financial than other criteria the reporting. last-sale of 1992 In June subject to were Stock of The NASDAQ segment NASDAQ regular SmallCap Market The NASDAQ renamed was Market the first real-time time these became subject to and for reporting. price and volume security data include NASDAQ The CRSPAccess

5 Chapter 1: Background Stock and Index Data Description Guide April 1987-September 1999: Interactive Data Interactive 1999: 1987-September April Services, Inc. (IDSI) Data Corporation Interactive 1999-present: Data Corporation Interactive 2006-present: March (IDC) Interactive 1984: 31, 1972-August December 12, Data Corporation (IDC) of (with the exception 1982-present 1, November Association of Securities National February 1986): Dealers (NASD) Data Interactive 1984: 31, 1982-August 1, November Corporation used as a secondary (IDC) was source NASD to Data Services, Interactive February Inc. (IDSI) 1986: Data Corporation 2004-present: Interactive March used as secondary source

‚ ‚ Arca ƒ primary with of companies on Arca listings Coverage traded since 3/8/2006. who have NASDAQ ‚ ‚ ‚ ‚ ‚ SIC Codes SIC Code for the primary was Mergent for source MKT20010824 NYSE NYSE, from securities & Arca a continuous been IDC has always 2009. through in coverage of SIC codes, so no holes source alternate the elimination of the Mergent by introduced were our from data. in codes resulting The differences the CRSP Indexes. impact did not in source change Codes NAICS Database, CRSP removed In the December 2009 Stock and Mergent, our source, by codes provided NAICS Interactive codes from them with NAICS replaced Data Corporation. CRSP’s only source was Mergent The IDCI NAICS beginning 20010824. NAICS for codes begin 20040610. 1937-1960: annual issues of Moody’s, Standard annual issues and 1937-1960: the annual section or Records, Dividend Poor’s used, were Corporationof the Standard Records of in the University was depending on which Chicago Library Moody’s Quarterly Dividend Record 1926-1936: daily price and 1972: 1, July 1962-September Price & Poor’s Standard by dividend data provided Dividend Service Card and Punched Tape data and volume High, low, 1987: July 1962-March Data Services, Interactive by provided Inc. (IDSI), a subsidiary Data Corporation of Interactive (IDC) Data Interactive 1987: 1972-April September Corporation (IDC)

in the in the DatabaseMonthly CRSP original performed was as follows: ‚ ‚ file of this last complete Since the only known offices, the data York New in Moody’s publication was Moody’s in the recorded the earlier period were from of division research the for offices trainees working by & Smith Inc. Fenner Pierce, Merrill Lynch, PRE62 DATABASE daily data the Pre62 The primary The was for source the stock In cases where newspaper. Times York New York The New either missing from was information The questionable, data available or the were Times served Journal Newspaper as CRSP’s Street Wall secondary 1933, prior to the years data For source. data The New distribution from CRSP compared Journal with that Street and The Wall Times York in the original database. that The CRSP determined Journal ex- Street and The Wall Times York New than the and accurate complete more datadate were original data. Based on these findings, CRSP made the as the primary Times York on The New rely decision to data 1925 ex-date distribution from data for source 1933. through CRSP US STOCK & INDEX DATABASE MKT and NYSE NYSE ‚ ‚ ‚ Card and Punched Price Tape & Poor’s The Standard Dividend Service IDC. by acquired was

6 Chapter 1: Background Stock and Index Data Description Guide CHAPTER 2: Data Definitions

A. Begin of Stock Data, 17 Count at End of Rebalancing Period, 25 Acquiring PERMCO, 11 Begin of Valid Data, 18 Count Available as of Rebalancing, 25 Acquiring PERMNO, 11 Bid Adjusted, End of Period, 18 Count Used as of Rebalancing, 25 Amount After Delisting, 12 Bid Adjusted, Last Available Nonmissing, 18 Cumulative Factor to Adjust Prices Array Structure Size, 12 Over a Date Range, 26 Bid, End of Period, 18 Array Type Code, 12 Cumulative Factor to Adjust Shares/ Bid, Last Available Nonmissing, 19 Volume Over a Date Range, 26 Ask Adjusted, End of Period, 13 Bidlo Adjusted, Minimum in CUSIP, End of Period, 26 Ask Adjusted, Last Available Period, 19 Nonmissing, 13 CUSIP, End of Previous Period, 27 Bidlo, Minimum in Period, 20 Ask, End of Period, 13 CUSIP, Header, 27 C. Ask, Last Available Nonmissing, 14 CUSIP, Most Recent, 27 Calendar Associated with a Time Askhi Adjusted, Maximum in Series, 20 D. Period, 14 Calendar Identification Number, 21 Data Secondary Subtype Code, 28 Askhi, Maximum in Period, 14 Calendar Identification Number of Data Subtype Code, 28 Associated Index Returns, 15 Assignment Calendar, 21 Date, 28 Associated Index Returns, Calendar Identification Number of Cumulative, 15 Calculations Calendar, 21 Date - YYYYMMDD Trading Date (partial period data), 29 Associated Index Returns on Calendar Identification Number of Income, 15 Rebalancing Calendar, 22 Delisting Code, 29

Associated Index Returns on Income, Calendar Name, 22 Delisting Code - Header, 29 Cumulative, 16 Calendar Period Grouping Delisting Date of Next Available Associated Index Returns Without Identifier, 23 Information, 30 Dividends, 16 Calendar Time Period Description Delisting Payment Date, 30 Associated Index Returns Without Code, 23 Dividends, Cumulative, 16 Delisting Price, 31 Calendar Type Availability Flag, 23 Associated Portfolios Returns, 16 Delisting Return, 31 Capitalization, End of Period, 24 Associated Portfolios Returns on Delisting Return without Income, 17 Capitalization, End of Previous Dividends, 32 Period, 24 Associated Portfolios Returns Without Distribution Code, 32 Dividends, 17 Company Name, End of Period, 24 Distribution Declaration Date, 33 B. Company Name, End of Previous Period, 24 Dividend Amount in Period, Begin of Group Data, 17 Adjusted, 33 Company Name, Most Recent, 25

Stock and Index Data Description Guide • PAGE 7 DATA DEFINITIONS INDEX, ALPHABETICAL

Dividend Amount in Period, Beginning Excess Returns Without Dividends vs. Index Function Code for Buy Rules, 46 Basis, 33 Index Series, Cumulative, 39 Index Function Code for Generating Dividend Amount in Period, Ordinary, Exchange Code, End of Period, 39 Statistics, 46 Adjusted, 34 Exchange Code, End of Previous Index Function Code for Sell Rules, 46 Dividend Amount in Period, Ordinary, Period, 40 Beginning Basis, 34 Index Group Name, 47 Exchange Code, Most Recent, 40 Dividend Cash Amount, 34 Index Income Return, 47 Exchange Code - Header, 40 E. Index Ineligible Issues Flag, 47 F. End of Group Data, 35 Index Level of Returns, 48 Factor to Adjust Price in Period, 41 End of Stock Data, 35 Index Level of Returns on Income, 48 Factor to Adjust Shares End of Valid Data, 35 Outstanding, 41 Index Level of Returns Without Dividends, 48 Entity Begin Date Range or Event First Date Included in List, 42 Date, 36 Index Level of Total Returns, 48 G. Entity End Date Range, 36 Index Method Type Code, 49 Group Flag of Associated Index, End Ex-Distribution Date, 36 of Period, 42 Index Missing Data Flag, 49

Excess Returns on Income vs. Group Flag of Associated Index, End Index Name, 50 Associated Portfolios, 36 of Previous Period, 42 Index New Issues Flag, 50 Excess Returns on Income vs. Group Flag of Associated Index, Last Associated Portfolios, Cumulative, 37 Flag, All Periods, 43 Index Primary Link, 50

Excess Returns on Income vs. Index H. Index Primary Methodology Type, 51 Series, 37 Highest Close, 43 Index Rebalancing Begin Date, 51 Excess Returns on Income vs. Index Series, Cumulative, 37 Holding Period Total return, 43 Index Rebalancing End Date, 51

Excess Returns vs. Associated I. Index Returns without Dividends, 52 Portfolios, 37 Index Basic Assignment Types Index Reweighting Timing Flag, 52 Excess Returns vs. Associated Code, 44 Portfolios, Cumulative, 38 Index Reweighting Type Flag, 52 Index Basic Exception Types Code, 44 Excess Returns vs. Index Series, 38 Index Secondary Methodology Index Basic Rule Types Code, 44 Group, 53 Excess Returns vs. Index Series, Cumulative, 38 Index Capital Appreciation Return, 45 Index Statistic Grouping Code, 53

Excess Returns Without Dividends vs. Index Count Total, 45 Index Subcategory Code, 53 Associated Portfolios, 38 Index Count Used, 45 Index Subset Screening Structure, 54 Excess Returns Without Dividends vs. Index Series, 39 Index Exception Handling Flags, 45 Index Total Return, 54

Stock and Index Data Description Guide • PAGE 8 DATA DEFINITIONS INDEX, ALPHABETICAL

Index Total Value, 54 Period, 61 Open price, 68

Index Used Value, 55 NASDAQ Market Makers, End of P. Previous Period, 62 INDNO, 55 Partition Subset Screening NASDAQ Market Makers, Most Structure, 69 INDNO of Associated Index, 55 Recent, 62 Payment Date, 69 Interest Rate or Strike Price - NASDAQ National Market Indicator, Header, 56 End of Period, 62 Permanent Number of Securities in Index List, 70 L. NASDAQ National Market Indicator, End of Previous Period, 63 PERMCO/INDCO, 70 Last Date Included in List, 56 NASDAQ National Market Indicator, PERMNO/INDNO, 70 Last Date of Name, 56 Most Recent, 63 Portfolio Assignment, 70 Lowest Close, 57 NASDAQ Number of Trades, 63 Portfolio Building Rules Structure, 71 M. NASDAQ Status Code, End of Period, 63 Portfolio Number if Subset Series, 71 Maximum Count During Period, 57 NASDAQ Status Code, End of Portfolio Number in Associated Member Portfolio Returns, Previous Period, 64 Index, 71 Cumulative, 58 NASDAQ Status Code, Most Portfolio Statistic, 72 Member Portfolio Returns on Income, Recent, 64 Cumulative, 58 Price Adjusted, End of Period, 72 NASDAQ Status Date, 64 Member Portfolio Returns Without Price Adjusted, Last Available Dividends, Cumulative, 58 NASDAQ Traits End Date, 65 Nonmissing, 72

N. New PERMCO, 65 Price Alternate, 73

North American Industry New PERMNO, 65 Price Alternate Date, 73 Classification System (NAICs) Code, End of Period, 58 Number of Array Elements, 66 Price, End of Period, 73

NAICs, End of Previous Period, 59 Number of Index List Types, 66 Price, Last Available Nonmissing, 74

NAICs, Most Recent, 59 Number of Index Types, 66 Primary Exchange, End of Period, 74

NASDAQ Index Code, End of Number of Periods in Calendar, 67 Primary Exchange, End of Previous Period, 60 Period, 75 Number of Portfolio Types, 67 NASDAQ Index Code, End of Primary Exchange, Most Recent, 75 Previous Period, 61 Number of Rebalancing Types, 67 R. NASDAQ Index Code, Most O. Recent, 61 Record Date, 75 Object Array, 68 NASDAQ Issue Number, 61 Related Assignment Information, 75 Object Type Code, 68 NASDAQ Market Makers, End of Restriction Begin Date (Partition or

Stock and Index Data Description Guide • PAGE 9 DATA DEFINITIONS INDEX, ALPHABETICAL

Index), 76 Rights, 83 Trading Ticker Symbol, End of Period, 90 Restriction End Date (Partition or Shares Outstanding Observation Index), 76 Date, 83 Trading Ticker Symbol, End of Previous Period, 90 Return of Delisted Issues Flag, 76 Shares Outstanding Observation Flag, 84 Trading Ticker Symbol - Header, 91 Returns, 77 Shares Outstanding, Unadjusted for Trading Ticker Symbol, Most Recent, Returns, Cumulative, 78 Rights, 84 91

Returns on Income, 78 SIC Code, End of Period, 84 U.

Returns on Income, Cumulative, 78 SIC Code, End of Previous Period, 85 Universe Subset Type Code (Partition or Index Restriction), 91 Returns Without Dividends, 78 SIC Code, Most Recent, 85 V. Returns Without Dividends, SIC Code - Header, 85 Cumulative, 79 Valid Exchange Codes in Universe Spread Between Bid and Ask, 85 (Partition or Index Restriction), 92 S. Statistic Average in Period, 86 Valid First Digit of Share Code Security Status, End of Period, 79 (Partition or Index Restriction), 92 Statistic Maximum Identifier, 86 Security Status, End of Previous Valid Incorporation of Securities Period, 79 Statistic Maximum in Period, 86 in Universe (Partition or Index Restriction), 92 Security Status, Most Recent, 80 Statistic Median in Period, 87 Valid Second Digit of Share Code Share Class, End of Period, 80 Statistic Minimum Identifier, 87 (Partition or Index Restriction), 93

Share Class, End of Previous Statistic Minimum in Period, 87 Valid When-Issued Securities Period, 80 in Universe (Partition or Index T. Restriction), 94 Share Class, Most Recent, 80 Ticker, End of Period, 88 Volume, Average, 94 Share Code Groupings for Subsets (Partition or Index Restriction), 81 Ticker, End of Previous Period, 88 Volume, Median, 94

Share Code Screen Structure (Partition Ticker - Header, 88 Volume, Total, 95 or Index Restriction), 81 Ticker, Most Recent, 89 Volume, Total Adjusted, 95 Share Type Code, End of Period, 81 Trading Status, End of Period, 89 W. Share Type Code, End of Previous Period, 82 Trading Status, End of Previous Weight of Issue, 96 Period, 89 Share Type Code, Most Recent, 82 Trading Status - Header, 90 Shares Outstanding, 82 Trading Status, Most Recent, 90 Shares Outstanding, Adjusted, 82

Shares Outstanding, Adjusted for

Stock and Index Data Description Guide • PAGE 10 CHAPTER 2: DATA DEFINITIONS

A. ACQUIRING PERMNO Acquiring PERMNO is the PERMNO of another security ACQUIRING PERMCO linked to a distribution where a stock was received in a spin- Acquiring PERMCO is the PERMCO of another company off, exchange, merger, or other distribution event. It can also linked to a distribution. If the Acquiring PERMNO is link to a security that was acquired in a merger causing a nonzero and represents an associated security, Acquiring shares increase. PERMCO is set to the PERMCO of that security. If Acquiring PERMNO is less than 1000, then Acquiring Acquiring PERMNO is set to a number less than 1000 if PERMCO can still be set. In this case, it represents a link to inapplicable or unknown. If multiple distributions exist with a company tracked by CRSP rather than a specific issue. For the same Distribution Code and Ex-Distribution Date, they example, if a company pays cash to shareholders in a merger, are numbered in the Acquiring PERMNO field. Data in this then the Acquiring PERMCO is set to the PERMCO of that field are incomplete prior to 1985. Acquiring PERMNO may company. point to four-digit securities. Data for these securities are not included in the databases. Acquiring PERMNO values Acquiring PERMCO is zero if not applicable, unknown, or between 1 and 9 do not represent securities. These values associated with a company not tracked by CRSP. Data in this as used to distinguish multiple distribution records with the field is incomplete prior to 1985. same Distribution Code on the same Ex-Distribution Date.

GENERAL INFORMATION GENERAL INFORMATION Primary Concepts Distribution Event Array Primary Concepts Distribution Event Array Data Type integer number Data Type integer number Unit of Item Id Unit of Item Id DATE RANGE AVAILABILITY DATE RANGE AVAILABILITY Daily 1925 Daily 1925 Monthly 1925 Monthly 1925 DATABASE AVAILABILITY AND UTILITY USAGE DATABASE AVAILABILITY AND UTILITY USAGE Database Formats CRSPAccess Database Formats CRSPAccess Product Types STK Product Types STK ts_print Daily Usage n/a ts_print Daily Usage n/a ts_print Monthly Usage n/a ts_print Monthly Usage n/a stk_print Option(s) /di stk_print Option(s) /di C USAGE C USAGE Object dists_arr Object dists_arr Array dists[ ] Array dists[ ] Element accomp Element acperm FORTRAN-95 USAGE FORTRAN-95 USAGE Type or Subtype dists_arr Type or Subtype dists_arr Member and/or Array dists() Member and/or Array dists() Element accomp Element acperm

Stock and Index Data Description Guide • PAGE 11 Base CRSPAccess Data Structures, Time Data Structures, Time Base CRSPAccess Series Objects, Event Array Objects, Header Objects integer number Code - - CRSPAccess STK, IND n/a n/a n/a CRSP_* n/a arrtype crsp_ts or crsp_array n/a arrtype CRSP_* n/a size_of_array_width CRSPAccess STK, IND n/a n/a n/a - - integer number integer of bytes) Set (no. FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION RANGE AVAILABILITY DATE AND UTILITY USAGE AVAILABILITY DATABASE C USAGE FORTRAN-95 USAGE Type or Subtype Type Member and/or Array Element Array Element Object Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Database Formats Monthly Daily Primary Concepts Data Type Unit of Item Daily Monthly Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Object Array Element or Subtype Type Member and/or Array Element Data Type Item Unit of ARRAY TYPEARRAY CODE defines the code which Code is an integer Type Array array. object structure type of data in a CRSPAccess It can define a basic data type or a CRSP-defined structure. Delisting History Array real number USD 1925 1925 CRSPAccess STK n/a n/a /de delist_arr delist[ ] dlamt delist_arr delist() dlamt Base CRSPAccess Data Structures, Time Data Structures, Time Base CRSPAccess Series Objects, Event Array Objects, Header Objects GENERAL INFORMATION GENERAL INFORMATION RANGE AVAILABILITY DATE AND UTILITY USAGE AVAILABILITY DATABASE C USAGE FORTRAN-95 USAGE Primary Concepts Primary Concepts Data Type Unit of Item Daily Monthly Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Object Array Element or Subtype Type Member and/or Array Element SIZE STRUCTURE ARRAY needed Size is the number of bytes Structure Array type in a array this element for structure in each object structure. CRSPAccess AMOUNT AFTER DELISTING AFTER AMOUNT AfterAmount a security is the value of Delisting The amount can an exchange. after from it delists off-exchange price, an an off-exchange be either distribution sum of a series of or the price quote, After The Amount to is used Delisting payments. to This amount is set Return. the Delisting calculate if no price or payment active, if the security is still zero is worthless. or if the stock is available, information Monthly: If no value after exists, Date the Delisting month’s last after the previous but daily prices exist to After then the Amount trading date, is set Delisting or Bid/ in the Price trading daily value found the last activity that price is a daily price for This Ask Average. month. during the delisting occurred

12 CHAPTER 2: Data Definitions Stock and Index Data Description Guide Daily — Closing ask on the trading date being being trading ask on the Daily — Closing date accessed. of trading date ask on the last Monthly — Closing being accessed. the month of the period Market National NASDAQ 15 Ask is missing for securities in December 1982. Market National all NASDAQ Ask is missing for securities in February 1986. ASK, END OF PERIOD END OF ASK, Category: Prices DataPoint Floating Type: Description: • • Information Extended all daily and monthly for both Ask is available and NASDAQ, MKT, NYSE securities on the NYSE, a little handled are NASDAQ Ask prices for Arca. MKT NYSE/NYSE and outlined as than for differently follows: NASDAQ issues trading on the NASDAQ for Ask is available during time periods when Ask or High Market Stock Price can contain the high price. has used the inside NASDAQ Since July 1980, as the closing bid and ask,quotation the close with is time. The inside quotation being at 4:00PM Eastern trade date. each ask for bid and lowest the highest Market National all NASDAQ Ask is reported for all NASDAQ and for 1982 securities since November1, the following with 1992, securities since June 15, limitations: source due to exceptions • • MKT NYSE NYSE/ MKT NYSE and NYSE The ask for securities is not the last but the ask price from the inside quotation, close for the markets before quote representative limitations, only source Due to trading date. each on many available was quote an unrepresentative very large showed quote This unrepresentative days. and an ask of a bid of a penny frequently spreads, usually the price. These were double approximately on the primary not listed marker a market by posted but not a quote post to required who was exchange, on, Bid and 1992 in making a trade. From interested adjask madjask Adjaskprev 1 CRSPAccess STK 1925 1925 1925 1925 CRSPAccess STK adjask madjask Adjask 0 Daily — Last available non-missing available Daily — Last Description: Description: accessed, being closing ask as of the trading date distributions. for adjusted non-missing month-end available Monthly — Last being accessed, closing ask as of the trading date distributions. for adjusted Daily — Closing ask on the trading date being being trading ask on the Daily — Closing date distributions. for accessed, adjusted of trading date ask on the last Monthly — Closing being accessed, adjusted the month of the period distributions. for TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly Daily Monthly Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO ASK ADJUSTED, LAST AVAILABLE LAST AVAILABLE ASK ADJUSTED, NONMISSING Category: Prices Data Floating Point Type: • • ASK ADJUSTED, END OF PERIOD END OF ADJUSTED, ASK Category: Prices DataPoint Floating Type: Description: • •

13 CHAPTER 2: Data Definitions Stock and Index Data Description Guide adjaskhi madjaskhi Adjaskhi 0 CRSPAccess STK 1925 1925 — Highest trading price during — Highest Daily — Highest trading price during Daily — Highest Daily Description: Description: the closing ask if trading or price not the day, a leading dash -. Ask identified by available. trading price during the Monthly — Highest if trading bid-ask spread month, or the highest identified by Bid-ask spreads available. price not dash -. preceding Description: ask if trading or the closing not price the day, Ask identified distributions. for adjusted available, -. a leading dash by trading during the price Monthly — Highest if trading bid-ask spread month, or the highest Bid- distributions. for adjusted available, price not dash -. identified preceding by ask spreads TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly ASKHI, MAXIMUM IN PERIOD Category: Prices Data Floating Point Type: • • Information Extended trading price Daily: Ask or High Price is the highest when or the closing ask price on days during the day, zero to The field is set available. the closing price is not If the Price or Bid/ if no Ask or High Price is available. this field contains is negative, the closing Ask Average this fieldask. contains trade. If positive, the highest ASKHI ADJUSTED, MAXIMUM IN PERIOD IN MAXIMUM ADJUSTED, ASKHI Category: Prices DataPoint Floating Type: • • 1925 1925 CRSPAccess STK ask mask Askprev 1 1925 1925 CRSPAccess STK ask mask Ask 0 Daily — Last available non-missing closing ask as of available Daily — Last being accessed. the trading date non-missing month-end available Monthly — Last being accessed. closing ask as of the trading date DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY RANGE DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY Daily Monthly Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO ASK, LAST AVAILABLE NONMISSING ASK, LAST AVAILABLE Category: Prices Data Floating Point Type: Description: • • Ask were set to 0 when CRSP determined that the determined when CRSP 0 to set Ask were of trading activity, unrepresentative was quote available pending further research. 31, December from available are NYSE Ask data for month completed currently most the through 1925 is available. no closing price securities when for and February 23, 1942, 1925 December 31, Between whether of ask dataa continuous series available are February Between price is available. a closing or not only ask is available 1992, and December 27, 1942 24, price is missing. Beginning in cases when a closing a continuous series of ask data are December 28, 1992, available.

14 CHAPTER 2: Data Definitions Stock and Index Data Description Guide cumindtret mcumindtret Cumindtret INDNO CRSPAccess STK 1925 1925 indiret mindiret Indiret INDNO Product Types STK Monthly 1925 Compounded total returns of an index of an index total returns Compounded Returns on income only of an index that on income only of an index Returns TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Database Formats CRSPAccess Daily 1925 Daily Monthly ASSOCIATED INDEX RETURNS ON INCOME INDEX RETURNS ASSOCIATED an Index to Category: Related Returns Data Floating Point Type: Description: a security or group with be associated a user selects to of securities. ASSOCIATED INDEX RETURNS, CUMULATIVE RETURNS, INDEX ASSOCIATED an Index to Category: Related Returns Data Floating Point Type: Description: or with a security be associated selects to that a user in the time series period of securities. Each group since the beginning contains return a cumulative period. 1925 1925 CRSPAccess STK askhi maskhi Askhi 0 indtret mindtret Indtret INDNO CRSPAccess STK 1925 1925 Total returns of an index that a user of an index returns Total TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly Monthly Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Daily ASSOCIATED INDEX RETURNS ASSOCIATED an Index to Category: Related Returns Data Floating Point Type: Description: of with a security or group be associated selects to securities. Daily trading prices for the NASDAQ National Market Market National the NASDAQ tradingDaily prices for Daily 1982. 1, first reported November were securities Market SmallCap The NASDAQ trading for prices or Ask Therefore, 1992. first reported June 15, were an ask always securities is NASDAQ for High Price these dates. before daily Monthly: Monthly files contain the lowest during the month. The Price or Bid/Ask Average or Bid/Ask Average when no Price zero to field is set for is found during the month a value available was If Price or Bid/Ask Average months. incomplete these will be marked averages, bid/ask contains any value of Price or symbol. The absolute with a negative but the select the lowest, to is used Bid/Ask Average is selected. sign is preserved if a bid/ask average

15 CHAPTER 2: Data Definitions Stock and Index Data Description Guide cumindaret mcumindaret Cumindaret INDNO CRSPAccess STK 1925 1925 porttret mporttret Porttret PORTID CRSPAccess STK 1925 1925 Total returns of a portfolio that a user of a portfolio returns Total Compounded price appreciation only, only, price appreciation Compounded TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly Daily Monthly ASSOCIATED PORTFOLIOS RETURNS PORTFOLIOS ASSOCIATED Type a Portfolio to Category: Related Returns Data Floating Point Type: Description: of or group with a security be associated selects to securities. ASSOCIATED INDEX RETURNS WITHOUT WITHOUT RETURNS INDEX ASSOCIATED CUMULATIVE DIVIDENDS, an Index to Category: Related Returns DataPoint Floating Type: Description: with a be associated selects to that a user of an index in the time period of securities. Each security or group since the beginning series contains return a cumulative period. 1925 1925 CRSPAccess STK cumindiret mcumindiret Cumindiret INDNO 1925 1925 CRSPAccess STK indaret mindaret Indaret INDNO Compounded price appreciation only, only, appreciation price Compounded Compounded return, on income only, only, on income return, Compounded DATE RANGE AVAILABILITY DATE AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY RANGE DATE AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY Daily Monthly Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO of an index that a user selects to be associated with a be associated that a user selects to of an index of securities. security or group ASSOCIATED INDEX RETURNS WITHOUT INDEX RETURNS ASSOCIATED DIVIDENDS an Index to Category: Related Returns Data Floating Point Type: Description: ASSOCIATED INDEX RETURNS ON INCOME, INCOME, ON RETURNS INDEX ASSOCIATED CUMULATIVE an Index to Category: Related Returns DataPoint Floating Type: Description: with a be associated selects to that a user of an index in the time period of securities. Each security or group since the beginning series contains return a cumulative period.

16 CHAPTER 2: Data Definitions Stock and Index Data Description Guide stkhdr n/a begdt header_row header begdt CRSPAccess STK n/a n/a /hh , /hr , /hrl , /hn integer number integer date YYYYMMDD 1925 1925 CRSPAccess STK n/a n/a /g#, # is grouptype group_arr[i], i+1 is grouptype group[i,] grpdt group_arr(i) i is grouptype group() grpdt 1925 1925 Header Identification and Summary Data integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE USAGE AND UTILITY AVAILABILITY DATABASE C USAGE FORTRAN-95 USAGE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Data Type Item Unit of Daily Monthly Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Object Array Element or Subtype Type Member and/or Array Element BEGIN OF STOCK DATA Data data that is the date Begin of Stock begins for of It is the date in YYYYMMDD format. the security, and is always the first period in the time series arrays than zero. greater Group Data portiret mportiret Portiret PORTID CRSPAccess STK 1925 1925 portaret mportaret Portaret PORTID CRSPAccess STK 1925 1925 Price appreciation only, of a portfolio a of a portfolio only, Price appreciation Returns on income only of a portfolioincome only of a on Returns TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Primary Concepts Daily Monthly Monthly Daily B. DATA BEGIN OF GROUP Data dataBegin of Group is the first the group is date valid in YYYYMMDD format. ASSOCIATED PORTFOLIOS RETURNS PORTFOLIOS ASSOCIATED WITHOUT DIVIDENDS Type a Portfolio to Category: Related Returns Data Floating Point Type: Description: of with a security or group be associated user selects to securities. ASSOCIATED PORTFOLIOS RETURNS ON ON RETURNS PORTFOLIOS ASSOCIATED INCOME Type a Portfolio to Category: Related Returns DataPoint Floating Type: Description: security or with a be associated to that a user selects of securities. group

17 CHAPTER 2: Data Definitions Stock and Index Data Description Guide adjbid madjbid Adjbidprev 1 CRSPAccess STK 1925 1925 Bid is available both daily both Bid is available madjbid Adjbid 0 Daily — Last available non-missing closing available Daily — Last TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly Monthly ITEMID Monthly Header SUBNO BID, END OF PERIOD Category: Prices Data Floating Point Type: Summary: Daily — Closing bid on the trading date being accessed. of the trading date Monthly — Closing bid on the last month. Information: Extended NYSE all securities on the NYSE, and monthly for Bid prices for exchanges. and Arca NASDAQ, MKT, than for handled a little differently are NASDAQ MKTNYSE/NYSE and outlined as follows: BID ADJUSTED, LAST AVAILABLE LAST AVAILABLE BID ADJUSTED, NONMISSING Category: Prices Data Floating Point Type: Description: for being accessed, adjusted bid as of the trading date distributions. month-end non-missing available Monthly — Last being accessed, closing bid as of the trading date distributions. for adjusted Base CRSPAccess Data Structures, Time Time Data Structures, Base CRSPAccess Series Objects integer number Array index 1925 1925 CRSPAccess STK, IND n/a n/a n/a CRSP_TIMESERIES n/a beg crsp_ts n/a beg 1925 1925 CRSPAccess STK adjbid Daily — Closing bid on the trading date Daily — Closing bid on the trading date DATE RANGE AVAILABILITY DATE AND PRODUCT TYPES AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY RANGE DATE AND UTILITY USAGE AVAILABILITY DATABASE C USAGE FORTRAN-95 USAGE GENERAL INFORMATION Daily Monthly Database Formats Product Types Daily ITEMID Daily Database Formats Object or Subtype Type Primary Concepts Data Type Unit of Item Monthly Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Array Element Member and/or Array Element BID ADJUSTED, END OF PERIOD BID ADJUSTED, Category: Prices Data Floating Point Type: Description: distributions. for being accessed, adjusted of trading date Monthly — Closing bid on the last for the month of the period being accessed, adjusted distributions. BEGIN OF VALID DATA OF VALID BEGIN Data the first of the index is calendar Valid Begin of valid dataperiod with If no data in a time series. of Calendar The zero. to it is set available, are this type of the first date is the index at this Date Trading period with datacalendar this type. of

18 CHAPTER 2: Data Definitions Stock and Index Data Description Guide bid mbid Bidprev 1 CRSPAccess STK 1925 1925 bid mbid Bid 0 CRSPAccess STK 1925 1925 Daily — Lowest trading price during the Daily — Lowest Daily — Last available non-missing closing available Daily — Last TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Monthly ITEMID Header SUBNO Daily ITEMID Database Formats Product Types Product Types Database Formats Daily Monthly Daily Monthly BIDLO ADJUSTED, MINIMUM IN PERIOD BIDLO ADJUSTED, Category: Prices Data Floating Point Type: Description: available, bid if trading or the closing price not day, a leading Bid identified by distributions. for adjusted dash -. trading price during the month, or Monthly — Lowest available, if trading price not bid-ask spread the lowest identified by Bid-ask spreads distributions. for adjusted dash -. preceding BID, LAST AVAILABLE NONMISSING BID, LAST AVAILABLE Category: Prices Data Floating Point Type: Description: being accessed. bid as of the trading date non-missing month-end available Monthly — Last being accessed. closing bid as of the trading date Bid is missing for 15 NASDAQ National Market Market National NASDAQ 15 Bid is missing for securities in December 1982. Market National all NASDAQ Bid is missing for securities in February 1986.

NASDAQ issues trading the NASDAQ on for Bid is available when Bid or Low time periods during Market Stock containPrice can high price. the has used the inside NASDAQ Since July 1980, bid and ask, as the closing quotation with the close is time. The inside quotation being at 4:00PM Eastern trade date. each ask for bid and lowest the highest Market National all NASDAQ Bid is reported for all and for 1982 1, securities since November with the 1992, June 15, securities since NASDAQ limitations: source to due exceptions following ‚ ‚ MKT / NYSE NYSE MKT and NYSE NYSE The bid for securities is not the last but the bid price from the inside quotation, close for the markets before quote representative limitations, only source Due to trading date. each on many available was quote an unrepresentative very large showed quote This unrepresentative days. and an ask of a bid of a penny frequently spreads, usually double the price. These were approximately on the primary not listed marker a market by posted but not a quote post to required who was exchange, on, Bid and 1992 in making a trade. From interested that the 0 when CRSP determined to set Ask are of trading activity, unrepresentative was quote available pending further research. December 31, from available are NYSE Bid data for month completed currently the most through 1925 securities when no closing price is available. for and February 23, 1942, 1925 December 31, Between whether a continuous series of bid data available are February Between a closing price is available. or not only bid is available 1992, and December 27, 1942 24, in cases when a closing price is missing. Beginning a continuous series of bid data are December 28, 1992, available.

19 CHAPTER 2: Data Definitions Stock and Index Data Description Guide crsp_ts n/a cal CRSP_TIMESERIES n/a cal CRSPAccess STK, IND n/a n/a n/a 1925 1925 Base CRSPAccess Data Structures, Base CRSPAccess Series Objects Calendar Objects, Time structure Array index 1925 1925 CRSPAccess STK bidlo mbidlo Bidlo 0 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE USAGE TS_PRINT/TSQUERY GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Database Formats Daily ITEMID Primary Concepts Data Type Unit of Item Daily Monthly Product Types Monthly ITEMID Header SUBNO C. WITH A TIME ASSOCIATED CALENDAR SERIES a pointer Series is with a Time Calendar Associated the associated in a CRSP time series object to the assign needed to calendar structure CRSPAccess datatime to in a time series array. Daily: Bid or Low Price is the Daily: Bid or Low CRSPAccess STK adjbidlo madjbidlo Adjbidlo 0 1925 1925 TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Product Types Monthly ITEMID Header SUBNO Database Formats Daily Monthly BIDLO, IN PERIOD MINIMUM Category: Prices Data Floating Point Type: Summary: trading price during the Daily — Lowest available. or the closing bid if trading price not day, a leading dash -. Bid identified by trading price during the month, or Monthly — Lowest available. if trading price not bid-ask spread the lowest dash -. identified preceding by Bid-ask spreads Information: Extended lowest trading price during the day or the closing bid or the trading price during the day lowest available. when the closing price is not price on days Price is if no Bid or Low zero to The field is set available. Market National the NASDAQ Daily trading for prices Daily 1982. 1, first reported November securities were SmallCap Market The NASDAQ trading prices for Bid Therefore, 1992. first reported June 15, were a bid securities is always NASDAQ Price for or Low these dates. before daily Price Monthly: Monthly files contain the lowest during the month. The field is or Bid/Ask Average was when no Price or Bid/Ask Average zero to set for during the month a value is found available months. If Price or Bid/Ask Average incomplete be marked these will bid/ask averages, contains any Price or value of absolute symbol. The with a negative but the select the lowest, is used to Bid/Ask Average is selected. sign is preserved if a bid/ask average

20 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr assign assigncal indhdr_row indhdr assign.assigncal CRSPAccess IND n/a n/a /hr 1925 1925 Index Header, Calendars Index Header, integer number Code Index Header, Calendars Index Header, integer number Code FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item

The calendar periods of the Calendar Identification the Calendar periods of calendar The Calendar Calendar, of Rebalancing Number and Calendar, of Assignment Identification Number of Calculations IdentificationCalendar Number date although the actual synchronized, are Calendar The assignment differ. period may each rangesfor in Calendar calendarscalendar uses the same listed Identification Number. CALENDAR IDENTIFICATION NUMBER OF IDENTIFICATION CALENDAR CALENDAR CALCULATIONS of Calculations Calendar Identification Number the Calendar identifies a calendar that determines form statistics to calculate used to range of dates The calendar periods of the Calendar portfolios. Calendar, of Rebalancing Identification Number of Assignment Calendar Identification Number of and Calendar Identification Number Calendar, although the synchronized, Calculations Calendar are differ. period number may each ranges for actual date The calculations calendar uses the same calendars described in Calendar Identification Number. BEGINNING DATE 19251231 19251231 19251231 19251231 19260102 CALENDAR NAME crsp_cal n/a calid CRSP_CAL n/a calid CRSPAccess STK, IND n/a n/a n/a 1925 1925 Base CRSPAccess Data Structures, Base CRSPAccess Calendar Objects integer number Code Daily Trading Daily Trading Calendar Month-End Calendar Trading Annual Trading Annual Trading Calendar Quarterly Trading Quarterly Trading Calendar Weekly Trading Trading Weekly Calendar CALENDAR ID 100 101 300 310 500 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CALENDARS Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Daily Monthly Annual Quarterly Weekly CALENDAR IDENTIFICATION NUMBER OF NUMBER OF IDENTIFICATION CALENDAR ASSIGNMENT CALENDAR of Assignment Calendar Identification Number the Calendar identifies a calendar that determines and buy/sell rules are breakpoints index when dates valid. The assignment calendar is used when using a portfolio. to assign issues to information rebalancing CALENDAR IDENTIFICATION NUMBER IDENTIFICATION CALENDAR code is an integer IdentificationCalendar Number trading calendars. CRSP to A Calendar by assigned identify Identification and Calendar Number Name The calendars supported in CRSPAccess calendar. each databases are:

21 CHAPTER 2: Data Definitions Stock and Index Data Description Guide of a calendar. of a calendar. crsp_cal n/a name CRSP_CAL n/a name CRSPAccess STK, IND n/a n/a n/a indhdr assign rebalcal 1926 1925 indhdr_row indhdr assign.rebalcal Data Structures, Base CRSPAccess Calendar Objects character Description FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item

CALENDAR NAME CALENDAR Description: is a text Calendar Name Month- Calendar, Trading These include: Daily Calendar, Trading Annual Calendar, End Trading Calendar. Trading Weekly Calendar, Quarterly Trading indhdr assign calccal CRSPAccess IND n/a n/a /hr indhdr_row indhdr assign.calccal 1925 1925 CRSPAccess IND n/a n/a /hr Index Header, Calendars Index Header, integer number Code 1925 1925 FORTRAN-95 USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE C USAGE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Object Array Element Daily Monthly Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Data Type Unit of Item Primary Concepts Daily Monthly

CALENDAR IDENTIFICATION NUMBER OF IDENTIFICATION CALENDAR REBALANCING CALENDAR of Rebalancing Calendar Identification Number the Calendar identifies a calendar that determines held. are in the index time periods when the portfolios the end of is held from universe portfolio The new calendar until the end one period in the rebalancing period. The calendar period numbersof the next of of Rebalancing the Calendar Identification Number of Calendar Identification Number Calendar, Identification and the Calendar Assignment Calendar, synchronized, are of Calculations Calendar Number period each ranges for although the actual date calendar uses The rebalancing differ. number may in Calendar Identificationthe same calendars listed Number.

22 CHAPTER 2: Data Definitions Stock and Index Data Description Guide crsp_ts n/a caltype CRSP_CAL n/a CRSP_TIMESERIES n/a caltype CRSPAccess STK, IND n/a n/a n/a CRSPAccess STK, IND n/a n/a n/a 1925 1925 1925 1925 Base CRSPAccess Data Structures, Base CRSPAccess Calendar Objects integer number Code Base CRSPAccess Data Structures, Time Time Data Structures, Base CRSPAccess Series Objects Integer Number Code FORTRAN-95 USAGE C USAGE C USAGE D1ATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY D1ATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item Index time series. This code equals 2, indicating that indicating 2, code equals This time series. Index trading the last identified by periods are time calendar Date. using Calendar Trading in the period date CALENDAR TYPE AVAILABILITY FLAG TYPE AVAILABILITY CALENDAR Flag identifies the calendar Availability Calendar Type 1 if Calendar use with the data. to It is set for available 2 if Calendar Identifier is available, Grouping Period available. are and 3 if both is available, Date Trading DATE FORMAT DATE crsp_cal callist() n/a CRSP_CAL callist[ ] n/a CRSPAccess STK, IND n/a n/a n/a 1925 1925 Base CRSPAccess Data Structures, Base CRSPAccess Calendar Objects integer number Description YYYYWW YYYYMM YYYY YYYYMM YYYYWW Code is a code that indicates the type Code is a code that indicates FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CALENDAR NAME Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Daily Trading Calendar Daily Trading Calendar Month-End Trading Calendar Annual Trading Calendar Quarterly Trading Calendar Weekly Trading of calendar array best used to read a CRSP Stock or a CRSP Stock read to used best of calendar array CALENDAR TIME PERIOD DESCRIPTION CALENDAR CODE Period Calendar Time Description: where YYYY is the 4-digit year, MM the month, and YYYY is the 4-digit year, where week The last year. the current within WW the week week the entire for is continued year of the previous changes. when the year CALENDAR PERIOD GROUPING IDENTIFIER GROUPING PERIOD CALENDAR Identifiers integers Grouping are Period Calendar These trading in a calendar. period each for assigned identifiers Calendar names to used as alternate can be The values calendar periods. the for Date Trading Grouping Period period in Calendar each for stored calendars are: the current Identifier for

23 CHAPTER 2: Data Definitions Stock and Index Data Description Guide comnam mcomnam Effective Name 1 comnam mcomnam Company Name 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Company name effective at the end of name effective Company TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly COMPANY NAME, END OF PREVIOUS PERIOD NAME, COMPANY Category: History Name Data String Type: Description: the period reported. the period preceding COMPANY NAME, END OF PERIOD END OF NAME, COMPANY Category: History Name Data String Type: of the at the end name effective Summary: Company period reported. name is the Name Company Information: Extended time of its name history at the record. company of the field name Description: a 35 character CRSP allocates spellings the to is given all securities. Preference for & Poor’s in Standard provided and abbreviations provide name sources cases where In CUSIP Directory. furnishes CRSP of 35 characters, in excess descriptions file daily The includes all abbreviations.Daily: its own file included in the names beginning in 1925. historical cap mcap Cap 0 CRSPAccess STK CRSPAccess STK tcap mtcap TCap 0 crsp_cal n/a loadflag 1925 1925 1925 1925 loadflag loadflag Closing price * shares outstanding (in Closing price * shares Closing price * shares outstanding Closing price * shares TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE FORTRAN-95 USAGE FORTRAN-95 DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Usage ts_print/TsQuery Daily ITEMID Monthly ITEMID Header SUBNO Type or Subtype Type Member and/or Array Member and/or Element Monthly Daily Monthly Daily Element CAPITALIZATION, END OF PREVIOUS PERIOD CAPITALIZATION, Category: Capitalization Data Floating Point Type: Description: period. If an index, of the previous at the end 1000s) value of the issues capitalization market is the total at the beginning of the previous used in the index period. (in 1000s), as of end of the period. If an index, as of end of the period. If an (in 1000s), value of the issues capitalization market is the total beginning of the period. at the used in the index CAPITALIZATION, END OF PERIOD CAPITALIZATION, Category: Capitalization Data Floating Point Type: Description:

24 CHAPTER 2: Data Definitions Stock and Index Data Description Guide rebal_arr() rebal(,) totcnt rebal_arr rebal_arr[ ] rebal[ ] [ ] totcnt CRSPAccess IND n/a n/a /rb# CRSPAccess IND n/a n/a /rs# 1925 1925 1925 1925 Index Rebalancing History Arrays integer number Count Index Rebalancing History Arrays integer number Count FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item COUNT USED AS OF REBALANCING of entities is the count Count Used as of Rebalancing as of the beginning of a rebalancing in a portfolio if unavailable. zero to period. It is set COUNT AVAILABLE AS OF REBALANCING AS OF AVAILABLE COUNT count of the total is as of Rebalancing Count Available a portfolio for eligible universe in the entities available to period. It is set of a rebalancing at the beginning if unavailable. zero rebal_arr() rebal(,) endcnt rebal_arr[ ] rebal[ ][ ] endcnt comnam mcomnam Last Company Name 2 CRSPAccess IND n/a n/a /rs# CRSPAccess STK - - Index Rebalancing History Arrays integer number Count 1925 1925 The most recent company name known name known company recent The most FORTRAN-95 USAGE C USAGE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY RANGE DATE Type or Subtype Type Member and/or Array Element Object Array Element Daily ITEMID Database Formats Monthly ITEMID Header SUBNO Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Product Types Monthly Database Formats Primary Concepts Data Type Unit of Item Daily Monthly

COUNT AT END OF REBALANCING PERIOD COUNT AT is the count Period Count at End of Rebalancing at the end of a a portfolio of entities belonging to if unavailable. zero to is set period. It rebalancing COMPANY NAME, MOST NAME, RECENT COMPANY Category: History Name Data String Type: Description: CRSP. to

25 CHAPTER 2: Data Definitions Stock and Index Data Description Guide ncusip mncusip NCUSIP 0 CRSPAccess STK 19680102 19680102 cumfacshr mcumfacshr Cumfacshr 0 CUSIP refers to the CUSIP to CUSIP refers TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly Daily ITEMID Monthly ITEMID Header SUBNO CUSIP, END OF PERIOD CUSIP, Category: History Name Data String Type: Summary: a CUSIP identifier for The 8 character of the period reported.security at the end Information: Extended identifier range of a name the date valid during long. 8 characters All non-blank CUSIPs are structure. The CUSIP Agency an oftenissue’s CUSIP will change identifier reflect to changes. name or capital structure CRSP has preserved a given assigned to all CUSIPs first assigned CUSIP identifiers time. were issue over that date All CUSIPs in a name history before in 1968. CUSIP identifiers not are Dummy unavailable. are included in the name history. details See CUSIP - of the CUSIP identifier; more For Header. cumfacpr mcumfacpr Cumfacpr 0 CRSPAccess STK CRSPAccess STK rebal_arr() rebal(,) usdcnt 1925 1925 1925 1925 rebal usdcnt Cumulative factor from a base date used a base date from factor Cumulative Cumulative factor from a base date used a base date from factor Cumulative TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Type or Subtype Type Member and/or Array Member and/or Element Daily Monthly Daily Monthly Array Element

CUMULATIVE FACTOR TO ADJUST SHARES/ ADJUST TO FACTOR CUMULATIVE RANGE A DATE OVER VOLUME Category: Dividends Data Floating Point Type: Description: after so that distributions and volume shares adjust to values can be made between comparisons equivalent as a and after Represented the distribution. before after out expected the ratio of the additional shares observation. known the last to distribution CUMULATIVE FACTOR TO ADJUST PRICES ADJUST TO FACTOR CUMULATIVE RANGE A DATE OVER Category: Dividends Data Floating Point Type: Description: prices after that equivalent so adjust distributions to and prices before made between can be comparisons after the distribution.

26 CHAPTER 2: Data Definitions Stock and Index Data Description Guide cusip mcusip CUSIP 0 CRSPAccess STK 19680102 19680102 The most recently used 8 character used 8 character recently The most TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly field in accordance with the rules published in the in rules published with the field in accordance types of potential two are There Directory. CUSIP CRSP. assigned by are - Headers CUSIP which dummy (containingOne, ***99*9*, fifth, the fourth, a 9 in a CRSP- positions) represents character and seventh number (the issuer CUSIP with a dummy assigned issue number and a dummy positions) first 6 character ******9*, other, positions). The 2 character (the last position) (containing character a 9 in the seventh issuer CUSIP with a real a CRSP-assigned represents example: For number. issue number but a dummy is or 12345699 as 12399099 such A CUSIP - Header as 12345610 and an identifier such CRSP, assigned by the CUSIP Agency. is assigned by basis, traded on an international Securities actively States and Canada, domiciled outside the United a CINS (CUSIP International will be identified by CINS numbers number. System) Numbering the CUSIP by set identifier the same system employ plus Issue (2 (6 characters) Issuer System: Numbering that It is important note per 8 characters. to characters) the first portion represented of a CINS code is always signifying the issuer’s character, an alphabetic by country For code (domicile) or geographic region. CUSIP Directory current see the information, more Types. and see Share CUSIP, MOST RECENT CUSIP, Category: History Name Data String Type: Description: the end of the through a security CUSIP identifier for ncusip mncusip NCUSIPE 1 CRSPAccess STK 19680102 19680102 CUSIP - Header is the latest CUSIP - Header is the latest The 8 character CUSIP identifier for CUSIP identifier for The 8 character TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Daily Monthly CUSIP, HEADER CUSIP, Category: Identification Data String Type: Summary: CUSIP identifier for 8 character The latest a security. Information: Extended the security through CUSIP identifier for 8 character the end of the file. CUSIP identifiers supplied are the CUSIP Global Services CRSP by to (CGS). Bankers CGS is managed on behalf of the American Intelligence Market S&P Global Association (ABA) by 2021. Copyright LLC, as first assigned in 1968 CUSIP identifiers were include alphabetic to in 1984 integers and expanded leading (including The first six characters characters. characters two last while the identify the issuer, zeroes) identify the issue. CUSIP issuer identifiers assigned are sequence. alphabetical maintainto an approximately a security if its for change The CUSIP identifier may changes. name or capital structure on our files. CUSIP is reused header or historical No or that were securities no longer in existence For CRSP has assigned an officialnever CUSIP identifier, use in this CUSIP identifier for assigned a dummy CUSIP, END OF PREVIOUS PERIOD OF PREVIOUS END CUSIP, Category: History Name Data String Type: Description: the period preceding at the end of period a security reported.

27 CHAPTER 2: Data Definitions Stock and Index Data Description Guide crsp_array or crsp_ts n/a subtype CRSP_* n/a subtype CRSPAccess STK, IND n/a n/a n/a CRSPAccess

1925 1925 Base CRSPAccess Data Structures, Time Time Data Structures, Base CRSPAccess Series Objects, Event Array Objects, Header Objects integer number Code FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Database Formats Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item

The Data Subtype Code for portfolio assignments and and assignments portfolio DataThe Code for Subtype index of the the INDNO to is set time series statistics segment the market for results with portfolio group type. portfolio DATE Category: Other Floating Point Data Double Precision Type: the CRSP output calendar in date Summary: Trading weekly, for in week trading day the period. (Last for and so on.) monthly, month for Date Calendar Trading Information: Extended a CRSP calendar. contains for of trading dates list the in a calendar period, date last the represents date Each dates These format. day) month, in YYYYMMDD (year, and continue to firstbegin in the element of the array for Calendar dates in Calendar. of Periods Number the included. not are and trading holidays weekends ncusip mncusip NCUSIPL 2 CRSPAccess STK 19680102 19680102 Base CRSPAccess Data Structures, Base CRSPAccess Event Array Objects integer number Code CRSPAccess STK, IND n/a n/a n/a CRSP_ARRAY n/a dummy crsp_array n/a dummy TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly GENERAL INFORMATION Primary Concepts Data Type Unit of Item RANGE AVAILABILITY DATE Daily Monthly AND UTILITY AVAILABILITY DATABASE USAGE Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) C USAGE Object Array Element FORTRAN-95 USAGE or Subtype Type Member and/or Array Element

DATA SUBTYPE CODE DATA Data code further Subtype Code is an integer defining of datacategories in a CRSP object that otherwise have a between as the difference such the same structure, if unused. zero and price data to It is set item. return D. SUBTYPE CODE SECONDARY DATA Data Secondary code Subtype Code is an integer further defining the Data Code of a CRSP Subtype if unused. zero to object. It is set array file.

28 CHAPTER 2: Data Definitions Stock and Index Data Description Guide stkhdr n/a delist_arr delist() dlstcd header_row header dlstcd delist_arr delist[ ] dlstcd CRSPAccess STK n/a n/a /hh, /hn CRSPAccess STK n/a n/a /de 1925 1925 1925 1925 Header Identification and Summary Data integer number Code Delisting History Array Delisting History integer number Code FORTRAN-95 USAGE FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Type or Subtype Type Member and/or Array Element Object Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item research. research. DELISTING - HEADER CODE status delisting Code - Header is the issue’s at Delisting additional the end of the file. Code for See Delisting information. altdt maltdt Altdt 0 CRSPAccess STK caldt mcaldt Caldt 0 1925 1925 STK CATEGORY still trading or halted but not yet delisted merger exchange liquidation NASDAQ or Arca delisted by NYSE, NYSE MKT, delisted by the Securities and Exchange Commission trading simultaneously on more than one exchange Trading dates used with partial dates period Trading 1 2 3 4 5 7 8 TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY PRIMARY FIRST PRIMARY DIGIT OF CODE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Monthly Daily Product Types Product The second and third digits of the delisting codes digits of the delisting The second and third further Additional events. detail of delisting provide categories, codes, specific various delisting delisting to an issue is closed when indicate to been created have or if the issue is pending further furtherto research, DELISTING CODE code. It either (1) Code is a 3-digit integer Delisting trading or (2) provides a security is still that indicates are All coded delistings delisting. for a specific reason code. the first digit of the delisting by categorized DATE - YYYYMMDD TRADING DATE (PARTIAL (PARTIAL - YYYYMMDD TRADING DATE DATE PERIOD DATA) Category: Other Floating Point Data Double Precision Type: Description: data.

29 CHAPTER 2: Data Definitions Stock and Index Data Description Guide delist_arr delist() nextdt delist_arr delist[ ] nextdt CRSPAccess STK n/a n/a /de 1925 1925 Delisting History Array integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item date is set to the date of the announcement. If the If the of the announcement. date the to is set date is worthless became security after and there delisting trading after then the delisting, of any no evidence to set is Information Available of Next Date Delisting after and the Delisting Date, Delist the one trading day zero. to Price is set DELISTING PAYMENT DATE DELISTING PAYMENT (in date is the effective Date Payment Delisting of the Amount After Delisting YYYYMMDD format) If a calculations. Return value used in the Delisting the Amount After then the Delisting, price is used for of Date the Delisting to is set Date Payment Delisting payments If distribution Information. Available Next the Amount After then the Delisting, used for are the Ex-Distribution to is set Date Payment Delisting This date payment. distribution known of the last Date or if no price active if the security is still zero to is set is available. information or payment and is found, information Monthly: If no delisting of trading day on the last delist the security did not to is set Date Payment the month, then the Delisting and the Amount After Date is the Delisting Delisting in the Price or daily trading value found the last to set delist_arr delist() dlstdt delist_arr delist[ ] dlstdt CRSPAccess STK n/a n/a /de Delisting History Array integer number YYYYMMDD date 1925 1925 dlstcd FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Data Type Unit of Item RANGE AVAILABILITY DATE Daily Monthly Primary Concepts Element DELISTING DATE OF NEXT AVAILABLE NEXT AVAILABLE OF DELISTING DATE INFORMATION is the Information Available of Next Date Delisting of a security’s (in YYYYMMDD format) date integer after found Price - the price or quote Delisting if the security is still zero to is set This date delisting. if the final value of the zero to It is also set active. or distributions one or more by security is determined after suspension if the value of the security is unknown of trading or after delisting. announced in advance, was or merger If a liquidation then this and trading continued on the exchange, DELISTINGDATE containingis an integer Date in the date Delisting on the price a security’s last of format YYYYMMDD Delisting active, the security is still If exchange. current data. price of available date the last to is set Date missing. is never date Delisting necessarily a month- is not Date Monthly: Delisting included in the be and might not end trading date series. of monthly time array Date Calendar Trading

30 CHAPTER 2: Data Definitions Stock and Index Data Description Guide delist_arr delist() dlprc delist_arr delist[ ] dlprc CRSPAccess STK n/a n/a /de 1925 1925 If a price within 10 periods of the delist date is date periods of the delist If a price within 10 is calculated return then the delisting available, using that price. then the delisting If a final is available, distribution distribution using all known is calculated return occurring after price. of last the date information occurring after If distributions of last the date but no final has distribution available, price are is calculated return then the delisting been found, (This applies found. as if a final were distribution further issues closed to only to research.) will is evidence that no distributions If there is then the stock shareholders, paid to be ever to is set return worthless. The delisting considered FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types Usage ts_print Daily ts_print Monthly Usage stk_print Option(s) Daily Monthly

DELISTING RETURN of a security after it has is the return Return Delisting or Arca. NASDAQ, MKT, NYSE NYSE, from delisted the comparing by is calculated Return The Delisting security’s Amount After with its price on the Delisting of trading. The Amount After can Delisting day last price price, an off-exchange be either an off-exchange payments. or the sum of a series of distribution quote, is specified in return of the delisting date The effective Date. Payment the Delisting further to issue that has been closed any for The return as follows: is calculated research • • • • delist_arr delist() dlpdt delist_arr delist[ ] dlpdt CRSPAccess STK n/a n/a /de 1925 1925 Delisting History Array real number USD Delisting History Array Delisting History integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item DELISTING PRICE a trade price or a price quote to Price refers Delisting on another of bid and ask quotes) as the average (given of this price The date or over-the-counter. exchange of Next is specified Date in the Delisting or quote Information. Available trade then it is a price. Price is positive, If the Delisting then it is the average Price is negative, If the Delisting zero to Price is set A Delisting of bid and ask quotes. no further was if there active, if the security is still the security after or if prices date, the delist trading for after If date. available the delist not are or price quotes the made using distributions, were payments delisting and the sum of the zero, to Price is also set Delisting is specified After in the Amount payments distribution Delisting. Bid/Ask Average. Bid/Ask

31 CHAPTER 2: Data Definitions Stock and Index Data Description Guide delist_arr delist() dlretx delist_arr delist[ ] dlretx CRSPAccess STK retx/0 when the DLRET option is option included in the FORMAT mretx/0 when the DLRET option is option included in the FORMAT /de 1925 1925 delist_arr delist() dlret Delisting History Array real number Ratio dlret FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE FORTRAN-95 USAGE FORTRAN-95 GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Type or Subtype Type Array Member and/or Element Primary Concepts Data Type Unit of Item Element DISTRIBUTION CODE and corporate distributions CRSP describes company historyactions in the distribution with a 4-digit code. The The first digit describes the type of distribution. The third method. second digit describes the payment DELISTING DIVIDENDS RETURN WITHOUT of a Without Dividends is the return Return Delisting MKT, NYSE NYSE, from security after it has delisted paid Ordinary or Arca. that were dividends NASDAQ, of Delisting the Date and trading date the last between calculations. these return included in not are Payment the ordinary included in the dividends are However,` in Return calculations. See Delisting Return Delisting calculation and missing the Calculations Section for values. delist_arr delist[ ] CRSPAccess STK ret/0 when the DLRET option is included option in the FORMAT mret/0 when the DLRET option is option included in the FORMAT /de 1925 1925 Delisting History Array real number Ratio REASON FOR MISSING RETURN CRSP has no sources to establish a value after delisting or is unable to CRSP has no sources to establish a value after delisting delisting assign a value to one or more known distributions after its last price and more than 10 trading periods between a security’s first available price on a new exchange security is still active currently security trades on a new exchange after delisting, but CRSP has no sources to gather price information -1 (i.e. a 100% loss). a 100% -1 (i.e. has been stock evidence that the is If there set is return worthless,the delisting then declared loss). (i.e. a 100% -1 to C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE Object Array Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Monthly Daily Primary Concepts Data Type Unit of Item -55.0 -66.0 -88.0 -99.0 • and further issue that is closed to research any For return the delisting met, are criteria none of the above issue that is any code. For a missing return is given a given is return the delisting pending further research, code of -55.0. missing return MISSING DELISTING RETURN CODES and Monthly: If Amount After is non-zero Delisting the to or equal is less than Date Payment Delisting a represents Return the Delisting Date, Delisting The Return. a Delisting not partial-month return, value on the last the compare partial-month returns month-end of trading with the value on the last day in additional after-delisting factor and do not date information.

32 CHAPTER 2: Data Definitions Stock and Index Data Description Guide dists_arr dists() dclrdt dists_arr dists[ ] dclrdt adjdiv madjdiv Adjdiv 0 CRSPAccess STK n/a n/a /di CRSPAccess STK 1925 1925 1925 1925 Distribution Event Array Distribution number integer YYYYMMDD date Ordinary dividends and return-of-capital Ordinary dividends, and return-of-capital FORTRAN-95 USAGE C USAGE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Object Array Element Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Database Formats Product Types Daily Monthly Daily Monthly Primary Concepts Primary Data Type Unit of Item

DIVIDEND AMOUNT IN PERIOD, BEGINNING BASIS Category: Dividends Data Floating Point Type: Description: beginning of period to during the period, adjusted DIVIDEND AMOUNT IN PERIOD, ADJUSTED DIVIDEND AMOUNT IN PERIOD, Category: Dividends Data Floating Point Type: Description: factor. using the Price adjustment adjusted dists_arr dists() distcd dists_arr dists[ ] distcd CRSPAccess STK n/a n/a /di 1925 1925 Distribution Event Array integer number Code FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Data Type Unit of Item Primary Concepts

DISTRIBUTION DECLARATION DATE DISTRIBUTION DECLARATION (in is the date Declaration Date Distribution of directors the board on which YYYYMMDD format) be If a declaration cannot a distribution. declared zero. to is set then this date found, tender with a merger is associated If the distribution is set Declaration Date then the Distribution offer, If the offer. of the tender the announcement date to or merger payments merger represents distribution the announcement date to is set then this date terms, or terms. of the payments digit augments the type denoted by the first digit. The by denoted the type augments digit tax the regarding information provides digit fourth details. status for of the distribution the tax verified status not CRSP has ordinary of cash common the most CRSP assigns since 1987. dividends tax taxable code, ordinary as dividend, to dividends the tax these issues. CRSP does verify statusto of with associated and distributions distributions stock spin-offs, mergers,rights offerings, liquidations, and exchanges. reorganizations,

33 CHAPTER 2: Data Definitions Stock and Index Data Description Guide dists_arr dists() divamt dists_arr dists[ ] divamt CRSPAccess STK n/a n/a /di 1925 1925 Distribution Event Array real number USD odivamt modivamt Odivamt 0 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Daily ITEMID Monthly ITEMID Header SUBNO DIVIDEND CASH AMOUNT DIVIDEND CASH is the US dollar value per Dividend Cash Amount dividends, cash from resulting of distributions share reorganizations, spin-offs, mergers, exchanges, Cash Amount and rights issues. Dividend liquidations, of ordinaryincludes the cash value and non-ordinary of capital) is distribution dividends. When the (return Cash the Dividend of a trading security, paid in shares ratio times the price of the exchange to Amount is set Date. the security at the close of the Ex-Distribution percentage of shares a limited where In a distribution the Dividend Cash cash, for in exchange accepted are value must price, and the offer the to Amount is set are Price. These Adjust to Factor using the be adjusted Code with the first digit 6 a Distribution identified by -1 and 0. Note: Price between Adjust to and a Factor ADRs use the gross. for income dividends regular adjodiv madjodiv Adjodiv 0 CRSPAccess STK CRSPAccess STK CRSPAccess STK tdivamt mtdivamt Tdivamt 0 1925 1925 1925 1925 1925 1925 Ordinary cash dividends paid during the Ordinary cash dividends paid, adjusted TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Database Formats Product Types Usage ts_print/TsQuery Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Daily Monthly Daily Monthly DIVIDEND AMOUNT IN PERIOD, ORDINARY, DIVIDEND AMOUNT IN PERIOD, ORDINARY, BEGINNING BASIS Category: Dividends Data Floating Point Type: Description: period, adjusted to beginning of period basis. to period, adjusted DIVIDEND AMOUNT IN PERIOD, ORDINARY, ORDINARY, DIVIDEND AMOUNT IN PERIOD, ADJUSTED Category: Dividends Data Floating Point Type: Description: using the price adjustment factor. factor. using the price adjustment basis. basis.

34 CHAPTER 2: Data Definitions Stock and Index Data Description Guide crsp_ts n/a CRSP_TIMESERIES n/a end CRSPAccess STK, IND n/a n/a /hr stkhdr n/a enddt 1925 1925 header_row header enddt Data Structures, Time Base CRSPAccess Series Objects integer number Array index FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item

END OF VALID DATA END OF VALID Data calendar of the last is the index End of Valid no data If of a security. period with valid data for The Calendar zero. to it is set available, this type are the last of is the date at this index Date Trading security. this calendar period with data of this type for group_arr() group(,) grpenddt group_arr group grpenddt CRSPAccess STK n/a n/a /hh , /hr , /hrl , /hn CRSPAccess STK n/a n/a /gp 1925 1925 1925 1925 Header Identification and Summary Data integer number YYYYMMDD date Header Identification and Summary Header Identification and Summary Data, Group Data integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Daily Monthly Data Type Unit of Item Primary Concepts Primary Concepts Data Type Unit of Item

END OF STOCK DATA Data the data that is the date End of Stock ends for of date It is the in YYYYMMDD format. security, and is always arrays period in the time series the last than zero. greater E. DATA GROUP END OF data Data group is valid date End of Group last is the format. in YYYYMMDD

35 CHAPTER 2: Data Definitions Stock and Index Data Description Guide dists_arr dists() exdt dists_arr dists[ ] exdt portxsiret mportxsiret Portxsiret PORTID CRSPAccess STK n/a n/a /di CRSPAccess STK 1925 1925 1925 1925 Distribution Event Array integer number YYYYMMDD date Difference between a security’s return on a security’s return between Difference FORTRAN-95 USAGE C USAGE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Database Formats Product Types Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item convention, set equal to the trading day immediately immediately trading the day to equal set convention, after price. last of the date the after payments of liquidating Dates Ex-Distribution to set and reported available, when are delistings unavailable. if Date Payment Delisting or Date Record EXCESS RETURNS ON INCOME VS. ON INCOME VS. RETURNS EXCESS PORTFOLIOS ASSOCIATED Type a Portfolio to Category: Related Returns Data Floating Point Type: Description: on income of a portfolio that a income and the return with the security. be associated user selects to date1 mdate1 Date1 0 date2 mdate2 Date2 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Last date in a selected date range for an range for date a selected in date Last First period in a selected date range, or date period in a selected First TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Daily ITEMID Monthly ITEMID Header SUBNO Monthly ITEMID Header SUBNO Database Formats Product Types Product Types Database Formats Daily Monthly Daily Monthly EX-DISTRIBUTION DATE EX-DISTRIBUTION or ex- ex-dividend is the Date Ex-Distribution the on which It is the date date. distribution security is first receive traded without the right to in is coded as an integer This date the distribution. a daily trading date. and is always YYYYMMDD format the where or exchange in a merger distributions For by is, Date the Ex-Distribution disappeared, company ENTITY END DATE RANGE ENTITY END DATE Category: Other Floating Point Data Double Precision Type: Description: entity. ENTITY BEGIN DATE RANGE OR EVENT DATE OR EVENT RANGE ENTITY DATE BEGIN Category: Other Point Floating Data Double Precision Type: Description: an entity. for date event

36 CHAPTER 2: Data Definitions Stock and Index Data Description Guide portxstret mportxstret Portxstret PORTID cumxsiret mcumxsiret Cumxsiret INDNO CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Difference between a security’s total a security’s total between Difference Compounded difference between a between difference Compounded TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly EXCESS RETURNS VS. ASSOCIATED ASSOCIATED VS. RETURNS EXCESS PORTFOLIOS Type a Portfolio to Category: Related Returns Data Floating Point Type: Description: a user that of a portfolio return and the total return with the security. be associated selects to EXCESS RETURNS ON INCOME VS. INDEX VS. INCOME ON RETURNS EXCESS CUMULATIVE SERIES, an Index to Category: Related Returns DataPoint Floating Type: Description: on income on income and the return security’s return with be associated selects to that a user of an index period in the time series contains Each a the security. period. since the beginning return cumulative xsiret mxsiret Xsiret INDNO cumxspiret mcumxspiret Cumxspiret PORTID CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Difference between a security’s return on a security’s return between Difference Compounded difference between a between difference Compounded TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Product Types Database Formats Monthly Daily Daily Monthly income and the return on income of an index that a on income of an index income and the return with the security. be associated user selects to EXCESS RETURNS ON INCOME VS. INDEX ON INCOME VS. RETURNS EXCESS SERIES an Index to Category: Related Returns Data Floating Point Type: Description: EXCESS RETURNS ON INCOME VS. VS. INCOME ON RETURNS EXCESS CUMULATIVE PORTFOLIOS, ASSOCIATED Type a Portfolio to Category: Related Returns DataPoint Floating Type: Description: on income on income and the return security’s return with be associated to that a user selects of a portfolio period in the time series contains Each a the security. period. since the beginning return cumulative

37 CHAPTER 2: Data Definitions Stock and Index Data Description Guide portxsaret mportxsaret Portxsaret PORTID cumxstret mcumxstret Cumxstret INDNO CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Compounded difference between between difference Compounded Difference between a security’s capital between Difference TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly that a user selects to be associated with the security. the security. with associated be to a user selects that series contains the time period in Each a cumulative period. since the beginning return EXCESS RETURNS WITHOUT DIVIDENDS VS. RETURNS WITHOUT DIVIDENDS VS. EXCESS CUMULATIVE PORTFOLIOS, ASSOCIATED Type a Portfolio to Category: Related Returns Data Floating Point Type: Description: a security’s capital and the capital appreciation be that a user selects to of a portfolio appreciation period in the time Each with the security. associated since the beginning series contains return a cumulative period. EXCESS RETURNS WITHOUT DIVIDENDS VS. WITHOUT DIVIDENDS VS. RETURNS EXCESS PORTFOLIOS ASSOCIATED Type a Portfolio to Category: Related Returns Data Floating Point Type: Description: and the capital of a portfolio appreciation appreciation the security. with be associated a user selects to xstret mxstret Xstret INDNO cumxsptret mcumxsptret Cumxsptret PORTID CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Compounded difference between a between difference Compounded Difference between a security’s total a security’s total between Difference Compounded difference between a between difference Compounded TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly EXCESS RETURNS VS. INDEX SERIES, RETURNS VS. EXCESS CUMULATIVE an Index to Category: Related Returns Data Floating Point Type: Description: of an index return and the total return security’s total return and the total return of an index that a user of an index return and the total return with the security. be associated selects to EXCESS RETURNS VS. INDEX SERIES VS. RETURNS EXCESS an Index to Category: Related Returns Data Floating Point Type: Description: EXCESS RETURNS VS. ASSOCIATED ASSOCIATED VS. RETURNS EXCESS CUMULATIVE PORTFOLIOS, Type a Portfolio to Category: Related Returns DataPoint Floating Type: Description: of a portfolio return and total the return total security’s security. with the be associated to that a user selects time series contains period in the Each a cumulative since the beginning period. return

38 CHAPTER 2: Data Definitions Stock and Index Data Description Guide cumxsaret mcumxsaret Cumxsaret INDNO CRSPAccess STK 1925 1925 EXCHANGE NAME Halted by Primary Listing Exchange Suspended by Primary Listing Exchange on Primary Listing Exchange Not Trading NYSE NYSE MKT NASDAQ Arca BZX Exchange Investors Exchange (IEX) Boston Stock Exchange Chicago Stock Exchange Pacific Stock Exchange Philadelphia Stock Exchange (Non-NASDAQ Dealer Quotations) Over-The-Counter Integer code(s) indicating the exchange(s) indicating the exchange(s) code(s) Integer TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE CODE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly -2 -1 0 1 2 3 4 5 6 10 13 16 17 20 EXCHANGE CODE, END OF PERIOD CODE, END EXCHANGE Category: History Name Floating Point Data Double Precision Type: Description: at the end of the period the security is listed on which reported. Information Extended 2, 3 and 4 for 1, respectively Codes are Exchange An and Arca. NASDAQ, MKT, NYSE NYSE, that a security indicates Code of zero Exchange or is exchange, is either trading on an unknown the normal 30 to trading at all. Adding not temporarily identifies 32, 33 and 34) when- Codes (31, Exchange The reorganization. as during a issued trading, such table contains of the Exchange most of a list following Codes in the name history array. xsaret mxsaret Xsaret INDNO cumxsparet mcumxsparet Cumxsparet PORTID CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Compounded difference between between difference Compounded Difference between a security’s capital between Difference TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly EXCESS RETURNS WITHOUT DIVIDENDS VS. RETURNS WITHOUT DIVIDENDS VS. EXCESS INDEX SERIES, CUMULATIVE an Index to Category: Related Returns Data Floating Point Type: Description: a security’s capital and the capital appreciation be that a user selects to of an index appreciation period in the time Each with the security. associated since the beginning series contains return a cumulative period. EXCESS RETURNS WITHOUT DIVIDENDS VS. DIVIDENDS VS. RETURNS WITHOUT EXCESS INDEX SERIES an Index to Category: Related Returns Data Floating Point Type: Description: appreciation and the capital a of an index appreciation appreciation with the security. be associated user selects to

39 CHAPTER 2: Data Definitions Stock and Index Data Description Guide stkhdr n/a hexcd header_row header hexcd CRSPAccess STK n/a n/a exchcd mexchcd EXL 2 1925 1925 CRSPAccess STK Header Identification and Summary Data integer number Code 1925 1925 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly

EXCHANGE CODE - HEADER EXCHANGE Code the Exchange - Header displays Code Exchange Exchange Valid listed. last a security was on which 2, 3, 4 or 5, which 1, Code - Header values are Arca NASDAQ, MKT, NYSE the NYSE, to correspond not Codes are Other Exchange and Bats respectively. Code - Header field. included in the Exchange exchcd mexchcd EXE 1 exchcd mexchcd EX 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 EXCHANGE NAME EXCHANGE When-Issued Trading on NYSE Trading When-Issued on NYSE MKT When-Issued Trading on NASDAQ When-Issued Trading The most recently known integer code(s) code(s) integer known recently The most Integer code(s) indicating the exchange(s) indicating the exchange(s) code(s) Integer TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE CODE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Database Formats Product Types Daily Monthly Daily Monthly 31 32 33 EXCHANGE CODE, MOST RECENT EXCHANGE Category: History Name Floating Point Data Double Precision Type: Description: the security is on which indicating the exchange(s) listed. EXCHANGE CODE, END OF PREVIOUS EXCHANGE PERIOD Category: History Name Floating Point Data Double Precision Type: Description: at the end of the period the security is listed on which the period reported. preceding

40 CHAPTER 2: Data Definitions Stock and Index Data Description Guide facprc mfacprc Facprc 0 CRSPAccess STK 1925 1925 TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly Therefore, unless it happens to be a month-end, the month-end, be a to it happens unless Therefore, file.monthly in our available is not price not Price may Adjust to Factor where Other cases issuances and are shares adjust to factor to be equal Adjust to Factor issuances, offers. tender For limited offers tender where limited For zero. to Price is set in accepted are of shares percentage set a limited the to Price is set Adjust to Factor cash, for exchange -1. multiplied by accepted ratio of shares FACTOR TO ADJUST SHARES OUTSTANDING ADJUST TO FACTOR Outstanding is an adjustment Shares Adjust to Factor Outstanding observations Shares to a to due It is the number of additional event. distribution outstanding after expected shares the Ex-Distribution the to relative event of the distribution Date observation. Shares Adjust known to last Factor most Price for Adjust to Factor Outstanding equals types of distributions five are There events. distribution Price in Adjust to this is the case. See Factor where handled. are they these cases and how for above Period Outstanding is Shares Adjust to spin-offs,For Factor Shares Adjust to rights issues, Factor For zero. to set Outstanding on all shareholders based is calculated Date. the rights on the Ex-Distribution exercising the actual leaves 0, this distribution to If it is set shares this right to outstanding to adjustment shares observations issuances reports. in the quarterly For in the then it is calculated and offers, if it is nonzero, splits. stock same manner as for

Factor from a base date used to used to a base date from Factor For ordinaryFor cash dividends or partial liquidating zero. to Price is set Adjust to Factor payments, or cases of mergers, liquidations, total For a exchanged, were all shares where exchanges announced, or the was payment final liquidation Price is set Adjust to Factor security disappeared, convention. one by negative to Adjust to dividends and splits, Factor stock For per old Price is the number of additional shares issued: share outstanding, t is s(t) is the number of shares where the after for a date Date or on the Ex-Distribution the split. In a reverse before split, and t’ is a date -1 and Price will be between Adjust To split, Factor 0. = (s(t)/s(t’)) - 1 = (s(t) - s(t’))/s(t’) facpr

= DIVAMT/P(t) facpr price on the Ex-Distribution is no available If there periods afterwithin ten is a price and there Date, (P(t)). that price for (P(t)), CRSP substitutes Date. price on the Ex-Distribution that P(t) is the Note 2. 3. spin-offs, events, less common distribution In other and distributions, non-total or non-final liquidating to Factor to equal Price is not Adjust to rights, Factor Price is Adjust to Outstanding. Factor Shares Adjust defined the as the Dividend Cash Amount divided by (P(t)): Date, price on the Ex-Distribution stock F. PRICE IN PERIOD ADJUST TO FACTOR Category: Dividends DataPoint Floating Type: Description: prices after so that equivalent adjust distributions and prices before can be made between comparisons after the distribution. Information Extended Shares Adjust to Factor equals Price Adjust to Factor are There events. distribution most Outstanding for this is the case: where distributions types of three 1.

41 CHAPTER 2: Data Definitions Stock and Index Data Description Guide egrpflg megrpflg ESPInd 16 grpflg mgrpflg SPInd 16 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Code identifying a group to which a which to Code identifying a group Code identifying a group to which a which to a group Code identifying TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly GROUP FLAG OF ASSOCIATED INDEX, END OF ASSOCIATED FLAG GROUP OF PREVIOUS PERIOD Category: Other Floating Point Data Double Precision Type: Description: the period security belongs, in the period preceding is the only flag S&P 500 group reported. 16 Currently, group. active G. END INDEX, OF ASSOCIATED FLAG GROUP OF PERIOD Category: Other Point Floating Data Double Precision Type: Description: is flag S&P 500 group 16 security belongs. Currently, the the security belongs to If group. the only active Flag of Associated type, the Group group selected will contains Index belong to a one (1). If it does not rules, the group to valid according or is not the group, the field contains (0). a zero list_arr list(,) begdt dists_arr dists( ) facshr list_arr[ ] list[ ][ ] begdt dists_arr dists[ ] facshr CRSPAccess IND n/a n/a n/a CRSPAccess STK n/a n/a /di 1925 1925 1925 1925 Index List History Array integer number YYYYMMDD date Distribution Event Array, Calculations Event Array, Distribution real number Conversion Factor FORTRAN-95 USAGE FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Type or Subtype Type Member and/or Array Element Object Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Monthly Daily Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Primary Data Type Unit of Item

FIRST DATE INCLUDED IN LIST INCLUDED FIRST DATE in YYYYMMDD is the date, Included in List Date First the first of an issue is included in a date format, of securities. definedportfolio list as a selected

42 CHAPTER 2: Data Definitions Stock and Index Data Description Guide ret_ts ret[ ] ret_ts ret( ) CRSPAccess STK ret/0 mret/0 /dx /dd, /dr, /pr, 1925 1925 Price, Volume, and Return Time Series and Return Time Price, Volume, Arrays real number Ratio REASON FOR MISSING RETURN Not trading on the current exchange at time t. No data available to calculate returns. to suspension Missing return due to missing price at time t; usually due in trading or trading on unknown exchange. Valid current price but no valid previous price. Either first price, unknown current price but no valid previous Valid 10 periods exchange between current and previous price, or more than between time t and the time of the preceding price t’. C USAGE FORTRAN-95 USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE CODE GENERAL INFORMATION Object Array Element or Subtype Type Member and/or Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly -77.0 -88.0 -99.0 -66.0 Primary Concepts Data Type Unit of Item HOLDING PERIOD TOTAL RETURN TOTAL PERIOD HOLDING value of an the total in is the change A return of time some period over in the security investment Total Period Holding of initial investment. per dollar It is day. the given a sale on for return is the Return previous time recent on the most a purchase based on price. Usually, when the security had a valid this day to calendar See period. “Returns” the previous is time this section. in the Calculations on Daily: In daily databases, reinvested dividends are Date. the Ex-Distribution holding are Monthly: In monthly databases, returns month-end, not to month-end from period returns and ordinary daily returns, from compounded at month-end. reinvested dividends are codes specify the A series of special missing return is missing. a return reason high mhigh High 0 lgrpflg mlgrpflg LSPInd 16 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Daily — Highest daily closing price within daily closing price Daily — Highest Last known code identifying a group to to a group code identifying known Last TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly H. HIGHEST CLOSE Category: Prices Data Floating Point Type: Description: output calendar. the selected month end closing price within the Monthly — Highest use with quarterly to Appropriate calendar. selected and annual output calendars. GROUP FLAG OF ASSOCIATED INDEX, LAST INDEX, ASSOCIATED OF FLAG GROUP PERIODS ALL FLAG, Category: Other Point Floating Data Double Precision Type: Description: S&P 500 group Currently, a security belongs. which group. is the only active flag 16

43 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr rules rulecode indhdr_row indhdr rules.rulecode indhdr flags flagcode CRSPAccess IND n/a n/a /hr indhdr_row indhdr flags.flagcode 1925 1925 CRSPAccess IND n/a n/a /hr Index Header integer number Code 1925 DESCRIPTION Unknown or not applicable Group by previous period end issue capitalization Group by previous period end company capitalization Group by Scholes-Williams beta over previous year Group by standard deviation over previous year FORTRAN-95 USAGE C USAGE FORTRAN-95 USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE C USAGE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Type or Subtype Type Member and/or Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Object Array Element Daily Monthly Database Formats Product Types Usage ts_print Daily Usage ts_print Monthly ind_print Option(s) Primary Concepts Data Type Unit of Item Monthly 0 1 2 3 4 INDEX BASIC RULE TYPESINDEX BASIC RULE CODE code of Code is an integer Types Basic Rule Index rule types used in building methodology basic portfolio used: currently codes are The following indexes. indhdr assign assigncode indhdr_row indhdr assign.assigncode CRSPAccess IND n/a n/a /hr 1925 1925 1925 Index Header integer number Code Index Header integer number Code DESCRIPTION Unknown or not available CRSP market index flags Cap-Based index flags CRSP market index trade-only prices flags DESCRIPTION Unknown or not applicable Annual rebalancing Quarterly rebalancing Monthly rebalancing FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE GENERAL INFORMATION CODE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Daily Monthly Primary Concepts 0 1 2 3 Data Type Unit of Item Data Type Unit of Item Primary Concepts 0 1 2 3 INDEX BASIC EXCEPTION TYPES CODE INDEX BASIC EXCEPTION code Code is an integer Types Exception Basic Index used in building characteristics of the basic exception used: currently codes are The following an index. I. TYPES ASSIGNMENT INDEX BASIC CODE code is an integer Code Types Basic Assignment Index fractileor rule-based types for of basic assignment used. currently are codes The following indexes.

44 CHAPTER 2: Data Definitions Stock and Index Data Description Guide CRSPAccess cnt mcnt Cnt 0 1925 1925 CRSPAccess STK Index Header structure Set (exception codes/flags) 1925 1925 TCnt 0 Number of issues used to create a specific create issues used to of Number DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Database Formats Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly Header SUBNO INDEX EXCEPTION HANDLING FLAGS INDEX EXCEPTION of fields is a group Handling Flags Exception Index in the supports an index describing how exceptions issues and missing data. and delisted data, as new such The flags fields: Basic Index contain the following Issues Flag, Index New Code, Index Type Exception Issues Flag, of Delisted Ineligible Issues Flag, Return Missing Dataand Index Flag. INDEX COUNT USED INDEX COUNT Category: Other Floating Point Data Double Precision Type: Description: A during one calendar period. or portfolio index or portfolio of the index be a member security must previous and the the current both with valid prices for count. See the be included in the trading periods to including information section for Methodologies Index inclusion for universe and frequency rebalancing specific indexes. Index Time Series Index Time real number Ratio 1925 1925 CRSPAccess IND retx/0 mretx/0 /ar aret_ts[ ] aret[ ][ ] n/a aret_ts aret(, ) n/a tcnt mtcnt CRSPAccess STK 1925 1925 Total number of securities in an index number of securities in an index Total TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Data Type Unit of Item RANGE AVAILABILITY DATE Daily Monthly AND UTILITY USAGE AVAILABILITY DATABASE Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) C Usage Object Array Element FORTRAN-95 USAGE or Subtype Type Member and/or Array Element GENERAL INFORMATION Primary Concepts Daily ITEMID Monthly ITEMID Database Formats Product Types Daily Monthly INDEX COUNT TOTAL Category: Other Floating Point Data Double Precision Type: Description: universe with a valid price on the selected trading date. trading date. with a valid price on the selected universe INDEX CAPITAL APPRECIATION RETURN APPRECIATION CAPITAL INDEX is the return, Capital Return Index Appreciation ordinaryexcluding See index. dividends, of an Section for in the Calculations Returns” “Index If calculated. are returns CRSP index details on how 500 as the S&P such a public index CRSP includes Capital Index Composite, NASDAQ or the Composite by data from provided is derived Return Appreciation the index. of the creator

45 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr rules statfnct indhdr_row indhdr rules.statfnct CRSPAccess IND n/a n/a CRSPAccess IND n/a n/a /hr 1925 1925 1925 1925 Index Header integer number Code Index Header integer number Code DESCRIPTION Unknown or not applicable Unknown or not at end of previous period Capitalization beta over previous year Scholes-Williams over previous year Standard deviation FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item 0 1 2 3 Primary Concepts Data Type Unit of Item

following codes are currently used. currently are codes following INDEX FUNCTION CODE FOR SELL RULES INDEX FUNCTION CODE FOR is a code defining Sell Rules Code for Function Index sell current to whether determine a function used to period. This is not at a rebalancing issues in a portfolio 0. to set and is always available, yet indhdr rules buyfnct indhdr_row indhdr rules.buyfnct CRSPAccess IND n/a n/a /hr indhdr flags n/a 1925 1925 indhdr_row indhdr flags Index Header, Index Rebalancing History Index Header, Arrays integer number Code IND n/a n/a /hr FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item Product Types Product ts_print Daily Usage ts_print Usage ts_print Monthly ind_print Option(s)

INDEX FUNCTION CODE FOR GENERATING GENERATING INDEX FUNCTION CODE FOR STATISTICS Generating Statistics is a Code for Function Index code defining a statistic to generate a function used to The inclusion in a portfolio. be used in determining INDEX FUNCTION CODE FOR BUY RULES INDEX FUNCTION CODE FOR is a code defining Rules Buy Code for Function Index an issue is added whether determine a function used to is not This variable during rebalancing. a portfolio to 0. to set and is always available, yet

46 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr flags delflag iret_ts iret(,) n/a indhdr_row indhdr flags.delflag iret_ts[ ] iret[ ][ ] n/a CRSPAccess IND n/a n/a /hr CRSPAccess IND reti mreti /ir 1925 1925 1925 1925 Index Header integer number Code Ratio DESCRIPTION Unknown or not available Issues becoming ineligible are held until the next time period. FORTRAN-95 USAGE FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Type or Subtype Type Member and/or Array Element Object Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Unit of Item Unit of 0 1

INDEX INELIGIBLE ISSUES FLAG how Ineligible Issues Flag is a code describing Index handled are an index issues that become ineligible for used: codes are The following in the index. indhdr n/a groupname indhdr_row indhdr groupname CRSPAccess IND n/a n/a /hh , /hr indhdr rules sellfnct 1925 1925 indhdr_row indhdr rules.sellfnct Index Time Series Index Time real number Index Header character Id /hr FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Data Type Unit of Item Primary Concepts ind_print Option(s) ind_print

INDEX INCOME RETURN is the ordinary Return Income dividend return Index in the Calculations Returns” See “Index of an index. are returns CRSP index details on how section for is Capital Index Return calculated. Appreciation indexes. CRSP-generated for available INDEX GROUP NAME INDEX GROUP group of the index is the name Name Group Index with the same belongs. All indexes an index which to have Identification Number Group Index Permanent Name. Group the same Index

47 CHAPTER 2: Data Definitions Stock and Index Data Description Guide tind_ts[ ] CRSPAccess IND tind mtind /ti alvl malvl ALvl 0 1925 1925 CRSPAccess STK Index Time Series Index Time real number Ratio 1925 1925 Value of an index, excluding ordinary excluding index, of an Value C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY RANGE DATE Object Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly INDEX LEVEL OF TOTAL RETURNS INDEX LEVEL OF TOTAL is the value of an Level Index Return Total Index its value to relative all distributions, including index, in the Levels” in time. See “Index point at one fixed CRSP index detailson how Calculations section for Level Index Return Total Index calculated. are levels Index indexes. CRSP-generated for is only available and the CRSP File Indexes the CRSP Stock for levels on an initial value of 100.00 to set are CTI Indexes are the Cap-Based Portfolios for levels Index 19721229. on 19251231. 1.00 to set INDEX LEVEL OF RETURNS WITHOUT WITHOUT OF RETURNS LEVEL INDEX DIVIDENDS Category: Levels Index DataPoint Floating Type: Description: point in its value at one fixed to dividends, relative time. ilvl milvl ILvl 0 tlvl mtlvl TLvl 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Ordinary dividend value of an index, Value of an index, including all including all index, of an Value TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly INDEX LEVEL OF RETURNS ON INCOME INDEX LEVEL OF RETURNS ON Category: Levels Index Data Floating Point Type: Description: point in time. its value at one fixed to relative INDEX LEVEL OF RETURNS LEVEL INDEX Category: Levels Index DataPoint Floating Type: Description: in point at one fixed its value to relative distributions, time.

48 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr method n/a indhdr_row indhdr method CRSPAccess IND n/a n/a /hr 1925 1925 Index Header Index Header structure Set (methodology) DESCRIPTION Unknown or not applicable Issues without single period returns are excluded Alternate prices are used if possible to generate single period returns Quotes without trades are treated as missing prices FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE CODE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Primary Concepts Data Type Unit of Item 0 3 5 13 INDEX METHODOLOGYINDEX DESCRIPTION

STRUCTURE contains Structure Description Methodology Index fields index. build the to rules used the describing fields These on primary contain information and secondary weighting and rules for methodologies Method Index fields The index. the securities within are Primary Code, Index Index Type Type, Methodology Secondary Reweighting Index Group, Methodology Flag. Timing Reweighting Flag, and Index Type INDEX MISSING DATA FLAG INDEX MISSING DATA Data Missing Index Flag describes the possible actions securities with missing data during the range taken for currently codes are The following portfolio. in an index used: indhdr method methcode indhdr_row indhdr method.methcode CRSPAccess IND n/a n/a /hr 1925 1925 tind_ts tind(,) n/a Index Header integer number Code tind[ ][ ] tind[ ][ n/a DESCRIPTION CRSP Cap-Based Portfolios CRSP Risk-Based Decile Indexes Market Indexes CRSP Value-Weighted Market Indexes CRSP Equal-Weighted CRSP Capitalization Decile Market Indexes S&P 500 Composite Index on the S&P 500 Universe CRSP Value-Weighted Index on the S&P 500 Universe CRSP Equal-Weighted NASDAQ Composite Bond Returns CRSP Fixed Term Bill Returns CRSP Fixed Term Provided by External Source FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE FORTRAN-95 USAGE GENERAL INFORMATION CODE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Monthly Daily Type or Subtype Type Member and/or Array Member and/or Element Primary Concepts Data Type Unit of Item Array Element 1 3 4 5 6 7 8 9 10 12 13 14 TYPEINDEX METHOD CODE indicating code Code is an integer Type Method Index It represents an index. for the basic methodology Primary Index the combination of Methodology Secondary Index Index Type, Group, Methodology Timing Reweighting Index Flag, and Type Reweighting codes are: Current Flag characteristics.

49 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr flags addflag indhdr_row indhdr flags.addflag CRSPAccess IND n/a n/a /hr 1925 1925 1925 Index Header integer number Id Index Header integer number Code DESCRIPTION Unknown or not available the first period they meet existing portfolio New securities are included restrictions next rebalancing period Securities are never added until FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item 0 1 2

INDEX PRIMARY LINK INDEX PRIMARY PrimaryIndex group Link is the INDNO of an index zero to containing series. It is set portfolio this index is no primary or if there is a group if this index group series. A series index with this index associated index can use Index of a group one portfolio representing the primary to Primary back The index. refer Link to primary and contains index information rebalancing in that group. all portfolios data for INDEX NEW ISSUES FLAG ISSUES NEW INDEX code describing integer Issues Flag is an New Index The following used in an index. are issues new how used: codes are indhdr n/a indname indhdr flags missflag indhdr_row indhdr indname indhdr_row indhdr flags.missflag CRSPAccess IND n/a n/a /hh , /hr CRSPAccess IND n/a n/a /hr 1925 1925 1925 1925 Index Header character Id integer number integer Code FORTRAN-95 USAGE FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Type or Subtype Type Member and/or Array Element Object Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Data Type Unit of Item Unit of

INDEX NAME or portfolio. is the name of the index Name Index

50 CHAPTER 2: Data Definitions Stock and Index Data Description Guide rebal_arr() rebal(,) rbbegdt rebal_arr[ ] rebal[ ][ ] rbbegdt CRSPAccess IND n/a CRSPAccess IND n/a n/a /rb# 1925 1925 1925 1925 Index Rebalancing History Arrays integer number YYYYMMDD date indhdr method primtype Index Rebalancing History Arrays integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION FORTRAN-95 USAGE FORTRAN-95 GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Type or Subtype or Type Array Member and/or Element Primary Concepts Data Type Unit of Item

INDEX REBALANCING END DATE date, is the integer End Date Rebalancing Index in the date of the last in YYYYMMDD format, period of an index. rebalancing INDEX REBALANCING BEGIN DATE INDEX REBALANCING date, is the integer Begin Date Rebalancing Index of the first in the date in YYYYMMDD format, period of an index. rebalancing indhdr_row indhdr method.primtype indhdr n/a primflag CRSPAccess IND n/a n/a /hr indhdr_row indhdr primflag 1925 1925 CRSPAccess IND n/a n/a /hh , /hr Index Header integer number Code 1925 DESCRIPTION A market segment index where breakpoints based on some rule and/or statistic are used to divide eligible issues into portfolios at different intervals. The breakpoint function is continuous so that all eligible issues are in exactly one portfolio during each period. Universe is supplied from an outside source, with given issues or companies and the data ranges for each. Portfolio of all eligible issues is reevaluated each period based on constant universe restrictions. Not Applicable. NAME Fractile Index Selected Index Market Index Other C USAGE FORTRAN-95 USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE C USAGE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE GENERAL INFORMATION CODE Object Array Element Type or Subtype Type Member and/or Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Object Array Element Monthly Daily Database Formats Product Types Usage ts_print Daily Usage ts_print Monthly ind_print Option(s) Primary Concepts Data Type Unit of Item 0 1 3 4 Monthly

INDEX PRIMARY METHODOLOGY TYPEINDEX PRIMARY Primary code Index is an integer Type Methodology types are type. The following describing the index used: currently

51 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr method wgtflag indhdr_row indhdr method.wgtflag CRSPAccess IND n/a CRSPAccess IND n/a n/a /hr 1925 1925 1925 1925 Index Header, Portfolio Statistics and Index Header, Assignment Arrays integer number Code Index Header integer number Code DESCRIPTION Not available weights not supplied by CRSP Value-weighted, Value-weighted Equal-weighted DESCRIPTION Not available time period are applied each Weights FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE CODE GENERAL INFORMATION CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item 0 11 Primary Concepts Data Type Unit of Item 0 1 2 3

INDEX REWEIGHTING TYPE FLAG code Flag is an integer Type Reweighting Index the issues in the of weighting indicating the method used: currently codes are The following index. portfolio aret_ts aret(,) n/a aret_ts[ ] aret[ ][ ] n/a CRSPAccess STK*, IND retx/0 mretx/0 /ar rebal_arr() rebal(,) rbenddt 1925 1925 rebal_arr[ ] rebal[ ][ ] rbenddt Index Time Series Index Time real number Ratio n/a /rb# FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item ts_print Monthly Usage ts_print ind_print Option(s) ind_print

INDEX REWEIGHTING TIMING FLAG code Flag is an integer Timing Reweighting Index recalculated are weights frequently indicating how codes are The following portfolio. in the existing used: currently INDEX RETURNS WITHOUT DIVIDENDS INDEX RETURNS the return, is Capital Return Index Appreciation ordinary excluding See “Index of an index. dividends, details on how in the Calculations section for Returns” If CRSP includes calculated. are returns CRSP index or the as the S&P 500 Composite such a public index Capital Index Appreciation Composite, NASDAQ of the creator by data from provided is derived Return the index.

52 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr rules groupflag indhdr_row indhdr rules.groupflag CRSPAccess IND CRSPAccess IND n/a n/a /hr 1925 1925 1925 1925 Index List History Array integer number Code Index Header integer number Code DESCRIPTION Unknown or not applicable Each issue is grouped independently are combined Multiple issues of a company FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item 0 1 2 Primary Concepts Data Type Unit of Item

INDEX SUBCATEGORY CODE INDEX SUBCATEGORY SubcategoryIndex flag Code is an integer indicating a subcategory of the primary list in an index index if zero to history the security belongs. It is set which to no subcategory is applicable. INDEX STATISTIC GROUPING CODE GROUPING STATISTIC INDEX code Code is an integer Statistic Grouping Index on issues before done the type of grouping describing are codes The following applied. are statistics any used: currently indhdr method subtype indhdr_row indhdr method.subtype CRSPAccess IND n/a n/a /hr indhdr method wgttype 1925 1925 indhdr_row indhdr method.wgttype Index Header integer number Code n/a /hr DESCRIPTION No further description Portfolios based on market capitalization Portfolios based on result statistic: beta or standard deviation Issues in S&P 500 Index Issues in the NASDAQ Composite Index Issues of Selected Maturity Ranges Treasury FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION CODE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts 0 10 12 13 14 15 Data Type Unit of Item ts_print Monthly Usage ts_print ind_print Option(s) ind_print

INDEX SECONDARY METHODOLOGY GROUP INDEX SECONDARY SecondaryIndex is an integer Group Methodology code with further Primary the Index detail for currently codes are The following Type. Methodology used:

53 CHAPTER 2: Data Definitions Stock and Index Data Description Guide Index Time Series Index Time real number USD 1925 1925 CRSPAccess STK, IND cap/0 tret_ts tret(,) n/a tret_ts[ ] tret[ ][ ] n/a CRSPAccess STK*, IND n/a n/a /tr 1925 1925 Index Time Series Index Time real number Ratio FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION GENERAL INFORMATION Primary Concepts Data Type Unit of Item Daily Date Range Availability Monthly AND UTILITY USAGE AVAILABILITY DATABASE Database Formats Product Types ts_print Daily Usage Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item

INDEX TOTAL VALUE INDEX TOTAL value of the market is the total Value Total Index non-ADR in $1000s, universe, securities in the index outstanding amounts on with valid prices and shares See the Index Date. Calendar Trading the selected including information section for Methodologies inclusion for and universe frequency rebalancing specific indexes. INDEX TOTAL RETURN TOTAL INDEX all including return, is the Return Total Index in the Returns” See “Index an index. of distributions, index CRSP details on how section for Calculations is only Return Total Index calculated. are returns indexes. CRSP-generated for available indhdr induniv n/a indhdr_row indhdr induniv CRSPAccess IND n/a n/a /hr list_arr() list(,) subind 1925 1925 list_arr[ ] list[ ][ ] subind Index Header structure Set (screen markets) n/a n/a n/a FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item ts_print Daily Usage ts_print ts_print Monthly Usage ts_print ind_print Option(s)

INDEX SUBSET SCREENING STRUCTURE INDEX SUBSET the Partition like Structure, Screening Subset Index of fields is a structure Structure, Screening Subset a database using various screening restrict used to Type Subset Universal fields are: variables. The screen in Restriction, Allowed Date Trading Code, First Codes Exchange Valid End Date, Restriction Index in Groups Market NASDAQ Valid in Universe, Securities in Universe, When-Issued Valid Universe, and Incorporation of Securities in Universe, Valid Screening Subset Index Structure. Code Screen Share the securities used restrict used to are screens Structure in the actual index.

54 CHAPTER 2: Data Definitions Stock and Index Data Description Guide Index Header integer number Id 1925 1925 CRSPAccess IND permno mpermno /hh, /hr indhdr_row indhdr indno indhdr n/a indno CRSPAccess IND 1925 1925 Index Header integer number Id DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION GENERAL INFORMATION Primary Concepts Data Type Unit of Item AVAILABILITY RANGE DATE Daily Monthly AND UTILITY USAGE AVAILABILITY DATABASE Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) C USAGE Object Array Element FORTRAN-95 USAGE or Subtype Type Member and/or Array Element Database Formats Product Types Daily Monthly Primary Concepts Data Type Unit of Item INDNO OF ASSOCIATED INDEX INDNO OF ASSOCIATED is the identifier Index INDNO of Associated of an breakpoint supply rebalancing used to index associated rules to assignments or buy/sell used for information dataportfolio if external are zero to It is set this index. used. INDNO permanent identifier the unique indicates INDNO every CRSP to by assigned supported All index. is no identifiersINDNO 7-digit integers. There are sets numbers. meaning in the The indexes inherent database sorted this field. are See by in a CRSPAccess of CRSP Indexes. list a full for page page 109 Index Time Series Index Time real number Ratio 1925 1925 CRSPAccess STK, IND cap/1 mcap/1 /ur usdval_ts[ ] usdval[ ][ ] n/a usdval_ts usdval(, ) n/a mcap/0 /tv totval_ts[ ] totval[ ][ ] n/a totval_ts totval(, ) n/a GENERAL INFORMATION GENERAL INFORMATION Primary Concepts Data Type Unit of Item RANGE AVAILABILITY DATE Daily Monthly AND UTILITY USAGE AVAILABILITY DATABASE Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) C USAGE Object Array Element FORTRAN-95 USAGE or Subtype Type Member and/or Array Element ts_print Monthly Usage Monthly Usage ts_print ind_print Option(s) ind_print C USAGE Object Array Element FORTRAN-95 USAGE or Subtype Type Member and/or Array Element INDEX USED VALUE value, market is the beginning total Used Value Index on used in an index of all securities that are in $1000s, value- In a CRSP Date. Calendar Trading the selected of is the weight Used Value the Index index weighted the index. total the beginning indexes CRSP market standard For from using prices and shares value is calculated market a security In these indexes trading day. the previous prices and shares have be an ADR and must cannot See “Index trading dates. and previous on the current see the in the Calculations Section, and Returns” Section. Methodologies Index

55 CHAPTER 2: Data Definitions Stock and Index Data Description Guide list_arr() list_arr(,) enddt list_arr[ ] list[ ][ ] enddt CRSPAccess STK n/a CRSPAccess IND n/a n/a /li 1925 1925 1925 1925 Name History Array integer number YYYYMMDD date Index List History Array Index List integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Primary Data Type Unit of Item LAST DATE OF NAME LAST DATE of a date effective is the last of Name Date Last the date to security’s name history It is set structure. name of the next Date Effective the Name preceding Data, or the the maximum of End of Stock structure, name structure. of the last Date Delisting be found can date given on any The name information is the target date where finding the name structure by of Name. Date Last and Date Effective Name between select any for name structure only one is always There and the Date Effective the first Name between date Date. Delisting stkhdr n/a hrating header_row header hrating CRSPAccess STK n/a n/a /hn indhdr assign asperm

indhdr_row indhdr assign.asperm Header Identification and Summary Data real number % rate n/a n/a /hr FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item ts_print Daily Usage ts_print ts_print Monthly Usage ts_print ind_print Option(s)

L. IN LIST INCLUDED LAST DATE in date, is the integer Included in a List Date Last an issue is date of the last YYYYMMDD format, definedincluded in a portfolio, as a time-dependent of members. list INTEREST RATE OR STRIKE PRICE - HEADER INTEREST RATE - Header is the guaranteed Price of Strike Rate Interest preferred in percentages, for rate, annualized interest of warrant a or debt right, hybrid. rate or effective stock known. applicable or not 0 if not to It is set

56 CHAPTER 2: Data Definitions Stock and Index Data Description Guide rebal_arr() rebal(,) maxcnt rebal_arr[ ] rebal[ ][ ] maxcnt IND n/a n/a /rs#

CRSP_TIMESERIES, CRSP_CAL , CRSP_ARRAY n/a maxarr CRSPAccess STK, IND n/a n/a n/a 1925 1925 Base CRSPAccess Data Structures, Time Data Structures, Time Base CRSPAccess Series Objects, Event Array Objects, Calendar Objects integer number Metadata FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item Product Types Product Daily Usage ts_print Usage ts_print Monthly ind_print Option(s)

MAXIMUM NUMBER OF ARRAY ELEMENTS OF ARRAY MAXIMUM NUMBER Elements is the maximum of Array Maximum Number series or in a time number of time periods available or the maximum number of observationscalendar, in array. an event CRSPAccess low mlow Low 0 names_arr names() nameenddt 1925 1925 CRSPAccess STK names_arr names[ ] nameenddt Index Rebalancing History Arrays integer number Count 1925 1925 n/a , /an1 /n , /xn4 Daily — Lowest daily closing price within Daily — Lowest DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE C USAGE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Database Formats Daily ITEMID Monthly ITEMID Header SUBNO Type or Subtype Type Member and/or Array Element Daily Monthly Database Formats Product Types Object Array Element Primary Concepts Data Type Unit of Item Daily Monthly ts_print Monthly Usage ts_print stk_print Option(s) stk_print

M. MAXIMUM COUNT DURING PERIOD count the largest is Maximum Count During Period point within an index at any of issues in a portfolio period. rebalancing LOWEST CLOSE LOWEST Category: Prices Data Floating Point Type: Description: the selected output calendar. output calendar. the selected the month end closing price within Monthly — Lowest use with quarterly to Appropriate calendar. selected and annual output calendars.

57 CHAPTER 2: Data Definitions Stock and Index Data Description Guide ”. NAICS was was ”. NAICS 1 cumparet mcumparet Cumparet PORTID CRSPAccess STK 1925 1925 NAICS codes were adopted adopted codes were NAICS North American Industry Classification TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly designed to encompass all fields of economic activities, encompass designed to establishment Each and non-producing. producing one industryis assigned to its primary that matches the US, Canada, by developed The codes were activity. a business activity standard provide to and Mexico facilitate North economic America, to throughout analyses of North America’s economies. N. INDUSTRY AMERICAN NORTH SYSTEM CODE, END (NAICS) CLASSIFICATION OF PERIOD Category: History Name Data String Type: Description: industry 6-character System, the end of period code, at reported. Information: Extended the Office by of in 1999, and implemented in 1997 the U.S. replace (OMB), to Management and Budget The Classification Industrial (SIC) system. Standard establishments with group code is used to 6-character or services.similar products exceptions are While there the definition,to an establishment “is generally a economic activity location at which single, physical etc.) farm, factory, occurs (e.g., store, MEMBER PORTFOLIO RETURNS WITHOUT WITHOUT RETURNS PORTFOLIO MEMBER CUMULATIVE DIVIDENDS, Type a Portfolio to Category: Related Returns DataPoint Floating Type: only, price appreciation Compounded Description: a with be associated a user selects to that of a portfolio time period in the Each of securities. security or group beginning since the return series contains a cumulative period. cumpiret mcumpiret Cumpiret PORTID cumptret mcumptret Cumptret PORTID CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Compounded total returns of a portfolio of a portfolio total returns Compounded TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Product Types Database Formats Monthly Daily Daily Monthly MEMBER PORTFOLIO RETURNS ON INCOME, RETURNS ON INCOME, MEMBER PORTFOLIO CUMULATIVE Type a Portfolio to Category: Related Returns Data Floating Point Type: on income only, return, Compounded Description: a with be associated a user selects to that of a portfolio time in the period of securities. Each security or group beginning since the return series contains a cumulative period. MEMBER PORTFOLIO RETURNS, RETURNS, PORTFOLIO MEMBER CUMULATIVE Type a Portfolio to Category: Related Returns DataPoint Floating Type: Description: security or with a be associated to that a user selects in the time series period of securities. Each group since the beginning contains return a cumulative period.

58 CHAPTER 2: Data Definitions Stock and Index Data Description Guide snaics msnaics Naicsl 2 snaics msnaics Naicse 1 20040610 20040610 CRSPAccess STK CRSPAccess STK Header Identification and Summary Data character Code 20010824 20010824 20010824 The most recently known North known recently The most TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly Monthly NAICS - HEADER NAICS

North American Industry - Classification System companies group code used to Header is an 6-character or services.with similar products It contains the code in the database. NAICS current See North most American Industry (NAICS) Classification System additional detail this field codes. N.B. on NAICS for includes data starting on 20040610. NAICS, MOSTNAICS, RECENT Category: History Name Data String Type: Description: American Industry 6-character Classification System, industry code. snaics msnaics Naics 0 CRSPAccess STK 20010824 20010824 20010824 North American Industry Classification TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Daily Monthly NAICS, END OF PREVIOUS PERIOD NAICS, Category: History Name Data String Type: Description: industry 6-character System, code, at the end of period the period reported. preceding NAICS is a hierarchical code, containing code, six to up is a hierarchical NAICS fields, sectors,designate NAICS The firstdigits: two field, the third activity, of economic general categories field the fourth further defines the sector, sub-sector, is the industry the fifth group, field NAICS is the the national the sixth field and industry, represents industry that in the 6th digit generally indicates (a zero industrythe NAICS the country and industry the are and Egg Poultry represents 1123 example, same). For Egg Production, Chick represents 11231 Production, Egg Production. Chicken represents and 112310 CRSP in the securities for available codes are NAICS Unknown onwards. 2001 24, database August from on information additional blank. codes are For NAICS Office of Executive the to codes, please refer NAICS Office President the most of Management and Budget’s North American Industrycurrent Classification System at website US Census Bureau’s the manual, or visit http://www.census.gov/epcd/www/naics.html. database, removed CRSP 2009 stock December In the Mergent, source, our by Codes provided NAICS Databases with them and replaced our Stock from Data Corporation. Interactive Codes from NAICS beginning NAICS for CRSP’s only source was Mergent Codes begin 20040610. IDCI NAICS The 20010824.

59 CHAPTER 2: Data Definitions Stock and Index Data Description Guide nsdinx mnsdinx Nsdinx 0 compno mcompno Compno COMPNO 0 CRSPAccess STK CRSPAccess STK 198211 198211 1925 1925 Integer code indicating the issue’s code indicating Integer Unique integer assigned by NASDAQ to to NASDAQ by assigned integer Unique TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Daily Header Monthly Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly NASDAQ INDEX CODE, END OF PERIOD NASDAQ Category: Nasdaq Floating Point Data Double Precision Type: Description: business classification internal NASD’s within period at the end of each categories, description April, between available reported. This field is not 2000. and February, 1998 NASDAQ COMPANY NUMBER COMPANY NASDAQ Category: Identification Point Floating Data Double Precision Type: Description: security on the NASDAQ with a listed company each exchange. names_arr names() namedt names_arr names[ ] namedt CRSPAccess STK n/a n/a /n , /xn stkhdr n/a hnaics 1925 1925 header_row header hnaics Name History Array integer number YYYYMMDD date CRSPAccess STK n/a /hn FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item Database Formats Database Product Types Usage ts_print Daily Usage ts_print Monthly stk_print Option(s)

NAME EFFECTIVE DATE NAME is the starting Date of Effective of a set date Name in YYYYMMDD stored security name information, Symbol, Ticker Name, Company the CUSIP, If format. CRSP adds a new name Code, or s changes, Exchange the the date and the change that records structure is the Date Effective Name effective. became change with a specific associated name structure. date

60 CHAPTER 2: Data Definitions Stock and Index Data Description Guide CRSPAccess 19821101 198211 stkhdr n/a issuno header_row header issuno CRSPAccess STK n/a n/a /hrl , /hn /hh, /hr, 198211 198211 Header Identification and Summary Data Header Identification and Summary integer number Id Number of registered market makers makers market of registered Number FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Database Formats Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item

differentiates securities issued by the same company. same company. the by issued securities differentiates Issue the NASDAQ is unknown, issue number If the MKT If an NYSE/NYSE zero. to is set Number number this traded on NASDAQ, ever security was when it was number assigned issue the last to is set in Number Issue The NASDAQ trading NASDAQ. on assigns if NASDAQ change the CRSP Data File may CRSP considers an issue be a number to a new to issue. existing continuation of an

NASDAQ MARKET MAKERS, END OF PERIOD NASDAQ Category: Nasdaq Floating Point Data Double Precision Type: Description: at the end of the an issue trading on NASDAQ, for no period reported. This contains are a 0 if there in falls at that time, or if the date makers market active less Number Company a NASD for December of 1982 or in February of 1986. than 1025, nsdinx mnsdinx Nsdinxl 2 nsdinx mnsdinx Nsdinxe 1 CRSPAccess STK CRSPAccess STK 198211 198211 198211 198211 . It is this issue-specific identifier which . It is this issue-specific identifier which SM Integer code indicating the issue’s most the issue’s most code indicating Integer categories. Integer code indicating the issue’s code indicating Integer end of the period at the categories, TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly NASDAQ ISSUE NUMBER NASDAQ assigned integer is a unique Issue Number NASDAQ of Securities Dealers Association the National by security on The NASDAQ listed each to (NASD) Market Stock recent classification within NASD’s internal business classification internal within NASD’s recent Description: NASDAQ INDEX CODE, MOST RECENT NASDAQ Category: Nasdaq Floating Point Data Double Precision Type: Description: NASDAQ INDEX CODE, END OF PREVIOUS PREVIOUS OF CODE, END INDEX NASDAQ PERIOD Category: Nasdaq Point Floating Data Double Precision Type: Description: business classification internal within NASD’s Description: the period reported. preceding

61 CHAPTER 2: Data Definitions Stock and Index Data Description Guide nmsind mnmsind Nmsind 0 CRSPAccess STK 19920615 199206 One-digit integer code indicating an code indicating integer One-digit DESCRIPTION Unknown or unavailable The NASDAQ SmallCap Market before June 15, 1992 The NASDAQ National Market The NASDAQ SmallCap Market after June 15, 1992 Capital Market (formerly SmallCap) after July 1, 2006 Global Market (formerly National Market) after July 1, 2006 Global Select Market - new subset of Global Market after July 1, 2006 Global Market, CRSP code 5 Global Market, Global Select Market, CRSP code 6. CRSP Global Select Market,

ΠΠSmall-Cap - renamed Capital Market, CRSP code 4 CapitalSmall-Cap - renamed Market, National Market - split into two: - split into Market National

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE CODE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly 0 1 2 3 4 5 6 NASDAQ NATIONAL MARKET INDICATOR, INDICATOR, MARKET NATIONAL NASDAQ OF PERIOD END Category: Nasdaq Point Floating Data Double Precision Type: Description: tier Market issue’s membership within the NASDAQ system. Information Extended transaction data not was 1992, June 15, Prior to SmallCap Securities. As of June NASDAQ for available transaction data available. became 1992 15, in initiative a 3-tier market introduced NASDAQ National the CRSP NASDAQ July 2006. As a result, was coding scheme (NMSIND) Indicator Market Specifically: changed. ƒ ƒ To achieve expected results, the subset functionality functionality the subset results, expected achieve To in the ts_print interface reflect is labeled to these to 2006, SmallCap is renamed After July 1, changes. Global to is renamed Market National Capital Market. is of Global Market In addition, a subset Market. identified Select Market. as the Global mmcnt mmmcnt Mmcntl 2 mmcnt mmmcnt Mmcnte 1 CRSPAccess STK CRSPAccess STK mmcnt mmmcnt Mmcnt 0 19821101 198211 19821101 198211 STK Number of registered market makers makers market of registered Number Number of registered market makers for for makers market registered of Number TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Daily Monthly Product Types Product NASDAQ MARKET MAKERS, MOST RECENT NASDAQ Category: Nasdaq Floating Point Data Double Precision Type: Description: recently the most an issue trading on NASDAQ, for value. known NASDAQ MARKET MAKERS, END OF MARKET NASDAQ PREVIOUS PERIOD Category: Nasdaq Floating Point Data Double Precision Type: Description: of the period at the end an issue trading on NASDAQ, the period reported. preceding

62 CHAPTER 2: Data Definitions Stock and Index Data Description Guide numtrd_ts numtrd( ) numtrd numtrd_ps numtrd[ ] numtrd CRSPAccess STK numtrd/0 n/a /pn 19821101 n/a Supplemental NASDAQ Time Series Supplemental NASDAQ Time integer number Count One-digit integer describing the trading One-digit integer DESCRIPTION Unknown or not applicable Active FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly 0 1 Primary Concepts Data Type Unit of Item

and all late trades are included in the count. If the If the in the count. included tradesare late and all –99. to the field of tradesnumber set is is unavailable, trading issues for only of trades is available Number is reported It for MarketSM. Stock on The NASDAQ Market National on The NASDAQ listed all securities securities and all NASDAQ 1982, 1, since November NASDAQ of sources, lack to Due 1992. since June 15, NASDAQ 15 data missing for are Trades of Number and all 1982, in December, securities Market National securities in February, Market National The NASDAQ 1986. available. Monthly: Not NASDAQ STATUS CODE, END OF PERIOD STATUS NASDAQ Category: Nasdaq Floating Point Data Double Precision Type: Description: at the end of on NASDAQ, status of an issue listed period reported. each nmsind mnmsind Nmsindl 2 nmsind mnmsind Nmsinde 1 CRSPAccess STK CRSPAccess STK 19920615 199206 19920615 199206 One-digit integer code indicating an code indicating One-digit integer One-digit integer code indicating an code indicating integer One-digit TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly NASDAQ NUMBER OF TRADES NASDAQ contains the of Trades Number Daily: NASDAQ Market Stock number of trades made on the NASDAQ are all exchanges on Trades a security. for date each network pricing composite NASDAQ’s to connected issue’s membership within the NASDAQ Market tier Market issue’s membership within the NASDAQ value. known recently most system, NASDAQ NATIONAL MARKET INDICATOR, MARKET INDICATOR, NATIONAL NASDAQ MOST RECENT Category: Nasdaq Floating Point Data Double Precision Type: Description: NASDAQ NATIONAL MARKET INDICATOR, INDICATOR, MARKET NATIONAL NASDAQ PERIOD OF PREVIOUS END Category: Nasdaq Point Floating Data Double Precision Type: Description: tier Market issue’s membership within the NASDAQ period. of the previous at the end system,

63 CHAPTER 2: Data Definitions Stock and Index Data Description Guide nasdin_arr nasdin() trtsdt nasdin_arr nasdin[ ] trtsdt CRSPAccess STK n/a n/a /q trtscd mtrtscd Trtscdl 2 19821101 198211 CRSPAccess STK NASDAQ Information Array integer number YYYYMMDD date 19821101 198211 One-digit integer describing the most most describing the integer One-digit FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY RANGE DATE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly

NASDAQ STATUS DATE STATUS NASDAQ begin integer Status is the effective Date NASDAQ a NASDAQ for in YYYYMMDD format, date, on the a security listed for structure information Market. Stock NASDAQ NASDAQ STATUS CODE, MOSTCODE, RECENT STATUS NASDAQ Category: Nasdaq Point Floating Data Double Precision Type: Description: on trading status an issue listed of known recently NASDAQ. trtscd mtrtscd Trtscde 1 trtscd mtrtscd Trtscd 0 CRSPAccess STK CRSPAccess STK 19821101 198211 19821101 198211 One-digit integer describing the trading describing One-digit integer DESCRIPTION Trading with only one market maker with only Trading Suspended Inactive Delisted TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE CODE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly 2 3 4 5 NASDAQ STATUS CODE, END OF PREVIOUS STATUS NASDAQ PERIOD Category: Nasdaq Floating Point Data Double Precision Type: Description: of the at the end on NASDAQ, status an issue listed of period reported. each period preceding

64 CHAPTER 2: Data Definitions Stock and Index Data Description Guide delist_arr delist() nwcomp delist_arr delist[ ] nwcomp CRSPAccess STK CRSPAccess STK n/a n/a /de 1925 1925 1925 1925 Delisting History Array integer number Id integer number integer Id FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Data Type Item Unit of

NEW PERMNO security a new to pointer integer PERMNO is an New of a assigned when an issue ceases trading as a result stock receive shareholders where or exchange merger PERMNO is The New company. in the acquiring the PERMNO of the primary from received security acts as a forward It pointer, company. the acquiring trace the ongoing history the user to allowing of identify surviving may PERMNO New companies. File. CRSP Stock on a different an issue that exists primary is no new if there zero to security It is set does or the delisting applicable, the issue is unknown, The distribution or exchange. a merger represent not of all types history contain record arrays an itemized or merger. in an exchange shareholders to of payments associated companies PERMNO for See Acquiring with individual payments. nasdin_arr nasdin() trtsenddt nasdin_arr nasdin[ ] trtsenddt CRSPAccess STK n/a n/a /q 19821101 198211 Delisting History Array NASDAQ Information Array integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Monthly Daily Primary Concepts Primary Concepts Data Type Unit of Item

NEW PERMCO a company link to integer PERMCO is an New of assigned when an issue ceases trading as a result receive when shareholders or exchange a merger If company. the acquiring from some payment PERMCO is the New PERMNO is nonzero, New PERMNO is zero, If New PERMCO of that security. if the shareholders be nonzero PERMCO can still New known company an acquiring from a payment receive primarily in the not are but the payments CRSP, to if the PERMCO is zero New of the company. stock does CRSP or if the delisting to is unknown company See Acquiring or exchange. a merger represent not with individual associated companies PERMCO for payments. NASDAQ TRAITS END DATE NASDAQ in date, last is the Date End Traits NASDAQ in a information which for format, YYYYMMDD a for is valid structure array information NASDAQ the next before trading date the last to is set It security. 99999999 in the or to event, information NASDAQ structure. last

65 CHAPTER 2: Data Definitions Stock and Index Data Description Guide n/a n/a listtypes ind n/a listtypes CRSPAccess CRSPAccess IND n/a n/a n/a 1925 1925 1925 1925 Base CRSPAccess Data Structures, Base CRSPAccess Series Index Time integer number Count Index List History Array integer number Count FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item

NUMBER OF INDEX TYPES or indexes is the number of Types of Index Number an index INDNOs in for time series available portfolio is always Types of Index the Number In a series set, set. is always Types of Index the Number set, In a group 1. time all available data for all INDNOs have Not 17. time one of the available no data are for series. If there Data of Data and End of Valid series, Begin of Valid zero. to set that time series are NUMBER OF INDEX LIST INDEX OF NUMBER TYPES of lists the number is Types List of Index Number one to It is set set. in an index INDNOs for available no are there If sets. series index and group in index Elements for Array of Available Number a list, data for zero. to is set the list crsp_array n/a num CRSP_ARRAY n/a num CRSPAccess STK, IND n/a n/a n/a delist_arr delist() nwperm 1925 1925 delist_arr delist[ ] nwperm Base CRSPAccess Data Structures, Base CRSPAccess Event Array Objects integer number Count n/a n/a /de FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item ts_print Daily Usage ts_print ts_print Monthly Usage ts_print stk_print Option(s)

NUMBER OF ARRAY ELEMENTS NUMBER OF ARRAY event Elements is the count of actual Array of Number the object for in a CRSP event available structures entity. current

66 CHAPTER 2: Data Definitions Stock and Index Data Description Guide n/a n/a porttypes n/a n/a porttypes CRSPAccess STK* n/a n/a n/a 1925

Rebalancing History Arrays integer number Count Portfolio Statistics and Assignment Portfolio Statistics and Assignment Arrays, Shares Outstanding Observations Array integer number Count FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item

NUMBER OF REBALANCING TYPES is the number of Types of Rebalancing Number INDNOs in for available arrays rebalancing portfolio of Rebalancing Number In a series set, set. an index of Number set, In a group 1. is always Types all INDNOs Not 10. is always Types Rebalancing If portfolios. all available data rebalancing for have one of the available data no rebalancing for are there Elements Series of Array series, Number rebalancing zero. to is set that array for NUMBER OF PORTFOLIO TYPES PORTFOLIO OF NUMBER of number is the maximum Types of Portfolio Number in a stock available methodologies portfolio different in daily databases 9 to It is set and 8 in monthly set. time a portfolio no data databases. are for If there Data are Data of Valid and End of Valid series, Begin zero. to set both crsp_cal n/a ndays CRSP_CAL n/a ndays CRSPAccess STK, IND n/a n/a n/a n/a n/a indtypes 1925 1925 n/a n/a indtypes Base CRSPAccess Data Structures, Base CRSPAccess Calendar Objects integer number Range IND n/a n/a n/a FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item Product Types Product ts_print Daily Usage ts_print Usage ts_print Monthly ind_print Option(s) NUMBER OF PERIODS IN CALENDAR NUMBER OF PERIODS number ofCalendar is the in of Periods Number calendar last is the This periods in a CRSP calendar. calendar or time series data. valid period with In daily, calendar period calendars, last the and weekly monthly, prices. available with trading date last the represents end the to extended calendarsAnnual and quarterly are of prices. after day calendar year last the next of the

67 CHAPTER 2: Data Definitions Stock and Index Data Description Guide OBJECT TYPE CODE CRSP_TIMESERIES CRSP_ARRAY CRSP_TIMESERIES CRSP_ARRAY CRSP_ROW CSRP_CAL n/a objtype crsp_ts crsp_array crsp_row crsp_cal objtype CRSPAccess STK, IND n/a n/a n/a 1925 1925 1925 Base CRSPAccess Data Structures, Time Data Structures, Time Base CRSPAccess Series Objects, Event Array Objects, Header Objects, Calendar Objects integer number Code Auxiliary Time Series Data Auxiliary Time real number USD 1 2 3 5 C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION STRUCTURE NAME Object Array Element FORTRAN-95 USAGE or Subtype Type Member and/or Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Daily Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item CRSP_CAL CRSP_TIMESERIES CRSP_ARRAY CRSP_ROW OPEN PRICE securities traded for available Daily open prices are exchanges and NASDAQ MKT, NYSE on NYSE, the first trade represent They 1992. beginning June 15, daily open additional NYSE, opens. For after market and June December 1925 between available prices are securities Arca for available are Open prices 1962. 8, 2006. beginning March OBJECT TYPEOBJECT CODE code defining is an integer Code the Object Type Codes are Object Type datatype of object structure. as follows: assigned Variable Specific Version of C Usage Specific Variable does not have Objects. FORTRAN-95 generic object arrays. n/a Array Variable-specific CRSP_TIMESERIES CRSP_ARRAY CRSP_TIMESERIES CRSP_ARRAY CRSP_ROW CRSP_CAL n/a arr n/a n/a rebaltypes CRSPAccess STK, IND n/a n/a n/a n/a n/a rebaltypes 1925 1925 CRSPAccess IND n/a n/a n/a Base CRSPAccess Data Structures, Time Data Structures, Time Base CRSPAccess Series Objects, Event Array Objects, Header Objects generic pointer Pointer 1925 FORTRAN-95 USAGE C USAGE FORTRAN-95 USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE C USAGE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Type or Subtype Type Member and/or Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Object Array Element Daily Monthly Database Formats Product Types Usage ts_print Daily Usage ts_print Monthly ind_print Option(s) Primary Concepts Data Type Unit of Item Monthly O. OBJECT ARRAY store used to identifies the generic array Object Array object or header datatime series, event, in CRSPAccess data structures.

68 CHAPTER 2: Data Definitions Stock and Index Data Description Guide dists_arr dists( ) paydt dists_arr dists[ ] paydt CRSPAccess STK n/a n/a /di 1925 1925 Distribution Event Array integer number YYYYMMDD date indhdr partuniv n/a FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Type or Subtype or Type and/or Array Member Element PAYMENT DATE PAYMENT in YYYYMMDD date is the integer Date Payment mailed are dividend checks upon which format if zero to made. It is set are distributions or other liquidation or total exchange a merger, For unavailable. is, by Date Payment disappeared the company where or price of the last the date to equal set convention, Date. Delisting to equal is set Date Payment the rights offerings For in “Moody’s Dividend Record” found date, the record convention. by after delisting payments of liquidating Dates Payment 0 when to set and are reported when available are unavailable. indhdr_row indhdr partuniv CRSPAccess IND n/a n/a /hr openprc_ts openprc[ ] openprc_ts openprc( ) 1925 1925 CRSPAccess STK openprc/0 n/a /po Index Header structure Set (header information) 1925 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE C USAGE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE GENERAL INFORMATION Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Object or Subtype Type Array Element Member and/or Array Element Monthly Daily Database Formats Product Types Usage ts_print Daily Usage ts_print Monthly stk_print Option(s) Primary Concepts Data Type Unit of Item Monthly P. STRUCTURE SUBSET SCREENING PARTITION the Index like Structure, Screening Subset Partition of fields used to is a set Structure, Screening Subset a database variables. using various screening restrict Code, First Type Subset Universal fields are The screen Restriction Index in Restriction, Allowed Date Trading Valid Codes in Universe, Exchange Valid End Date, When- Valid in Universe, Groups Market NASDAQ Incorporation Valid Issued Securities in Universe, Code Screen and Share of Securities in Universe, screens Structure Screening Subset Partition Structure. the securities used in defining restrict used to are partition of an index. breakpoints

69 CHAPTER 2: Data Definitions Stock and Index Data Description Guide

permno mpermno PERMNO 0 CRSPAccess STK 1925 1925 Integer portfolio assignment of a security portfolio Integer A unique permanent identification permanent A unique TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly PORTFOLIO ASSIGNMENT PORTFOLIO Category: Other Floating Point Data Double Precision Type: Description: type. the portfolio for Information Extended the security during the If no assignment is made for zero. to is set Assignment Number period, Portfolio based on the index assignment rules are Portfolio of a portfolio type. See “CRSP Index methodology details. The time period of for Methodologies” is the time the security Assignment Number Portfolio usually based on the but is is held in the portfolio, period. in a previous statistic PERMNO/INDNO Category: Identification Point Floating Data Double Precision Type: Description: security. each CRSP to by number assigned Information Extended Symbol, and Company Ticker the CUSIP, Unlike during an changes the PERMNO neither Name, after nor is it reassigned an issue’s trading history, a security track issue ceases trading. The user may trading history its entire in CRSP’s filesthrough with or capital of name structure one PERMNO, regardless Data by sorted are and indexed The Stock changes. for 5-digit integer a this field. PERMNO is currently all common securities in the CRSP files. The range 999989 is reserved to for and 100 -100 -999989 to CRSP PERMNO assignments. ind_list_arr( ) list(,) permno list_arr[ ] list[ ][ ] permno permco mpermco PERMCO 0 CRSPAccess IND n/a n/a n/a CRSPAccess STK 1925 1925 1925 1925 Index List History Array integer number Id A unique permanent company permanent company A unique FORTRAN-95 USAGE C USAGE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item PERMCO/INDCO Category: Identification Floating Point Data Double Precision Type: Description: all identification CRSP to number assigned by with issues on a CRSP File. This number companies a company all securities issued by is permanent for of name changes. regardless PERMANENT NUMBER OF SECURITIES IN IN SECURITIES OF NUMBER PERMANENT LISTINDEX is the List Securities in Index of Number Permanent an to that is assigned of a security CRSP PERMNO Array. specifiedindex List Index with an

70 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr n/a portnum indhdr_row indhdr indhdr_row indhdr portnum CRSPAccess IND n/a n/a /hr CRSPAccess IND n/a n/a /hh , /hr 1925 1925 1925 1925 Index Header integer number Id Index Header integer number Id FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item

Number. This index is the nth series within the group the group within nth series is the index This Number. stand-alone if it is a series. zero or index, PORTFOLIO NUMBER IN ASSOCIATED INDEX NUMBER IN ASSOCIATED PORTFOLIO is the portfolio Index in Associated Number Portfolio defined in group index number within an associated index The associated Index. INDNO of Associated for is used that portfolio for information breakpoint if no outside rebalancing zero to It is set this index. build this index. to is used information indhdr rules n/a indhdr_row indhdr rules CRSPAccess IND n/a n/a /hr port mport Port PORTID 1925 1925 CRSPAccess STK Index Header structure Set (portfolio building rules) 1925 1925 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly

PORTFOLIO NUMBER IF SUBSET SERIES PORTFOLIO Series is the portfolio if Subset Number Portfolio this index which to group number within an index Primaryseries belongs. The Index Link variable Identification Group Index contains the Permanent PORTFOLIO BUILDING RULES STRUCTURE BUILDING RULES PORTFOLIO of is a group Structure Building Rules Portfolio fields portfolios. build index describing rules used to contains fields Structure Rules Building Portfolio for Code Function Code, Index Type Basic Rule Index Index Sell Rules, Code for Function Index Buy Rules, Generating Statistics, and Index Code for Function Code. Statistic Grouping

71 CHAPTER 2: Data Definitions Stock and Index Data Description Guide adjprc madjprc Adjprcprev 1 adjprc madjprc Adjprc 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly unavailable, the number in the price field is replaced field in the price number the is replaced unavailable, dash). a leading by (marked average a bid/ask with PRICE ADJUSTED, LAST AVAILABLE LAST AVAILABLE PRICE ADJUSTED, NONMISSING Category: Prices Data Floating Point Type: Description: non-missing daily close or available Daily — Last Bid/ask distributions. for adjusted bid/ask average, Bid/ask average available. is used if price is not average a leading dash -. identified by non-missing closing price of a Monthly — The last adjusted of the month, trading day the last security for the number in the If unavailable, distributions. for (marked a bid/ask average with price field is replaced a leading dash). by stat mstat Stat PORTID CRSPAccess STK indhdr assign asport 1925 1925 assign.asport assign.asport

Statistic calculated for the security based the for Statistic calculated TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE FORTRAN-95 USAGE FORTRAN-95 DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Type or Subtype Type Member and/or Array Member and/or Element Daily Monthly Element

PRICE ADJUSTED, END OF PERIOD PRICE ADJUSTED, Category: Prices Data Floating Point Type: Description: distributions. for Daily — Daily close, adjusted available. if price not with bid/ask average Replaced identified a leading dash -. by Bid/ask average the last Monthly — The closing price of a security for If distributions. for of the month, adjusted trading day PORTFOLIO STATISTIC PORTFOLIO Category: Other Data Floating Point Type: Description: type. portfolio the selected on the rules for Information Extended a missing value dependent If no statistic is calculated, Missing market statistic is set. on the portfolio and missing beta or zero, to capitalizations set are –99.0. to set are deviations standard based on the methodology Statistic calculations are the current is for type. The statistic of the portfolio the portfolio period, and usually determines period. assignment of the next

72 CHAPTER 2: Data Definitions Stock and Index Data Description Guide altprcdt_ts altprcdt_ts() n/a numtrd_ts numtrd[ ] n/a CRSPAccess STK n/a n/a /pn n/a 196207 integer number integer date YYYYMMDD If the closing price is not available for for available If the closing price is not FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AND UTILITY AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Data Type Item Unit of PRICE, END OF PERIOD Category: Prices Data Floating Point Type: Description: period, the number in the price field is given any have Bid/ask averages average. with a bid/ask replaced wrongly of them. These do not dashes placed in front reflect prices, but serve distinguish to negative simply actual closing prices. If neither from bid/ask averages Price or Bid/Ask is available, price nor bid/ask average zero. to set is Average is included in the If the security of a company then the closing price pricing network, composite is the on a trading date on the exchange while listed on on the exchange that day trading price for last highs, lows, traded. Similarly, the security last which on exchanges include trades on all U.S. and volumes if a stock example, that security traded. For which Stock (Pacific and the PACX the NYSE trades on both the trade occurs and the last on the PACX, Exchange), closing price the represents closing price on that day the NYSE. not on the PACX, from securities come directly NASDAQ Price data for trades Automated with the close of the day. the NASD reflectedand after not trading hour are in the close, or ask, bid, included in the number but are high, low, altprc_ts altprc_ts() n/a altprc_ts altprc[ ] n/a CRSPAccess STK n/a n/a /po n/a 196207 Auxiliary Time Series Data Auxiliary Time Auxiliary Time Series Data Auxiliary Time real number USD FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts PRICE ALTERNATE DATE PRICE ALTERNATE contains Date Monthly: of Price Alternate the date daily data) from (derived the monthly Price Alternate then If this price is nonzero, in YYYYMMDD format. contains Date of that price. Price Alternate the date no non-missing prices in the month, then are If there are and Price or Bid/Ask Average Date Price Alternate begin on the last issues that do not New zero. to set the first to price and set of a month are trading date in the month. available date PRICE ALTERNATE PRICE monthly price is an alternate Monthly: Price Alternate contains Alternate daily prices. Price the from derived of this the month. The date price in non-missing last field. Date Price Alternate in the Price price is stored in available are if no prices zero to is set Alternate begin on the last issues that do not the month. New the first of price and date of a month have trading date the first of the Price Alternate price at the beginning time series arrays. Date and Price Alternate only on monthly databases is available Price Alternate when daily dataduring time periods available. are

73 CHAPTER 2: Data Definitions Stock and Index Data Description Guide primexch mprimexch Primexch 0 prc mprc Prcprev 1 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Character code indicating the exchange the exchange code indicating Character Daily — The last non-missing daily non-missing last Daily — The ts_print/TsQuery Usage ts_print/TsQuery TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly PRIMARY EXCHANGE, END OF PERIOD EXCHANGE, PRIMARY Category: History Name Data Character Type: Description: the security has its primaryon which end at the listing MKT, A = NYSE of the period reported. (N = NYSE, B = Bats, I= IEX, X = Other) R = Arca, Q = NASDAQ, PRICE, LAST AVAILABLE NONMISSING LASTPRICE, AVAILABLE Category: Prices DataPoint Floating Type: Description: If price is security. of a or bid/ask average closing price in the price field the number replaced is unavailable, a leading dash). by (marked with a bid/ask average non-missing closing price of Monthly — The last of the month. If trading day last the a security for in the price field the number replaced is unavailable, a leading dash). by (marked with a bid/ask average prc mprc Prc 0 CRSPAccess STK 1925 1925 TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Monthly Daily of trades and volumes. There is no price data no price is one There from of trades volumes. and trading day. the next to applied trading day reported at the were prices as they raw are All prices time of trading. price is the closing Daily:Average Price or Bid/Ask If the closing a trading day. for or the bid/ask average the trading day, given on any available price is not an not fieldnumber in the price is a bid/ask average, actual closing price. National The NASDAQ Daily trading prices for 1, first reported November were securities Market SmallCap The NASDAQ Daily trading prices for 1982. Price or 1992. first reported June 15, were Market a always securities is NASDAQ for Bid/Ask Average time. this before bid/ask average negative Monthly: In a monthly database, Price or Bid/Ask of the trading date the price on the last is Average month. The price series begins the first month-end after the security begins trading and ends the last month of trading. If the closing price is not complete the month trading end of day, given on any available an not number in the price field is a bid/ask average, NASDAQ The prices for actual closing price. Trading first reported securities were Market National The NASDAQ prices for Trading 1982. 1, November 1992. firstreported June 15, were SmallCap Market securities is NASDAQ for Price or Bid/Ask Average the (identified with “-“ before a bid/ask average, always these dates. value) before

74 CHAPTER 2: Data Definitions Stock and Index Data Description Guide dists_arr dists( ) rcrddt dists_arr dists[ ] rcrddt CRSPAccess STK n/a n/a /di 1925 1925 Distribution Event Array integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item RELATED ASSIGNMENT INFORMATION RELATED of fields is a group Assignment Information Related used defining indexes the time periods and associated It primarily defines portfolios. the rebalancing form to based on new is reformed periods when the portfolio contains Assignment Information Related information. Code, INDNO of the fields Basic Assignment Type in Associated Number Portfolio Index, Associated of Rebalancing Identification Calendar Index, Number R. DATE RECORD the on which date the record is Date Record on record as holder of be registered must stockholder in order of the company records transfer the stock the from a particular directly distribution receive to is coded as YYYYMMDD, date This integer company. unavailable. 0 if to and set in liquidation or total exchange, a merger, For is, by Date Record disappeared, the company which or price of the last the date to equal set convention, Date. Delisting after are delisting payments of liquidating dates Record 0 when unavailable. to and set reported when available, primexch mprimexch Primexchl 2 primexch mprimexch Primexche 1 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 As of the period being accessed, the As of the period being accessed, the Character code indicating the exchange indicating the exchange code Character TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Product Types Database Formats Monthly Daily Daily Monthly character code indicating the exchange on which the on which code indicating the exchange character primary known recently security has its most listing. R = Q = NASDAQ, MKT, = NYSE A (N = NYSE, B = Bats, X = Other) Arca, PRIMARY EXCHANGE, MOST RECENT EXCHANGE, PRIMARY Category: History Name Data Character Type: Description: PRIMARY EXCHANGE, END OF PREVIOUS PREVIOUS OF END EXCHANGE, PRIMARY PERIOD Category: History Name Data Character Type: Description: its primary the security has on which at the listing reported. the period (N = preceding end of the period B = R = Arca, Q = NASDAQ, MKT, NYSE A = NYSE, Bats, X = Other)

75 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr induniv or partuniv enddt indhdr_row indhdr or partuniv.enddt induniv.enddt CRSPAccess IND n/a n/a /hr 1925 1925 indhdr induniv or partuniv begdt Index Header integer number YYYYMMDD date indhdr partuniv.begdt or induniv.begdt DESCRIPTION Unknown or not applicable Delisting return is applied to issues that delist during the period Issues must have price during period on target exchange to be included in index FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE FORTRAN-95 USAGE CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Type or Subtype Type Array Member and/or Element 0 1 2 Primary Concepts Data Type Unit of Item Array Element

RETURN OF DELISTED ISSUES FLAG Issues Flag is a code describing of Delisted Return securities applied to are returns delisting whether during a rebalancing the exchange from delisting used: codes are The following period of an index. RESTRICTION END DATE (PARTITION OR (PARTITION RESTRICTION END DATE INDEX) in YYYYMMDD date, is the last End Date Restriction of data included in a partitionformat, universe Restriction restriction. universe index or an restriction restriction. is no date 0 if there to is set End Date indhdr assign n/a indhdr_row indhdr_row indhdr assign CRSPAccess IND n/a n/a /hr CRSPAccess IND n/a n/a /hr 1925 1925 1925 1925 Index Header integer number YYYYMMDD date Index Header structure Set (partition assignment) FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Data Type Unit of Item Primary Concepts Primary Concepts Data Type Unit of Item RESTRICTION BEGIN DATE (PARTITION OR (PARTITION RESTRICTION DATE BEGIN INDEX) is the first in Begin Date date, Restriction of data included in a partitionYYYYMMDD format, restriction. universe or an index restriction universe is no date 0 if there to is set Begin Date Restriction restriction. Calendar, Calendar Identification Number of Identification Calendar Number Calendar, Identification and Calendar Calendar, Assignment Calendar. of Calculations Number

76 CHAPTER 2: Data Definitions Stock and Index Data Description Guide 1925 1925 REASON FOR MISSING RETURN CRSP has no sources to establish a value after delisting or is unable to CRSP has no sources to establish a value after delisting delisting assign a value to one or more known distributions after its last price and more than 10 trading periods between a security’s first available price on a new exchange security is still active security trades on a new exchange after delisting, but CRSP currently has no sources to gather price information available, then the delisting return is calculated calculated is return the delisting then available, that price. using then the delisting If a final is available, distribution distribution using all known is calculated return occurring after price. of last date the information occurring after If distributions of last the date no final but has distribution available, price are is calculated return delisting then the been found, applies (This found. as if a final were distribution further issues closed to only to research.) will that no distributions is evidence If there is then the stock shareholders, be paid to ever to is set return worthless. The delisting considered loss). -1 (i.e. a 100% has been is evidence that the stock If there is set return worthless, then the delisting declared loss). -1 (i.e. a 100% to DATE RANGE AVAILABILITY DATE CODE Daily Monthly -55.0 -66.0 -88.0 -99.0 • • • • and further to issue that is closed research any For return delisting the met, are criteria none of the above issue that is any code. For a missing return is given a is given return delisting the pending further research, code of -55.0. missing return MISSING DELISTING RETURN CODES and Monthly: If Amount After is non-zero Delisting the to is less than or equal Date Payment Delisting a represents Return the Delisting Date, Delisting The Return. a Delisting not partial-month return, the value on the last compare partial-month returns month-end of trading with the value on the last day in additional after-delisting factor do not and date information. indhdr flags delretflag indhdr_row indhdr flags.delretflag CRSPAccess IND n/a n/a /hr 1925 1925 Index Header integer number Code Delisting Return is the return is the return Return Delisting If a price within 10 periods of the delist date is date periods of the delist If a price within 10 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Primary Data Type Unit of Item

of a security after it has delisted from NYSE, NYSE NYSE NYSE, of a security after from it has delisted is calculated Return The Delisting or NASDAQ. MKT, the security’s Amount After Delisting comparing by of trading. Amount The day with its price on the last price, After can be either an off-exchange Delisting or the sum of a series price quote, an off-exchange of the date The effective payments. of distribution is specified Payment in the Delisting return delisting Date. further issue that has been closed to any for The return as follows: is calculated research • RETURNS Category: Returns Data Floating Point Type: Summary: value of in the total Daily — Daily change if prices using prices or bid/ask averages an investment, on the Ex-date. reinvested Dividends are available. not in total month-end change Monthly — Month-end to with ordinary dividends of a security, investment at the month-end. reinvested Information: Extended

77 CHAPTER 2: Data Definitions Stock and Index Data Description Guide cumiret mcumiret Cumiret 0 reti mreti Reti 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Daily — Day-to-day capital of appreciation Daily — Day-to-day Daily — Daily returns on income Daily — Daily returns TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly RETURNS WITHOUT DIVIDENDS Category: Returns Data Floating Point Type: Description: in price, or bid/ask as a change calculated a security, available. if prices not average month-end capitalMonthly — Month-end to in price as a change calculate of a security, appreciation RETURNS ON INCOME, CUMULATIVE RETURNS ON INCOME, Category: Returns Data Floating Point Type: Description: in the range. the beginning day from compounded period in the time series containsEach a cumulative since the beginning period. return income compounded on Monthly — Monthly returns period the beginning month in the range. Each from since return in the time series contains a cumulative the beginning period. cumtret mcumtret Cumtret 0 CRSPAccess STK ret mret Ret 0 1925 1925 CRSPAccess STK Return on dividends, the difference on dividends, the difference Return Daily — Daily total returns compounded compounded returns Daily — Daily total TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Database Product Types RETURNS ON INCOME Category: Returns Data Floating Point Type: Description: between total return and return without dividends. and return total return between series a longer time over income returns Compounding interval the produce using CRSP software does not total compounded the associated between difference without dividends. return and compounded return results produces income return Compounding of capital on the reinvested appreciation irrespective the time period. dividend amount over RETURNS, CUMULATIVE Category: Returns Data Floating Point Type: Description: trading day in the range. Each the beginning day from since return in the time series contains a cumulative the beginning period. from compounded returns Monthly — Monthly total period in the beginning month in the range. Each since the return the time series contains a cumulative beginning period.

78 CHAPTER 2: Data Definitions Stock and Index Data Description Guide secstat msecstat Secstat 0 cumaret mcumaret Cumaret 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 1925 One-character code describing the status code describing One-character One-character code describing the status One-character TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Daily Monthly Daily Monthly SECURITY STATUS, END OF PREVIOUS SECURITY STATUS, PERIOD Category: History Name Data Character Type: Description: the of a security at the end of the period preceding way, period reported. (W = when issued, R = regular Q = non-leading when issued, X = E = ex-distributed, or unknown) exchange untracked S. END OF PERIOD SECURITY STATUS, Category: History Name Data Character Type: Description: reported.of a security at the end of the period = (W Q = E = ex-distributed, way, when issued, R = regular or exchange non-leading when issued, X = untracked unknown) retx mretx Retx 0 CRSPAccess STK 1925 1925 Daily — Daily returns without dividends without Daily — Daily returns REASON FOR MISSING RETURN price but no valid previous price. Either first price, current Valid or more unknown exchange between current and previous price, price than 10 periods between time t and the time of the preceding t’. Not trading on the current exchange at time t. price range. Outside the security’s to Missing return due to missing price at time t; usually due suspension in trading or trading on unknown exchange. TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE CODE -66.0 -77.0 -88.0 -99.0 Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly RETURNS WITHOUT DIVIDENDS, CUMULATIVE Category: Returns Data Floating Point Type: Description: compounded from the beginning month in the range. from compounded period in the time series containsEach a cumulative since the beginning period. return without dividends Monthly — Monthly returns the beginning month in the range. from compounded period in the time series containsEach a cumulative since the beginning period. return only. only. Information Extended Ordinary and certain dividends taxable regularly other calculation. the returns from excluded are dividends missing for Return” Total Period See “Holding Holding Period for ula is the same as values. The form that ordinary not dividends are except Returns Total included in d(t). Codes Missing Value a codes specify the reason return A series of special is missing: return

79 CHAPTER 2: Data Definitions Stock and Index Data Description Guide shrcls mshrcls shrcls mshrcls CLE 1 CRSPAccess STK CRSPAccess STK shrcls mshrcls CL 0 1925 1925 1925 1925 CRSPAccess STK Character identifying the most recently recently identifying the most Character Character identifying the class of stock identifying the class of stock Character TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Daily Monthly Database Formats Database Types Product SHARE CLASS, MOST RECENT Category: History Name Data String Type: Description: as of the end of period, generally class of stock known in cooperation left blank. the exchange Assigned by with the company. SHARE CLASS, END OF PREVIOUS PERIOD SHARE CLASS, END Category: History Name Data String Type: Description: the period being accessed, as of the period preceding in generally left blank. the exchange Assigned by cooperation with the company. secstat msecstat Secstatl 2 secstat msecstat Secstate 1 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 1925 Character identifying the class of stock as identifying the class of stock Character One-character code describing the most code describing the most One-character TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly Monthly SHARE CLASS, END OF PERIOD Category: History Name Data String Type: Description: of the end of period, generally left blank. Assigned by Any in cooperation with the company. the exchange class for (e.g., “A” that identifies the class of stock letter A common) is contained in the first position of this field. SECURITY STATUS, MOST RECENT SECURITY STATUS, Category: History Name Data Character Type: Description: status end of the of a security at the known recently way, period reported. (W = when issued, R = regular = Q = non-leading when issued, X E = ex-distributed, or unknown) exchange untracked

80 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr induniv or partuniv shrcd indhdr_row indhdr or partuniv.shrcd induniv.shrcd CRSPAccess IND n/a n/a n/a 1925 1925 Index Header structure Set (Id codes) 2-digit code 2-digit as of digit end of period. First DESCRIPTION DESCRIPTION Securities which have not been further defined Securities which need not be further defined Companies incorporated outside the US Ordinary Common Shares Trust Components (Prime, Score, & Units) Certificates, Americus ADRs (American Depositary Receipts) SBIs (Shares of Beneficial Interest) Units (Depositary Units, Units of Beneficial Interest, Units of Limited Funds Partnership Interest, Depositary Receipts, etc), Exchange Traded FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE CODE CODE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly 0 1 2 1 2 3 4 7 Primary Concepts Data Type Unit of Item used by CRSP in the Share Code variable. The fields variable. Code in the Share CRSP by used Subsets, for Groupings Code Share are structure in the Second Valid Code, and Digit of Share First Valid Code. Digit of Share Second Digit: SHARE TYPE CODE, END OF PERIOD Category: History Name Floating Point Data Double Precision Type: Description: second digit provides describes the type of security, detail. further security or company Digit:First CLL 2 1925 1925 CRSPAccess IND n/a n/a /hr indhdr_row indhdr or partuniv.shrcd.sccode induniv.shrcd.sccode indhdr induniv or partuniv sccode Index Header integer number Code DESCRIPTION No share code restriction or not applicable No share code restriction or Common stocks excluding ADRs and foreign incorporated companies Common stocks excluding ADRs foreign incorporated companies, REITS, Common stocks excluding ADR’s, and closed end funds Common stocks DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE C USAGE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE Database Formats Object or Subtype Type Monthly Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Array Element Member and/or Array Element Daily Primary Concepts Data Type Unit of Item Header SUBNO 0 1 2 3 4 SHARE CODE SCREEN STRUCTURE SHARE CODE SCREEN STRUCTURE OR INDEX RESTRICTION) (PARTITION contains Structure fields definingCode Screen Share codes included in of CRSP security share groups describing the valid issues used when the subset See or in the actual index. partitioning the market codes details of the 2-digit share Code” for Type “Share SHARE CODE GROUPINGS FOR SUBSETS FOR GROUPINGS SHARE CODE RESTRICTION) OR INDEX (PARTITION code is an integer Subsets for Code Groupings Share used in code groupings share describing the generic the valid issues used when describing subsets universe The actual index. or in the partitioning the market used: are codes following

81 CHAPTER 2: Data Definitions Stock and Index Data Description Guide shr mshr Shr 0 shrcd mshrcd SCL 2 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Shares Outstanding is the number of Shares The unadjusted number of publicly held The unadjusted TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly second digit provides further security or company further or company security digit provides second detail. SHARES OUTSTANDING, ADJUSTED SHARES OUTSTANDING, Category: Shares Floating Point Data Double Precision Type: Description: on NYSE, listed of securities publicly held shares and Bats stock Arca NASDAQ, MKT, NYSE represents This figure in 1000s. recorded exchanges, value. the actual, undiluted Outstanding ObservationsThe Shares contains Array observation directly be used to and cannot events calendar period. outstandingfind each the shares SHARES OUTSTANDING Category: Shares Floating Point Data Double Precision Type: Description: and Arca NASDAQ, MKT, NYSE on NYSE, shares in 1000s. recorded Bats exchanges, shrcd mshrcd SCE 1 shrcd mshrcd SC 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 2-digit code, most recently known as of known recently 2-digit code, most 2-digit code as of the period preceding 2-digit code as of the period preceding Americus Trust Components (Prime, Score, & Units), Exchange Traded Traded & Units), Exchange (Prime, Score, Components Trust Americus Funds Closed-end funds outside the US companies incorporated Closed-end fund Estate Investment Trusts) (Real REIT’s TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly 3 4 5 8 SHARE TYPEMOST CODE, RECENT Category: History Name Floating Point Data Double Precision Type: Description: digit describes the type of security, end of period. First SHARE TYPE CODE, END OF PREVIOUS PERIOD Category: History Name Floating Point Data Double Precision Type: Description: the period reported. digit describes the type First further security or second digit provides of security, detail. company For example, a Share Type Code of 14 represents represents of 14 Code Type a Share example, For ordinary fund. of a closed-end common shares

82 CHAPTER 2: Data Definitions Stock and Index Data Description Guide shares_arr shares() shrsdt shares_arr shares_arr shares[ ] shrsdt CRSPAccess STK n/a n/a /sh, /sa CRSPAccess STK n/a n/a /sh, /sa 1925 1925 1925 1925 Shares Outstanding Observations Array integer number YYYYMMDD date Shares Outstanding Observations Array Outstanding Observations Shares integer number YYYYMMDD date FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Object Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Primary Data Type Unit of Item

SHARES OUTSTANDING OBSERVATION OBSERVATION SHARES OUTSTANDING END DATE Observation date Shares effective is the last End Date outstanding observation.of a shares the to It is set Observation the Shares prior to date latest of the Date observation.next Observation The Shares End Date observationof the last Date. the Delisting to is set ObservationIf the Shares is after Date the Delisting Observation then the Shares Date, to is set End Date 99999999. adjshr madjshr Adjshrxr 1 adjshr madjshr Adjshr 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 The number of publicly held shares The number of publicly held shares TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Product Types Database Formats Product Types Database Formats Daily Monthly Daily Monthly SHARES OUTSTANDING OBSERVATION DATE OBSERVATION SHARES OUTSTANDING ObservationShares is a specific Date date Outstanding The value. a Shares to corresponding a firm’s from statement the is either date date shares of Date report,annual or quarterly Ex-Distribution the outstanding, or the shares the affecting a distribution observation of a shares source. date another taken from SHARES OUTSTANDING, ADJUSTED FOR FOR ADJUSTED SHARES OUTSTANDING, RIGHTS Category: Shares Floating Point Data Double Precision Type: Description: and Bats Arca NASDAQ, MKT, NYSE on NYSE, rights for and adjusted in 1000s recorded exchanges, only. Utility functions and programs are available to to available are and programs functions Utility observationsmap market calculate series to time to a capitalization. no time series data is If there over Outstanding has a Shares but the security time period, Outstanding value has been Shares valid last value, the carried over.

83 CHAPTER 2: Data Definitions Stock and Index Data Description Guide shr mshr Shrxr 1 CRSPAccess STK 1925 1925 The Standard Industrial Industrial The Standard The SIC code used to group companies companies group The SIC code used to TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Daily Monthly SIC CODE, END OF PERIOD SIC CODE, END Category: History Name Floating Point Data Double Precision Type: Description: or serviceswith similar products at the end of the period reported. Information: Extended Classification contains Manual of descriptions SIC the US Government. by recognized categories and 9999. The first 100 between Code is an integer digits first The three a major group. to digits refer two an digits indicate an industry to All four group. refer either 0 or to set Missing SIC Codes are industry. 2000 although after so the latter March 9999, more after frame. Prior to this time exist do still both reported exchange stock 2000, the NASDAQ March companies listed digits of NASDAQ the first three reported primary industrybased on the company and in CRSP has commonly added a fourth digit of zero MKT and NYSE these situations. SIC codes of NYSE based on SEC digits reported with four are companies SIC Codes new 2000 most Since March groupings. all do significant digits, but not assigned include four only still 2000 may and so some codes after March 3 significant digits. have Securities 1930. around introduced SIC Codes were prior that existed populating the CRSP universe code assignments. CRSP actively have may 1930 to to apply the original SIC coding scheme to chose a valid means of provide to these securities as a way classification. The North Industry American Classification System succeed the SIC to in 1997, introduced was (NAICS) shares_arr shares() shrflg shares_arr shares[ ] shrflg CRSPAccess STK n/a n/a /sh, /sa 1925 1925 shares_arr shares() shrsenddt Shares Outstanding Observations Array integer number Code shares[ ] shares[ shrsenddt DESCRIPTION Share structure extracted from CRSP data sources Share structure extracted from a split or other distribution Share structure imputed from name Shares observation added on the date of a change in the on that date using the effective shares outstanding history, implied by another The number of publicly held shares on The number of publicly held shares FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE FORTRAN-95 USAGE GENERAL INFORMATION INTEGER VALUE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print Option(s) Daily Monthly Type or Subtype Type Member and/or Array Member and/or Element Primary Concepts Data Type Unit of Item Array Element 0 1 2

SHARES OUTSTANDING, UNADJUSTED FOR FOR UNADJUSTED SHARES OUTSTANDING, RIGHTS Category: Shares Floating Point Data Double Precision Type: Description: exchanges, and Arca NASDAQ, MKT, NYSE NYSE, other price factors for and adjusted in 1000s recorded than rights. SHARES OUTSTANDING OBSERVATION FLAG OBSERVATION SHARES OUTSTANDING Outstanding ObservationShares Flag is an integer outstanding of the shares source value indicating the observation:

84 CHAPTER 2: Data Definitions Stock and Index Data Description Guide stkhdr n/a hsiccd header_row header hsiccd CRSPAccess STK n/a n/a /hrl, /hn /hh, /hr, siccd msiccd SICL 2 1925 1925 CRSPAccess STK Header Identification and Summary Data integer number Code 1925 1925 The most recent SIC code used to group group SIC code used to recent The most FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE GENERAL INFORMATION Date Range Availability Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly SIC CODE, MOSTSIC RECENT Category: History Name Point Floating Data Double Precision Type: Description: services. or with similar products companies SIC CODE - HEADER Classification Industrial (SIC) Code - Header Standard in a specific SIC Code found non-zero is the last Industrial The Standard security’s name structure. for Classification Code - Header is zero (SIC) no SIC Codes. CRSP has which for ompanies siccd msiccd SICE 1 siccd msiccd SIC 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 The SIC code used to group companies companies group The SIC code used to TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Monthly Daily Monthly Daily with similar products or serviceswith similar products at the end of the the period reported. period preceding SIC CODE, END OF PREVIOUS PERIOD SIC CODE, END OF PREVIOUS Category: History Name Floating Point Data Double Precision Type: Description: codes. See “Northcodes. Industry American Classification Code”. System database, removed CRSP 2009 stock In the December our from Mergent, our source, by provided SIC Codes Databases with SIC Codes them and replaced Stock Data Corporation. Interactive from the was Mergent MKT NYSE NYSE, SIC Code for primary for source IDC 2009. through 20010824 from securities & Arca of SIC source alternate been a continuous has always by introduced were in coverage Codes, so no holes data. the Mergent the elimination of The differences did not in source our change from in codes resulting the CRSP Indexes. impact

85 CHAPTER 2: Data Definitions Stock and Index Data Description Guide rebal_arr() rebal(,) maxid rebal_arr[ ] rebal[ ][ ] maxid CRSPAccess IND n/a n/a /rb# rebal_arr() rebal(,) avgstat 1925 1925 rebal_arr[ ] rebal[ ][ ] avgstat Index Rebalancing History Arrays integer number Id CRSPAccess IND n/a n/a n/a FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item Database Formats Database Types Product Usage ts_print Daily Usage ts_print Monthly ind_print Option(s)

STATISTIC MAXIMUM IN PERIOD STATISTIC is a maximum statistic Statistic Maximum in Period at the beginning of a rebalancing value in the portfolio if unavailable. zero to period. It is set STATISTIC MAXIMUM IDENTIFIER MAXIMUM STATISTIC Statistic Maximum Identifieris the identifier of the at with the maximum statistic entity in a portfolio The identifier period. the beginning of a rebalancing on Indexcan be PERMNO or PERMCO depending if unavailable. zero to Code. It is set Statistic Grouping spread_ts spread() n/a spread_ts spread[ ] n/a CRSPAccess STK n/a n/a /p2 1925 1925 n/a 1925 Index Rebalancing History Arrays real number Mathematical value Auxiliary Time Series Data Series Auxiliary Time real number Mathematical value FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage stk_print or ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Data Type Unit of Item Primary Concepts STATISTIC AVERAGE IN PERIOD AVERAGE STATISTIC statistical is the average in Period Statistic Average at the beginning of a rebalancing value in a portfolio if zero to It is set segment index. period of a market missing or unavailable. SPREAD BETWEENSPREAD ASK AND BID Bid and Ask is the Between Monthly: Spread for quotes bid and ask the closing between difference or High Price only when Ask available It is a security. Price and Closing available Price are Low and Bid or If Closing a bid/ask average. is Average or Bid/Ask between Spread and is zero Price or Bid/Ask Average a Bid or represents the spread Bid and Ask is negative, is zero If Closing Price or Bid/Ask Average Price. Low Spread Bid and Ask is positive, between and Spread an Ask or High Price. Bid and Ask represents Between if unavailable. zero to It is set

86 CHAPTER 2: Data Definitions Stock and Index Data Description Guide rebal_arr() rebal(,) minid rebal_arr[ ] rebal_arr[ ] rebal[ ][ ] minid CRSPAccess IND n/a n/a /rb# CRSPAccess IND n/a n/a /rb# 1925 1925 1925 1925 Index Rebalancing History Arrays real number Mathematical value Index Rebalancing History Arrays integer number Id FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Data Type Unit of Item

STATISTIC MINIMUM IN PERIOD MINIMUM STATISTIC is the minimum Statistic Minimum in Period at the beginning of the value in the portfolio statistic if unavailable. zero to period. It is set rebalancing STATISTIC MINIMUM IDENTIFIER MINIMUM STATISTIC Statistic Identifier Minimum is the identifier of the at the minimum statistic with the a portfolio entity in The identifier period. can of a rebalancing beginning Index depending on the or PERMCO be PERMNO if unavailable. zero to It is set Code. Statistic Grouping rebal_arr() rebal(,) medstat rebal_arr() rebal(,) maxstat rebal_arr[ ] rebal[ ][ ] medstat rebal_arr[ ] rebal[ ][ ] maxstat CRSPAccess IND n/a n/a n/a CRSPAccess IND n/a n/a /rb# 1925 1925 1925 1925 Index Rebalancing History Arrays real number Mathematical value Index Rebalancing History Arrays History Index Rebalancing real number value Mathematical FORTRAN-95 USAGE FORTRAN-95 USAGE C USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Type or Subtype Type Member and/or Array Element Object Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item Primary Concepts Primary Data Type Unit of Item

STATISTIC MEDIAN IN PERIOD MEDIAN STATISTIC is the median statistic value Statistic Median in Period period. at the beginning of a rebalancing in a portfolio if unavailable. zero to It is set

87 CHAPTER 2: Data Definitions Stock and Index Data Description Guide ticker ticker mticker Ticker 0 CRSPAccess STK CRSPAccess STK 1962 196207 1925 1925 An alphabetic symbol assigned to a symbol assigned to An alphabetic TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly ticker symbol ABCD, NASDAQ adds two additional additional two adds NASDAQ ABCD, symbol ticker limited NASDAQ’s Due to F. A and characters, so the base ticker, from a letter fields, delete will they ABCAF. to be truncated would ABCDAF suffix a the ticker that matches is no guarantee There to should be used Code variable The Share type. share tickers type. NASDAQ security’s share the determine in an issue’s name history presumed are 1982 before that issue trading symbols for legitimate represent to although these symbols may at some point in time, In sequence. chronological out of proper be listed symbols provided file ticker addition, the NASDAQ of all list a definitive necessarily constitute do not an issue’s trading history. symbols used throughout be blank field may limitations, the ticker source Due to securities that stopped of NASDAQ in name histories the early 1980s. through the early 1970s trading from blank. are July 1962 prior to tickers NYSE TICKER, END OF PREVIOUS PERIOD Category: History Name Data String Type: Description: at the end of the period an exchange security by the period reported. preceding rebal_arr() rebal(,) minstat rebal[ ][ ] rebal[ ][ minstat An alphabetic symbol assigned to a assigned to symbol An alphabetic DESCRIPTION Class A Class B Shares of Beneficial Interest Unit When-issued ADR Miscellaneous common issues FORTRAN-95 USAGE SUFFIX Type or Subtype Type Member and/or Array Member and/or Element A B S U V Y Z Array Element

Occasionally NASDAQ will add two additional suffixes will add two Occasionally NASDAQ identify certain to the base ticker to issues. However, five for field only allows ticker because the NASDAQ will be dropped. of the base ticker one letter characters, example: For has a base with a class A stock company If a foreign T. PERIOD TICKER, END OF Category: History Name Data String Type: Description: at the end of the period an exchange security by reported. Information Extended time. The combination over can be reused Tickers Code, and Class, Exchange Symbol, Share of Ticker identifies a security. uniquely Date Calendar Trading and NYSE for characters three be one to may A ticker for characters MKT five NYSE to four securities or securities. NASDAQ base characters four have trading tickers NASDAQ include a fifth suffixand may character provides that an issue’s type or temporary about information an issue’s status. about CRSP only information permanent includes the suffix when it provides table describes The following information. descriptive the suffixes appearing in CRSP databases:

88 CHAPTER 2: Data Definitions Stock and Index Data Description Guide trdstat mtrdstat Trdstat 0 ticker mticker Tickerl 2 CRSPAccess STK CRSPAccess STK 1925 1925 1962 196207 One-character field the describing One-character The most recently used alphabetic symbol symbol used alphabetic recently The most field describing the status One-character TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly TRADING STATUS, END OF PREVIOUS TRADING STATUS, PERIOD Category: History Name Data Character Type: Description: status of a security at the end of the period preceding = S H = halted, the period reported. (A = active, suspended, X = unknown) TICKER, MOSTTICKER, RECENT Category: History Name Data String Type: Description: exchange. an a security by to assigned END OF PERIOD TRADING STATUS, Category: History Name Data Character Type: Description: = H (A = active, of a security at the end of the period. X = unknown) S = suspended, halted, stkhdr n/a htick header_row header htick CRSPAccess STK n/a n/a /hh, /hn 1962 196207 Header Identification and Summary Data character Id mticker Tickere 1 FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item Monthly ITEMID Monthly Header SUBNO TICKER - HEADER TICKER of characters the first to seven - Header is set Ticker is issues, and active Symbol - Header for Ticker Trading Symbol - Ticker Trading issues. The delisted blank for tradingHeader contains automated used by the symbol type, or all supplied class, share including systems, securities active status suffixes, for with no punctuation trading symbols longer no current are in the file. There characters. than seven and is used in CRSP access routines - Header Ticker Usage is as a database key. using ticker utility programs built on previous lists but input unchanged, and NYSE for TICKER.SHRCLS of conventions with MKT comply NYSE to be changed securities must a field in the CRSP data. provides the new This change database that contains with symbols an exact match sources. and other exchanges from directly available

89 CHAPTER 2: Data Definitions Stock and Index Data Description Guide tsymbol mtsymbol Symbol 0 trdstat mtrdstat Trdstatl 2 CRSPAccess STK CRSPAccess STK 19821101 198211 1925 1925 Trading symbol listed by exchanges and and exchanges by symbol listed Trading Trading symbol listed by exchanges and exchanges by symbol listed Trading TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly TRADING TICKER SYMBOL, END OF PREVIOUS PERIOD Category: History Name Data String Type: Description: including all temporary systems, quote consolidated type suffixes, at the end classes and share values, share period reported. each of the period preceding TRADING TICKER SYMBOL,TRADING TICKER END OF PERIOD Category: History Name Data String Type: Description: all temporary including systems, quote consolidated type suffixes, at the end classes and share values, share is no punctuation (no of the period reported. There this field Symbol. N.B. Ticker periods) in the Trading NYSE/NYSE for includes data starting on 20020102 NASDAQ. for and 19821101 MKT, stkhdr n/a htrdstat header_row header htrdstat CRSPAccess STK n/a n/a /hn trdstat mtrdstat Trdstate 1 1925 1925 CRSPAccess STK Header Identification and Summary Data character Code 1925 1925 One-character field the status describing One-character FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly

TRADING STATUS, MOST RECENT TRADING STATUS, Category: History Name Data Character Type: Description: at the end of the known recently of a security most S = suspended, X = H = halted, period. (A = active, unknown) TRADING STATUS - HEADER TRADING STATUS field Status containing is a one-character the Trading list a Status for trading status of securities. See Trading of codes.

90 CHAPTER 2: Data Definitions Stock and Index Data Description Guide tsymbol mtsymbol Symboll 2 CRSPAccess STK 19821101 198211 DESCRIPTION Identifier restriction not applicable Closed End Funds NYSE common excluding foreign, ADRs, REIT, End Closed NYSE/NYSE MKT common excluding foreign, ADRs, REIT, Funds NYSE/NYSE MKT/The NASDAQ National Market common excluding Closed End Funds foreign, ADRs, REIT, NYSE common excluding ADRs NYSE MKT common excluding ADRs NYSE/NYSE MKT common excluding ADRs NASDAQ common excluding ADRs NYSE/NYSE MKT/NASDAQ common excluding ADRs NYSE common NYSE MKT common NYSE/NYSE MKT common NASDAQ common NYSE/NYSE MKT/NASDAQ common NYSE common excluding ADRs and foreigns NYSE MKT common excluding ADRs and foreigns NYSE/NYSE MKT common excluding ADRs and foreigns NASDAQ common excluding ADRs and foreigns NYSE/NYSE MKT/NASDAQ common excluding ADRs and foreigns Arca common excluding ADRs Arca common NYSE/NYSE MKT/NASDAQ/Arca common excluding ADRs NYSE/NYSE MKT/NASDAQ/Arca common TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE CODE DATE RANGE AVAILABILITY DATE Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types 10 11 12 20 21 22 23 24 30 31 32 33 34 35 36 37 38 39 40 41 42 43 0 Daily Monthly U. TYPEUNIVERSE SUBSET CODE (PARTITION OR INDEX RESTRICTION) code defining Code is an integer Type Subset Universe define of used to the universe of restrictions a set the or for an index partitions create for used to stocks used: codes are The following actual index. stkhdr n/a htsymbol header_row header htsymbol CRSPAccess STK n/a n/a /hn tsymbol mtsymbol Symbole 1 19821101 198211 CRSPAccess STK Header Identification and Summary Data character Id 19821101 198211 Trading symbol listed by exchanges and and exchanges by symbol listed Trading FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATE RANGE AVAILABILITY DATE DATABASE AVAILABILITY AND PRODUCT TYPES AND PRODUCT AVAILABILITY DATABASE GENERAL INFORMATION DATE RANGE AVAILABILITY DATE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily ITEMID Monthly ITEMID Header SUBNO Daily Monthly Database Formats Product Types Primary Concepts Data Type Unit of Item Daily Monthly

TRADING TICKER SYMBOL, MOST RECENT Category: History Name Data String Type: Description: including all temporary systems, quote consolidated type suffixes, most classes and share values, share known. recently TRADING TICKER SYMBOLTRADING TICKER - HEADER current most Symbol - Header is the Ticker Trading and exchanges by tradingfile, symbol on listed all temporary It includes systems. quote consolidated type suffixes. classes, and share values, share

91 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr partuniv or induniv fstdig indhdr_row indhdr or induniv.shrcd. partuniv.shrcd.fstdig fstdig CRSPAccess IND n/a n/a /hr indhdr partuniv or induniv wantexch 1925 1925 indhdr_row indhdr or induniv.wantexch partuniv.wantexch Index Header integer number Code n/a n/a /hr FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE FORTRAN-95 USAGE DATE RANGE AVAILABILITY DATE C USAGE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Type or Subtype Type Member and/or Array Element Daily Monthly Object Array Element Primary Concepts Data Type Unit of Item ts_print Daily Usage ts_print Monthly Usage ts_print ind_print Option(s)

VALID FIRST CODE DIGIT OF SHARE VALID OR INDEX RESTRICTION) (PARTITION code Code is an integer Digit of Share First Valid describing the valid digits in the first digit of the share partition used to universe or an index code in a subset Code is Digit of Share First Valid in the actual index. binary number. of a 10-digit the decimal representation The nth bit of the binary is 1 if an n in the number and Code is valid in the subset, first digit of the Share a 0 otherwise. indhdr partuniv or induniv univcode indhdr_row indhdr or induniv.univcode partuniv.univcode CRSPAccess IND CRSPAccess IND n/a n/a /hr 1925 1925 1925 1925 Index Header integer number Code Index Header integer number Code DESCRIPTION NYSE NYSE MKT NASDAQ Stock Market Arca No exchange restriction FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Daily Monthly Primary Concepts Data Type Unit of Item 1 2 4 8 0 Primary Concepts Primary Data Type Unit of Item V. CODES IN UNIVERSE EXCHANGE VALID OR INDEX RESTRICTION) (PARTITION code is an integer Codes in Universe Exchange Valid used to universe in the indicating the base exchanges partition The the actual index. populate or to an index table of the base codes used. The sum lists following are exchanges all selected codes indicates or more two valid.

92 CHAPTER 2: Data Definitions Stock and Index Data Description Guide indhdr partuniv or induniv wantnms indhdr_row indhdr or induniv.wantnms partuniv.wantnms CRSPAccess IND n/a n/a /hr 19820402 198204 Index Header integer number Code Index Header integer number Code 1925 1925 CRSPAccess IND n/a n/a /hr indhdr_row FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY DATE AND UTILITY USAGE AVAILABILITY DATABASE C USAGE GENERAL INFORMATION GENERAL INFORMATION GENERAL Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Data Type Unit of Item Daily Monthly Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Object Primary Concepts Primary Concepts Primary Data Type Unit of Item

VALID SECOND DIGIT OF SHARE CODE VALID OR INDEX RESTRICTION) (PARTITION code Code is an integer Second Digit of Share Valid digit of the describing the valid digits in the second in an index used universe Code in a subset Share Second Digit of partition Valid index. or in the actual of a 10-digit Code is the decimal representation Share binary The nth bit of the binary number. number is 1 Code is valid in if an n in the second digit of the Share and a 0 otherwise.the subset, indhdr partuniv or induniv wantinc indhdr_row indhdr or induniv.wantinc partuniv.wantinc CRSPAccess IND n/a n/a /hr 1962 1925 Index Header integer number Code DESCRIPTION DESCRIPTION No National Market restriction, or not applicable Only issues listed on The NASDAQ National Market are included Not applicable or no restriction by country of incorporation Not applicable or no restriction of the US are excluded Companies incorporated outside FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE CODE GENERAL INFORMATION CODE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Data Type Unit of Item Primary Concepts 1 0 0 1 VALID NASDAQ MARKET GROUPS MARKET GROUPS NASDAQ VALID OR INDEX IN UNIVERSE (PARTITION RESTRICTION) is an in Universe Groups Market NASDAQ Valid in markets NASDAQ code indicating valid integer partition used to subset or used an index the universe Market National The NASDAQ in the actual index. The MarketSM. Stock of The NASDAQ is a subset used: codes are following VALID INCORPORATION OF SECURITIES SECURITIES OF INCORPORATION VALID OR INDEX (PARTITION IN UNIVERSE RESTRICTION) describes Incorporation in Universe of Securities Valid the incorporation in a subset selected of companies partitionused to universe or in the actual an index used. codes are integer The following index.

93 CHAPTER 2: Data Definitions Stock and Index Data Description Guide volmed volavg mvolavg Volavg 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925 Daily — Average daily volume traded daily volume Daily — Average Daily — Median daily volume traded Daily — Median daily volume TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY ts_print/TsQuery Usage ts_print/TsQuery DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE Database Availability and Product Types Database Availability DATE RANGE AVAILABILITY DATE Date Range Availability Daily ITEMID Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly VOLUME, AVERAGE VOLUME, Category: Volume Point Floating Data Double Precision Type: Description: the example, For calendar. output selected within the within the 5 trading days calendar will average weekly week. each traded within the monthly volume Monthly — Average the quarterly example, For calendar. output selected in the volumes the 3 month-end calendar will average quarter. VOLUME, MEDIAN VOLUME, Category: Volume Floating Point Data Double Precision Type: Description: the example, For output calendar. within the selected the 5 calendar will select the median value for weekly week. within each trading days traded within the Monthly — Median monthly volume the quarterly example, For output calendar. selected month- the 3 calendar will select the median value for in the quarter. end volumes indhdr partuniv or induniv wantwi indhdr_row indhdr or induniv.wantwi partuniv.wantwi CRSPAccess IND n/a n/a /hr 1925 1925 Index Header integer number Code indhdr or induniv.shrcd.secdig partuniv.shrcd.secdig indhdr partuniv or induniv secdig DESCRIPTION No when-issued restrictions, or not applicable Ex-distribution Initial when-issued trading is included when available. is trading is excluded. When-issued trading during reorganizations included. regular-way Initial when-issued trading is excluded until issue attains trading during status. Ex-distribution trading is excluded. When-issued reorganizations is included. FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE GENERAL INFORMATION CODE FORTRAN-95 USAGE Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Daily Monthly Primary Concepts Data Type Unit of Item 0 10 110 Array Element or Subtype Type Array Member and/or Element

VALID WHEN-ISSUED SECURITIES IN WHEN-ISSUED SECURITIES VALID OR INDEX UNIVERSE (PARTITION RESTRICTION) is an integer Securities in Universe When-Issued Valid types of when-issued tradingcode describing the partitionused in an index universe in a subset allowed used: codes are following The or in the actual index.

94 CHAPTER 2: Data Definitions Stock and Index Data Description Guide adjvol madjvol Adjvol 0 tvol mtvol Vol 0 CRSPAccess STK CRSPAccess STK 1925 1925 1925 1925

TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY TS_PRINT/TSQUERY USAGE TS_PRINT/TSQUERY DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATABASE AVAILABILITY AND PRODUCT TYPES AVAILABILITY DATABASE DATE RANGE AVAILABILITY DATE DATE RANGE AVAILABILITY RANGE DATE Daily ITEMID Monthly ITEMID Header SUBNO Daily ITEMID Monthly ITEMID Header SUBNO Database Formats Product Types Database Formats Product Types Daily Monthly Daily Monthly number of shares they bought and the total number of number the total and bought they of shares number the summed system NASDAQ The sold. they shares the market sell) from buy or (whether figure greater figures. daily volume reports create to Exchange 2008, the BATS in November Beginning that From pricing network. joined the consolidated reported in the CRSP Stock volumes time forward, which Exchange, database include trades on the BATS trading on US equity of all 10% over accounts for now a daily basis. VOLUME, TOTAL ADJUSTED TOTAL VOLUME, Category: Volume Data Floating Point Type: Description: output traded within the selected volume Daily: Total the weekly example, splits. For for adjusted calendar, week. within each calendar will sum the 5 trading days traded within the selected volume Monthly: Total the example, splits. For for adjusted output calendar, 3 months within each calendar will sum the quarterly quarter. mvolmed Volmed 0

Monthly ITEMID Monthly Header SUBNO Total raw number of shares of a stock traded of a stock number of shares raw Daily: Total splits during the for adjusted and is not on that day, contain not month and it does over-allotments. during Monthly: The sum of the trading volumes sum of shares the are volumes that month. Monthly splits for adjusted not and are reported in units of 100, during the month. number of shares raw is the integer Total Volume, in traded is expressed during the calendar period. It daily data, and on hundred for units of one share, our 2014, until March, monthly data. Up for shares MKT NYSE/NYSE data reports for the number source 12,345 example, For hundred. the nearest to rounded Stock traded will be reported on the NASDAQ shares MKT NYSE or on the NYSE and as 12,345 Exchange value is -99 if the to is set Volume as 12,300. exchanges that there usually indicates of zero missing. A volume no trades during the time period and is usually were on fields. in price Trades with bid/ask quotes paired pricing the consolidated to connected all exchanges included in the volume. are network trades are of after-hours volumes On NASDAQ, while the trades or quotes day, included in the current it is possible Therefore, day. included the next are with paired bid/ask or missing price quotes have to connected on all exchanges Trades volumes. nonzero trades and all late pricing network the consolidated to no volumes are There included in the volume. are 1982. 1, November prior to on NASDAQ available reported volumes NASDAQ 1992, June 15, Until and Market National on the NASDAQ differently Market, On the National SmallCap Market. NASDAQ one reported transaction was by of each the volume in the transaction. On the SmallCap party involved of a security made two makers all market Market, the total day, reports the market at the end of volume VOLUME, TOTAL VOLUME, Category: Volume Data Floating Point Type: Description:

95 CHAPTER 2: Data Definitions Stock and Index Data Description Guide list_arr() list() weight list_arr[] list[][] weight CRSPAccess IND n/a n/a /hr 1925 1925 Index List History Array real number Mathematical value FORTRAN-95 USAGE C USAGE DATABASE AVAILABILITY AND UTILITY USAGE AVAILABILITY DATABASE DATE RANGE AVAILABILITY RANGE DATE GENERAL INFORMATION Type or Subtype Type Member and/or Array Element Object Array Element Database Formats Product Types ts_print Daily Usage ts_print Monthly Usage ind_print Option(s) Monthly Daily Primary Concepts Data Type Unit of Item W. OF ISSUE WEIGHT an issue within of Issue is the defined of weight Weight defining in a list range during the indicated the index is defined based if weighting zero to It is set the index. on data part and not definition. of the list

96 CHAPTER 2: Data Definitions Stock and Index Data Description Guide CHAPTER 3: CRSP CALCULATIONS

This area contains formulas and methodologies used to if t > C0 and no split events since t-1, derive CRSP variables in the stock and index files and C(t) = C(t-1) generated by the CRSP data utilities. if t > C0 and a split event with factor f since t-1, C(t) = C(t-1) * f ADJUSTED DATA if t > C0 and split event change Price, dividend, shares, and volume data are historically C(t-1)/f adjusted for split events to make data directly comparable if t < C0 and a split event change at different times during the history of a security. CRSP C(t+1)*f provides raw, Unadjusted Data, but data utilities stk_print and ts_print can be used to generate Adjusted Data. Where factor is typically the Factor to Adjust Price variable + 1. An adjustment base date is chosen as the anchor date. All data on this date are unadjusted, and other data are If there is a gap in trading where possible split events are not converted based on the split events between the base date known, all adjusted values are set to missing when the gap is and the time of that data. The adjustment base date is between the observation and the adjustment base date. usually chosen to be the last available day of trading. Monthly: If monthly summary data (id or Low Price, Ask or Split events always include stock splits, stock dividends, High Price, and Volume Traded) are adjusted, the adjustment and other distributions with price factors such as spin-offs, factor cannot take into account adjustments that take place stock distributions, and rights. Shares and volumes are only in the middle of the month. Therefore, the result assumes all adjusted using stock splits and stock dividends. Split events adjustment events occur on the last trading day of the month. are applied on the Ex-Distribution Date. A more accurate monthly adjusted value can be derived by adjusting and resummarizing the underlying daily data. Price and dividend data are adjusted with the calculation:

A(t) = P(t) / C(t), ANNUALIZED RETURN where A(t) is the adjusted value at time t, P(t) is the raw Annualized Return is the constant annual return applied value at time t, and C(t) is the cumulative adjustment to each period in arrays that would result in the actual factor at time t. compounded return over that range. An Annualized Return is a special case of a Geometric Average Return where the Share and volume data are adjusted with the calculation: time periods are expressed in terms of years.

A(t) = P(t) * C(t), ASSOCIATED PORTFOLIO RETURN where A(t) is the adjusted value at time t, P(t) is the raw Associated Portfolio Returns are a composite of a group of value at time t, and C(t) is the cumulative adjustment portfolio index series based on a time-dependent portfolio factor at time t. assignment for a security. They are built for each security based on assignments within the specified portfolio type. In both cases, where C is the adjustment base date, the 0 The associated portfolio return at any time is the return of cumulative adjustment factor is: the portfolio to which the security belongs at that time. If the security is not assigned to a portfolio of that type at the if t = C0, C(t) = 1.0 time, the associated portfolio return is set to a missing value.

Stock and Index Data Description Guide • PAGE 97

Dividend Amount in Period Dividend Amount in Period Prices Adjust to Factor Cumulative Range a Date over Price in Period Adjust to Factor End of Period Price Adjusted, End of Previous Price Adjusted,

Divamt in period adjusted to end of range = divamt / = divamt to in period adjusted end of range Divamt / facpr cumfacpr Where divamt cumfacpr facpr using adjusted return a total calculate Thus, to prices and dividends, / / facpr)) / cumfacpr + (divamt = (adjprc Return Total – 1 prev_adjprc Where adjpr ev_adjprc Period ITEM) PRINT PERIOD (TS_ IN AMOUNT DIVIDEND a in factor cash adjustment is the Amount Dividend calculate used to time period return holding period of all distribution summation It is an adjusted returns. historyin the distribution available cash amounts with and period after dates Ex-distribution previous the to period, adjusted current and including the up to period. Dividend of the previous the basis at the end nonordinary into Amount can be divided and ordinary of capitaltypes. Nonordinary return dividends include from Ordinarydistributions. excluded dividends are calculations. capital returns appreciation Dividend Amount in Period an adjusted calculate To range, the following its basis at the end of a date to be used with data through extracted items may formula ts_print: EXCESS RETURN of in excess is defined as the return Return An Excess can be a The benchmark benchmark. a comparable of a group series or a composite index single associated series based on security and time- index of portfolio dependent portfolio assignments. RETURN TIVE N DELISTING RETUR of security after it is is the return Return Delisting after a value comparing by It is calculated delisted. trading price on the security’s last the against delisting The value afterdate. include a price on can delisting to value of distributions or the total exchange another is no opportunity If there trade a stock shareholders. to worthless, the value it is declared after before delisting calculated are Returns Delisting after is zero. delisting value after that the except returns total similarly to price. is used as the current delisting is either a information payment delisting Valid within ask quote a bid and valid price with at least of payments set trading periods, or a complete ten after delisting If information the shares. for received missing value is a is insufficient a return generate to reported. is calculated Return Monthly: The monthly Delisting daily the last month ending price to the last from is information delisting trading price if no other is the date payment In this case the delisting available. is calculated If the return date. same as the delisting The daily price, it is a partial-month a from return. Returns truly Delisting not are partial-month returns values after but delisting, represent do not since they estimate accurate a more make to the researcher allow Returns. of the Delisting or Return the Delisting When valuing a portfolio, assign a value can be used to representation other decide must The researcher security. the delisted to based values estimated assign alternate to whether payment delisting Code when on the Delisting If using monthly data is unavailable. and information is used, Return Delisting for estimate an alternate this by should also be adjusted partial month returns factor. A CUMUL from return a compounded is Return A Cumulative startinga fixed series of period in a time point. Each return contains the compounded Returns Cumulative of the end the first to in the time series period from that period.

98 CHAPTER 3: CRSP Calculations Stock and Index Data Description Guide

t. – 1 where: t 1/n ) c –aret t the cumulative return over the entire period the entire over return the cumulative average periods to subset the number of equal the return the Geometric Average Return applicable on applicable Return Average the Geometric n period subset each is the capital appreciation return for time for is the capital return appreciation t =tre time t for is the income return t t is the total return for time t, for return is the total t = = ( 1 + r = n n c tre aret n = iret g Where g iret r INCOME RETURN on the ordinary is the return dividends Income Return It is the ratio of of a security. shareholders paid to the amount of ordinary dividends since the end of and including the end of period up to the previous the end of the the price at to the period of interest a dividend yield. period. It is similar to previous CRSP as the difference by is calculated Income Return and Capital Return, Appreciation Return of the Total as follows. The Geometric Average Return is calculated using the using is calculated Return Average Geometric The below: formula INDEX COUNT a time period for Count is the count in an index Index the during is the number of securities in the portfolio based on the specific or index are time period. Rules and Used Counts See Total methodology. portfolio details. more for INDEX LEVEL to relative is the value of an investment Level Index allow Levels point in time. Index its value at one fixed performance of the relative comparison convenient classes. Differences or asset portfolios of the different underlying based on different are arise when indexes databases as daily and monthly CRSP stock such products. but must arbitrarily, set and value are The initial date The Index multiple indexes. if comparing be consistent time after the initial point series at any any for Level the value at that time of the initial value indicates I(p(t),t) is ) is the index return return I(t) is the index VERAGE RETURN is the Excess Return at time t, R(t) is the at Return is the Excess security return at time t, and security return E(t) = R(t)-I(p(t),t) at time t, R(t) is Return E(t) is the Excess where at time t, p(t) is the portfolio the security return assignment of the security at time t, and E(t) = R(t)-I(t), E(t) where R(t) is based on a at time t. If the security return time period, the previous price t’ that is not previous t. t’ + 1 to from return index I(t) is the compounded time t. If the security at of that portfolio the return price t’ that is not R(t) is based on a previous return time period, I(p(t),t) is the compounded the previous t’ + from return of the security’s portfolio return assigned a portfolio t. If the security is not 1 to a to type at time t, E(t) is set assignment of the given missing value. GEOMETRIC A DJUST PRICES IN PERIOD (TS_PRINT CTOR TO A FA ITEM) is the amount the Prices in Period Adjust to Factor calculations in returns price is multiplied by current on the same prices are and previous so that current Prices in Period Adjust to basis. Factor split-adjusted Price field of Adjust to the Factor from is derived after Dates the with Ex-Distribution distributions and including the current period and up to previous Prices in Adjust to splits, Factor stock period. In simple Price plus one. Adjust to Factor is distribution Period is the constant return Return Average A Geometric in result a range period in that would each applied to that range. over return the compounded If an Excess Return is based on associated portfolios, is based on associated portfolios, Return If an Excess a period is for Return the Excess the security returns Return, When cumulating Excess before separately cumulated are returns and the index subtracting the difference. If an Excess Return is based on a single index series, single index on a is based Return Excess If an is a period for Return the Excess

99 CHAPTER 3: CRSP Calculations Stock and Index Data Description Guide ) t ) assigned i,t i at time t. (see section below. In below. Weight Index is calculated as follows: as follows: is calculated t is set to one for every stock. Such an every Such one for stock. to is set i,t w is the weight of security i at time t. is the weight is the index return is the index is the return of security is the return i,t t i,t w R xxxx of Stock guide for Security Return Calculation) Return Security guide for xxxx of Stock r is the index level at end of the previous period (time at end of the previous level is the index is the index return for time t for return is the index t is the index level at time t level is the index

t t-1 index would consist of n stocks, with the same dollar of n stocks, consist would index stock. in each amount invested or capital returns can be total The security returns without dividends). This (returns appreciation or index return is a total the index whether determines a capital index. appreciation not are the individual components where In an index an external from is available level but an index known, 500 Composite & Poor’s as the Standard such source, R the return Index, I is calculated as the weighted average of the returns for for of the returns average as the weighted is calculated the index: securities in the individual ‚ R N RETUR INDEX a portfolio value of in change is the Return An Index (R on an index The return holding period. some over where: ‚ I In a value-weighted index, the weight (w the weight index, In a value-weighted ‚ t-1) is its total market value; see value; market is its total and by is equal the weight index, an equally-weighted convention ) t

*(1+ R t-1 Note: Missing values Missing values missing- Note: to is set = L t t = December 29, 1972 December 29, 1972 1.00 1925 December 31, December 29, 1972 = I t t -1 to t the period t-1 to for = return t = Index Level for any series at time t any for Level = Index t Indexes File CRSP Stock 100.00 initial level initial date CRSP Cap-Based Portfolios initial level and Inflation Treasury CRSP US Government Indexes 100.00 initial level initial date initial date are file format specific. fileare format R if t-1 < F then I = First Return. The time of the first non-missing Return. F = First of the series return arbitrary An D = Initial Date. is the level where date the initial value to set An arbitrary to L = Initial Level. is set value the level date on the initialization if t = D, then I I if t < D, then I if t > D, then I

‚ ‚ ‚ ‚ ‚ then ‚ invested at the initial point. The Index Level for any any for Level Index point. The initial at the invested the point, indicates the initial before time at any series in the initial will result at that time that value invested series of a Level Index initial point. The value at the Let: return. first its available to missing prior ‚ ‚ ‚ Publicly available indexes such as for the S&P 500 as for such indexes Publicly available initial have Composite and NASDAQ Composite the CRSP from and differ their creators by values set initializations. Defined CRSP indexes use the following initial dates initial dates use the following Defined CRSP indexes and levels:

100 CHAPTER 3: CRSP Calculations Stock and Index Data Description Guide t t t t ’, the previous price is considered price is considered t’, the previous t t and ) = dividend amount for t t) = dividend amount for ) = factor to adjust price in period adjust to t) = factor ’ = time of last available price < available t’ = time of last ) = return on purchase at t’, sale at on purchase r(t) = return f( ) = last sale price or closing bid/ask average at sale price or closing bid/ask average p(t) = last time d( ’) = last sale price or closing bid/ask average at at bid/ask average sale price or closing p(t’) = last price < available time of last

Œ Œ Œ Œ Œ Œ ’ can be up to t, but t’ can be up to t’ is usually one period before no valid prices in the are t if there periods before ten interval. status is a trading gap with unknown If there between RN RETU of an value total in the the change is A Return time some period of in a security over investment is the Return Total of initial investment. per dollar a sale of a security for Return Total Period Holding taking account and reinvesting into day, on the given It is based on a shareholders. to all distributions this day to time previous recent on the most purchase this time had a valid price. Usually, when the security ten to be up calendar period, but may is the previous the calculation. to calendar periods prior as follows: calculated are Returns let time t (a holding period), For invalid. in the In daily databases, reinvested dividends are In monthly Date. security on the Ex-Distribution from holding period returns are databases, the returns daily compounded month-end, not month-end to security at in the reinvested and dividends are returns, month-end. from is derived Prices in Period Adjust to The Factor Price using Adjust history to the distribution Factor after dates the with Ex-Distribution all distributions t-1). ) where: ) where: i,t )= ∑(v i,t = ∑(w t V t-1). TION ALIZA in which: i,t-1 * s i,t-1 is the price of security i at the end of the previous i at the end of the previous is the price of security is the number of shares outstanding of security i is the number of shares is value of security i at time t is value of security = New Index Level for the series at time t for Level Index = New = Original Index Level for the series on the new the series on the new for Level = Original Index t = Original Index Level for the series at time t for Level = Original Index i,t-1 i,t i,t-1 t D = p v = New Initial Date. D = New I N trading period (time s I at the end of the previous trading period (time at the end of the previous p initial date Initial Level. L = New i,t

‚ ‚ ‚ ‚ ‚ where: ‚ T WEIGH INDEX is the total period a time for of an index weight The end of at the index securities in the value of the market trading period. the previous MARKET CAPIT REBASING INDEX LEVELS of levels index make to an index rebase It is possible to an index, rebase To series comparable. level index two and value, find initial date a new the current choose and multiply the date, initial on the new level index initial value divided by the new by on all dates levels level: index the old initial date Market Capitalization (in 1000s) is a measurement of is a measurement Capitalization (in 1000s) Market the size of a security defined as the price multiplied outstanding. CRSP uses the number of shares by value of the bid/ask the closing price or the absolute variable the Price or Bid/Ask Average from average observationand the applicable shares the Shares from calendar Outstanding Observation each for Array Capitalization. Market calculate period to ‚ v ‚

101 CHAPTER 3: CRSP Calculations Stock and Index Data Description Guide is the three-day moving moving is the three-day t+1 + lM i traded, with the first beginning t ) is the natural log of the value-weighted natural) is the value-weighted of the log t + lM t-1 = lM t M =ln(1+ t is the value-weighted market return at time t at time return market value-weighted is the t is the number of non-missing returns for security i for non-missing returns is the number of i lM +1 or the continuously time t+1 or the at return market return. compounded M3 during the year M window of the above market return market of the above window n

‚ ‚ and include all days t and include all days over the summations are where security on which trading and ending with the last year of the trading day based families index two are There of the year. day Williams Beta calculations: NYSE/NYSE on Scholes- MKT and NASDAQ-only. only trading prices MKTIn the NYSE/NYSE family, in the beta and a security calculation, considered are be given to in a year traded days half the have must in used The index that year. a non-missing beta for on the Trade-only returns the calculation is the total Index. Market MKTNYSE/NYSE Value-Weighted use the standard do not family the NASDAQ Betas for since trade-only data restriction, Scholes-Williams report to required not securities were NASDAQ most bid/ask averages Removing transactions until 1992. data only NASDAQ to NASDAQ restrict would NASDAQ securities after 1982. Market National different have based on bid/ask averages returns and betas are trade-based returns, from characteristics based betas are NASDAQ comparison. for provided Value-Weighted on the NASDAQ returns on the total Index. Market ‚ ‚

t’ t and the at day t i at day A t previous price; either first price, previous Valid current price, but no valid current Valid unknown exchange between current current between exchange unknown than price, or more and previous time periods between 10 price range missing price at due to Missing return time of the preceding price time of the preceding exchange trading on the current Not at time t Outside the range of the security’s )is the natural log of the return )is the natural log of the return i at time t+1 or the continuously i,t = ln(1+r is the return of security is the return for the year being the year security i for is the Beta for i i,t i,t

-66.0

-99.0 -77.0 -88.0 time β calculated r lr compounded return. compounded of security

where: ‚ ‚ previous period and up to the end of the current current end of the the to and up period previous the from derived is amount The dividend period. historydistribution and Cash Amount Dividend example, same range. Price in the For Adjust to Factor in the event is the only distribution split if a 2-for-1 to Factor Price is 1.0, Adjust to time range, Factor is 2.0, and Dividend Cash Prices in Period Adjust a one dollar dividend is the only Amount is 0.0. If Dividend in the time range, both event distribution 1.0. dividend amount are Cash Amount and a codes specify the reason return A series of special is missing: return ‚ SCHOLES-WILLIAMS BET of the relationship Beta is a statistical measurement compare and has been used to time series, two between risk in data measure security data to with benchmark annual betasfinancial data analysis. CRSP provides Scholes by developed using the methods computed and Joseph Williams, Scholes and Williams (Myron Data,” Nonsynchronous Betas from “Estimating 309-327). 5, 1977, Journal of Financial Economics, vol as follows: year Beta each is calculated

102 CHAPTER 3: CRSP Calculations Stock and Index Data Description Guide AL) LUE (USDV ALUE USED VALUE this is the For value-weighted indexes, of eligible Index weight - market value current securities with - price for the the day and price and shares for inclusion previous day are required for ND USED V ND USED AL) A A A T T LUE (TOTV ALUE AL V TOTAL VALUE TOTAL eligible Current Day market value of for the securities - price and shares inclusion current day are required for will Value On same date the Total to the always be greater than or equal Used Value. Unadjusted Data and is price, dividend, shares, Unadjusted data reportedvolume in the amounts reported at the time of the observations. All CRSP data provided are history the distribution can be However, unadjusted. data. Data the raw from Adjusted generate used to WEIGHTED RETURN of a security weight is the relative Return Weighted its return. multiplied by or index within a portfolio is Return Weighted portfolio, In a value-weighted the capitalization period at the end of the previous the period. for the return multiplied by TOT all for provided are Used Value and Value Total tableidentifies following The indexes. CRSP stock differences. DA TRADE-ONLY as the Price or Bid/Ask Average CRSP provides this from returns price field, daily standard and derives numbers as negative marked are field. Bid/ask averages Price from A trade-only price is derived convention. by all bid/ask average setting by or Bid/Ask Average calculated are returns Trade-only missing. prices to using trade-only prices. A trade-only is calculated index using trade-only prices and returns. UNADJUSTED DA USED COUNT Previous day & current day closing prices required for inclusion Count on Day t will be greater The Total than or equal to the Used Count on Day t+1. The difference will be the number of securities with missing prices on t+1 (usually the drops) Used Count will fluctuate throughout the year. i at time t TION is the return of security is the return for the year the year security i for deviation for is the standard is the number of non-missing returns for security i for non-missing returns is the number of AL COUNTS (TOTCNT) AND USED COUNTS i i i,t IA D DEV ANDAR during the year σ n being calculated r TOTAL COUNT TOTAL Current Day closing price required for inclusion Count will On same date the Total always be greater than or equal to the Used Count. The difference will be the number of securities with missing prices on the previous day (usually adds). Count will fluctuate throughout Total the year.

(USDCNT) all for provided Counts are Counts and Used Total table identifies The following and portfolios. indexes differences. where the summations are over t and include all over the summations are where security i had a non-missing return, on which days and of the year beginning with the first trading day A security of the year. trading day ending with the last of the eighty percent for valid returns have must Deviation a Standard have to in a year trading days provided of indexes families two are There calculated. as the deviations CRSP with annual standard by MKT the NYSE/NYSE statistic, Deviation Standard Deviation Standard NASDAQ and the Portfolios Portfolios. TOT where: ‚ ST statistical is a Deviation measurement Standard annual a series. CRSP provides of of the volatility the following using daily returns deviations of standard calculations: ‚ ‚

103 CHAPTER 3: CRSP Calculations Stock and Index Data Description Guide CHAPTER 4: INDEX METHODOLOGIES

CRSP provides a wide range of indexes that can be used as An Equal-Weighted Index and a Value-Weighted Index are benchmarks of market performance. Broad market indexes calculated for each market group. Each index contains index are provided with CRSP stock files. Additional market returns with and without dividends, index weights and indexes, stock portfolios, bond indexes, and inflation series counts. are provided with CRSP index files. The combination of portfolio results and assignment data provided with CRSP The Equal-Weighted Index is an Equal-Weighted Portfolio index files added to the security data in CRSP stock files built each calendar period from all issues listed on the allows a comparison of securities against comparative selected exchanges with valid prices on the current and benchmarks with a historical perspective. previous periods.

The Value-Weighted Index is a Value-Weighted Portfolio I. STOCK FILE INDEXES built each calendar period using all issues listed on the selected exchanges with available shares outstanding and The CRSP Stock File Indexes are a set of Market Indexes valid prices in the current and previous periods, excluding and Decile Portfolio Indexes provided daily, monthly, American Depositary Receipts. Issues are weighted by their quarterly, and annually for five market groups of securities. Market Capitalization at the end of the previous period. The market groups of securities for which indexes are calculated are the individual NYSE, NYSE MKT, NASDAQ An additional daily trade-only value-weighted index is and Arca markets, the NYSE/NYSE MKT, NYSE/NYSE available for NYSE/NYSE MKT. This index uses the same MKT/NASDAQ, and the NYSE/NYSE MKT/NASDAQ/ methdology as the NYSE/NYSE MKT Value-Weighted Arca market combinations. Published S&P 500 and Market Index, but only includes non-ADR securities with NASDAQ Composite Index Data are also included. trades on current and previous trading days.

The ranges for individual exchange data are listed below. Index Levels of CRSP Market Indexes are set to 100.0 on The series containing combinations of exchanges begin December 29, 1972. at the earliest point that data for any of the exchanges is available. The NYSE/NYSE MKT/NASDAQ/Arca Market Indexes are available in Daily and Monthly Stock Files. Other exchange ƒ The New York Stock Exchange (NYSE) all series begins combinations are available in the CRSP US Index Database December 31, 1925 and Security Portfolio Assignment Module. ƒ NYSE MKT all series begins July 2, 1962 ƒ The NASDAQ Stock Market (NASDAQ) all series begins B. PUBLISHED S&P 500 AND NASDAQ COMPOSITE December 14, 1972 INDEX DATA ‚ The Arca Exchange (Arca) all series begins The S&P 500 Composite Index is a value-weighted index March 8, 2006 created by Standard & Poor’s. Since March 1957, the index contains 500 securities. Prior to that time the index NOTE: Quarterly and annual index returns are not contained 90 securities. These have been combined into a available for the series including Arca. single time series. S&P Composite levels are collected from Daily and monthly index returns are calculated based public sources such as the Dow Jones New Service, the Wall on daily and monthly security holding period returns Street Journal and the Standard & Poor’s Statistical Service. respectively. Quarterly and annual frequency index returns The NASDAQ Composite Index is a value-weighted index are calculated by compounding monthly index returns. created by the NASDAQ Stock Market. A. CRSP MARKET INDEXES

Stock and Index Data Description Guide • PAGE 104 “Estimating Betas from Nonsynchronous Data”, Nonsynchronous Betas from “Estimating 309-327). 5, 1977, vol Economics, of Financial Journal deviation ranking annual standard uses the The other its ranking. for returns of the daily these statistics calculate to used The methodologies under in the CRSP Calculations section described are Williams Beta Deviation. and Standard Scholes- are Decile Indexes File Risk-Based CRSP Stock ranking the statistics at the by year each rebalanced the no data are for If there year. end of the previous a valid statistic an issue but can be for year previous is used in that statistic year, the current for calculated the rankings. 1 with Portfolio ranked CRSP Beta Deciles are betas containing positive the securities with the largest containing and securities with the smallest and 10 negative. most with ranked Deviation Deciles are CRSP Standard 1 containing securities containing the the Portfolio containing portfolio 10 deviations and standard largest assigned securities are securities with the lowest.Once is index return total an equal-weighted portfolios, to calendar period. each portfolio each for calculated the used for are security total returns Trade-only levels Index only. MKTNYSE/NYSE Beta Portfolios on 100.0 based on an initial value of calculated are December 29, 1972. Group one Index represents of decile indexes set Each of portfolio Type and one Portfolio results of index created Series are Index assignments and statistics. Ten Type. Portfolio each for II. CRSP CAP-BASED PORTFOLIOS data a monthly Index are CRSP Cap-Based Portfolio quarterly. rebalanced are that series based on portfolios series differs the calculate used to methodology The File Capitalization Decile CRSP Stock the from Indexes. on the listed includes all common stocks The universe Market National and NASDAQ MKT, NYSE NYSE, Closed-End Funds, Trusts, Investment Unit excluding Published S&P 500 and NASDAQ Composite Composite NASDAQ 500 and S&P Published monthly and the daily with DataIndex provided are and returns levels Files. Index Stock CRSPAccess with the Return a result, dividends. As exclude return a -88, or missing variable returns Dividends and membership returns Total indexes. both code, for subscribers to of the available S&P 500 are the data for Files. Index CRSPAccess DECILE CRSP STOCKC. CAPITALIZATION FILE INDEXES are File Capitalization Decile Indexes CRSP Stock market File Indexes Stock of the each for calculated American Depositary All securities excluding groups. of or combination exchange on a given Receipts capitalization to and according ranked are exchanges parts rebalancing equal ten each then divided into period. using the year, each rebalanced are The portfolios capitalization previous end of the at the market security rank starts the securities. If a security to year trading in its first capitalization is year of the the middle of a year, placed in securities are used in the ranking. The largest security A 1. in portfolio and the smallest 10 portfolio and used in the index is not a portfolio assigned to not 0. to Assignment set has its Portfolio including all dividends Returns Index Value-Weighted Index portfolios. of the ten on each calculated are on an initial value of 100.0 based calculated are levels on December 29, 1972. Group one Index represents of decile indexes set Each of portfolio Type and one Portfolio results of index created Series are Index assignments and statistics. Ten Type. Portfolio each for DECILE D. CRSP STOCK FILE RISK-BASED INDEXES created are Decile Indexes File Risk-Based CRSP Stock MKT the daily NYSE/NYSE and NASDAQ for In criteria. risk-based two combinations for market created are portfolios Segment Indexes, these Market of a measurement to ranking securities according by One ranking uses beta values the risk of their returns. Scholes by developed using the methods computed and Joseph Williams, Scholes and Williams (Myron

105 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide 16-nov-1931 22-jul-1929 End Date

06-feb-1930 31-dec-1925 Start Date these returns series based on an investment of one of one on an investment based series returns these 1925. 25, on December dollar assignments are and portfolio indexes Only monthly of the Each Cap-Based Portfolios. the for calculated one Index represents Cap-Based Indexes of sets three of Type and one Portfolio results of index Group Index assignments and statistics. Seventeen portfolio are composite, each decile and each Series, one for Type. Portfolio each for created STANDARD POWER & LIGHT “B” STANDARD INT’L MERCANTILE MARINE PFD Company Name

S&P 500 UNIVERSE are Universe the S&P 500® for CRSP Indexes CRSP from derived Indexes Market CRSP standard the CRSP Files but include only issues from Stock data 500® universe. in the S&P that are stock the S&P 500® series contain for The CRSP Indexes with and without returns value- and equal-weighted in the S&P 500® of stocks a market dividends for Daily and monthly datauniverse. beginning December S&P 500® The published provided. are 25, 1925 comparison. also included for are and returns index for in the CRSP indexes be included a security to For a price at the end have it must the S&P 500 Universe, the previous period, a price at the end of of the current be a member of the S&P 500 period, and it must period. See CRSP at the end of the current Universe and the the variables calculated for Indexes Market used. methodology contains the index 90 issues. 1957, March, Prior to securities between two data for have CRSP does not as follows. and 1931 1925 III. CRSP INDEXES FOR THE FOR THE III. CRSP INDEXES ‚ Due to differences in handling mergers, differences Due to major corporate and other actions, reorganizations, always CRSP data do not the S&P 500® universe and In some cases this results mapping. a one-to-one have in a short CRSP is missing prices or has period where S&P. by listed multiple prices per company 500 (90 always The Count of Securities Used is not NYSE only NYSE MKT NYSE data added are MKT. NYSE and NYSE beginning July 1962 National MKT NYSE NYSE, and the NASDAQ data are Market National The NASDAQ Market. added beginning April 1982 capitalizations used for are period market Previous assigning deciles and weights. assigned to Securities added during a quarter are month- consecutive when two portfolios appropriate available. end prices are price, price is a month-end When a security’s last is included in the portfolios’ its month’s return return. quarterly When the month-end price is missing, a replacement return the delisting from month-end value is derived etc. exchanges, regional terms, including merger month-end price is not replacement If the derived daily price is used. available the last available, the in an index If an issue becomes ineligible for as after an such active, middle of a quarter but is still the or because the issue is leaving change exchange the issue is considered Market, National NASDAQ held until the end of the month and then dropped. Capital Index Appreciation, Returns, Total Index a from calculated are Income Returns and Index of securities in the portfolio portfolio value-weighted of each for calculated are Levels period. Index each

REITs, Americus Trusts, foreign stocks and American and American stocks foreign Trusts, Americus REITs, Depositary primary with companies Eligible Receipts. populated equally into ranked are NYSE on the listings capitalizations serve decile largest deciles. The each in exchange various to applied that are as the breakpoints of the universe. groupings groups: exchange three for created are Decile results ‚ ‚ ‚ each for created are Individual decile portfolios 1 and being in decile the largest group, exchange decile each addition to In in decile 10. the smallest the following: for calculated are returns portfolio, CRSP 9-10, CRSP 1-2, CRSP 3-5, CRSP 6- 8, CRSP 1-10. and CRSP 6-10 eligible or ineligible during a becoming Companies rules: handled with the following are quarter ‚ ‚ ‚ ‚ ‚ ‚

106 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide suspicious quotes, issues that did not mature on their next coupon on their next mature issues that did not data, or payment yields. negative that implied bid quotations

than ninety days to maturity may be selected. Due to Due to selected. be may maturity to days ninety than of data, prior in periods the lack process the selection of and the maturities subjective somewhat is 1942 to days than several more deviate may issues the selected bills were targets. Where the thirty day from ninety and been used. have certificates may available, not or notes include: may Exclusions ƒ Each monthly return is calculated as price change plus plus as price change is calculated monthly return Each and price. The returns month’s last divided by interest, months -99 for to set values are index corresponding i.e. if the price be calculated, cannot a return in which month, or if no this month or last either is missing for available. valid issue was 7, 5, 2, and 1 year the 30, 20, 10, for The issue chosen selected was date a given series for Index Term Fixed The maturity as of the date. based on its length to contained under calculated in these series are returns issue is bought one that the relevant the assumption and sold on the date. date the quote month prior to Treasury the 90 and 30 day for The issue chosen based on its selected was date Bill series on a given prior immediately maturity as of the month length to were series returns The 90 and 30 day the date. to issue on the basis of buying the relevant calculated and selling it on the the date one month prior to is calculated bill return a 90 day example, For date. the prior to 90 days approximately a date between is a month after which and the date bill’s maturity, is calculated bill return a 30 day Likewise, this date. the bill’s prior to 30 days approximately a date between one month later. is a date which and the date maturity, approached chronologically the date In cases where making a final thereby the maturity date, or exceeded based on a calculated was the return price unavailable, final price of $100. of the CRSP US Treasury levels index The associated and Inflation been initialized so that Series all have This 100. equals (19721229) December 29, 1972 and Indexes the CTI between facilitates comparison File Indexes. Stock ƒ ‚

Issues are selected based on membership selected in the S&P Issues are of the period instead previous 500 at the end of the period. end of the current the value of evaluate used to are returns Delisting the end of a period they before securities that delist selected. were

ƒ ‚ AND INFLATION CRSP TREASURY IV. prior to March 1957) due to missing prices. Known prices. Known missing to due 1957) March to prior trading, when-issued prices are missing for reasons suspensions. halts, and THE S&P 500 FOR A. PORTFOLIOS CRSP UNIVERSE the S&P 500 Universe for The CRSP Portfolios version equal-weighted value- and include an alternate The the S&P 500 Universe. for of the CRSP indexes are: differences methodology INDEXES and InflationThe CRSP US Treasury Series (CTI) series The monthly frequency. on a provided Files are the CRSP US Treasury from adapted contains returns Rates Risk Free Series, the CRSP Index Term Fixed Consumer Price Index. File, and the US Government 30 of indexes: groups files 10 offer These derived 90 1 year, 2 year, year, 5 7 year, year, 10 20 year, year, as the as well target maturity indexes, and 30 day day, Consumer Price Index. or with maturities of one year series fixed-term For each for bond or note Treasury a representative greater, on the filtered issues are Available series is selected. month, the most Each basis of their characteristics. and fully taxable non-callable, non-flower, recent issue are If none the target is selected. maturity to closest that flower a second pass allows bonds. Note found, of the lack due to or 1942 all these series begin in 1941 suitable issues in the early history. series, a risk-free thirty day For and ninety selected. series is each bill for Treasury representative the target to month the issue maturing closest Each the end of the previous from duration, as measured thirty at least days have Bills must month, is selected. the thirty day for be selected to their maturity date to series, bills with less day ninety for series. However,

107 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide move up to the next highest maturity and so forth. maturity highest the next to up move For the period 1934-1942, always choose a non-flower choose always 1934-1942, the period For a bond to bond (iflwr is given of 1) and preference (itaxthat is partially of 2). If a partially tax-exempt tax- choose criteria, the above meet bond does not exempt only bond ( itax of 3). After 1942 a wholly taxexempt fully taxable non-flower chosen. bonds are and bonds Treasury U.S. Callable and non-callable issues are inclusion. The index for considered are notes to issued with a term of bonds a universe from chosen maturity. to days 7000 to 1000 maturity between SELECTION TERM BOND SHORT maturity to 90 days to Bill closest Choose the Treasury of target A bill can be within 4 days date. on the quote If a bill is plus or minus 4 days. days i.e. 90 maturity, use a certificate available not or a note. r. lect the most currently issued 5 year bond with issued 5 year currently Select the most maturity at the beginning of the to years 5 at least calendar yea criteria the above meet bond does not If a 5-year 5 to shortestselect the next maturity that is closest example, For date. maturity on the quote to years to closest the 7-year choose bond exists, if a 7-year exist bond does not If a 7-year maturity. to 5 years Select the 20-year bond that is the closest to having having to closest bond that is the 20-year Select the at the maturity to years 19.5 of at least a term than one exists, If more of the year. beginning date dated current the bond with the most choose issued). recently (i.e. most criteria, the above meet does not bond If a 20-year to years 19.7 bond with at least the 25-year choose than more If of the year. maturity at the beginning to years 20 to the bond closest choose one exists, maturity. criteria, the above meet bond does not If a 25-year to years 19.7 bond with at least 30-year the choose than If more maturity at the beginning of the year. to 20 years to the bond closest choose one exists, date. maturity on the quote

2. 2. 3. above of the categories under any The bond chosen of the 1st than December later any be dated cannot the bond is being considered which for year previous + one month date (i.e. dated in the index inclusion for only partially tax-exempt 1942, Before date). < = quote because of the limited bonds (itax=2) chosen are only number of fully taxable bond issues. After 1942, fully taxable (itax=1). chosen issues are Bonds in the index. one full year The bond is held for either non-callable or callable are this index for chosen bonds with a type of Bond or Callable Bond. Treasury of a universe from bond can be selected A 20-year maturity to a term issued as having bonds that were an issue of bond from a 25-year days, of 7305-7693 an issue of bond from and a 30- year days, 8766-9892 days. 10955-11288 SELECTION TERM BOND B. INTERMEDIATE 1. V. CRSP SELECT FILE SPECIFICATIONS FILE SELECT CRSP V. A. LONG SELECTION BOND TERM 1.

108 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide Product IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX Monthly Setid 420 420 420 420 420 420 420 420 420 420 420 420 400 420 420 420 420 420 420 420 420 420 420 420 420 400 420 420 420 420 420 420 420 420 420 420 420 420 400 - 420 Daily Setid 460 460 460 460 460 460 460 460 460 460 460 460 440 460 460 460 460 460 460 460 460 460 460 460 460 440 460 460 460 460 460 460 460 460 460 460 460 460 440 460 460 Index Name CRSP NYSE Value-Weighted Market Index Market CRSP NYSE Value-Weighted CRSP NYSE Equal-Weighted Market Index Market CRSP NYSE Equal-Weighted CRSP NYSE Market Capitalization Decile 1 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 2 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 3 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 4 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 5 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 6 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 7 CRSP NYSE Market Capitalization CRSP NYSE Market Capitalization Decile 8 CRSP NYSE Market Capitalization Decile 9 CRSP NYSE Market Capitalization Decile 10 CRSP NYSE Market Capitalization Deciles CRSP NYSE MKT Value-Weighted Market Index CRSP NYSE MKT Value-Weighted CRSP NYSE MKT Equal-Weighted Market Index CRSP NYSE MKT Equal-Weighted CRSP NYSE MKT Market Capitalization Decile 1 CRSP NYSE MKT Market Capitalization Decile 2 CRSP NYSE MKT Market Capitalization Decile 3 CRSP NYSE MKT Market Capitalization Decile 4 CRSP NYSE MKT Market Capitalization Decile 5 CRSP NYSE MKT Market Capitalization Decile 6 CRSP NYSE MKT Market Capitalization Decile 7 CRSP NYSE MKT Market Capitalization Decile 8 CRSP NYSE MKT Market Capitalization Decile 9 CRSP NYSE MKT Market Capitalization Decile 10 CRSP NYSE MKT Market Capitalization Deciles CRSP NYSE/NYSE MKT Value-Weighted Market Index CRSP NYSE/NYSE MKT Value-Weighted CRSP NYSE/NYSE MKT Equal-Weighted Market Index CRSP NYSE/NYSE MKT Equal-Weighted CRSP NYSE/NYSE MKT Market Capitalization Decile 1 CRSP NYSE/NYSE MKT Market Capitalization Decile 2 CRSP NYSE/NYSE MKT Market Capitalization Decile 3 CRSP NYSE/NYSE MKT Market Capitalization Decile 4 CRSP NYSE/NYSE MKT Market Capitalization Decile 5 CRSP NYSE/NYSE MKT Market Capitalization Decile 6 CRSP NYSE/NYSE MKT Market Capitalization Decile 7 CRSP NYSE/NYSE MKT Market Capitalization Decile 8 CRSP NYSE/NYSE MKT Market Capitalization Decile 9 CRSP NYSE/NYSE MKT Market Capitalization Decile 10 CRSP NYSE/NYSE MKT Market Capitalization Deciles CRSP NYSE/NYSE MKT Trade-Only Value-Weighted Market Index Value-Weighted CRSP NYSE/NYSE MKT Trade-Only CRSP NASDAQ Value-Weighted Market Index CRSP NASDAQ Value-Weighted INDNO 1000000 1000001 1000002 1000003 1000004 1000005 1000006 1000007 1000008 1000009 1000010 1000011 1000012 1000020 1000021 1000022 1000023 1000024 1000025 1000026 1000027 1000028 1000029 1000030 1000031 1000032 1000040 1000041 1000042 1000043 1000044 1000045 1000046 1000047 1000048 1000049 1000050 1000051 1000052 1000053 1000060 VI. CRSP INDEX SERIES INDEX VI. CRSP A. INDEX SERIES CRSP INDNO. table by Series all CRSP Index lists The following

109 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide Product IX IX IX IX IX IX IX IX IX IX IX IX STK, IX STK, IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX Monthly Setid Monthly 420 420 420 420 420 420 420 420 420 420 420 400 420 420 420 420 420 420 420 420 420 420 420 420 400 ------Daily Setid 460 460 460 460 460 460 460 460 460 460 460 440 460 460 460 460 460 460 460 460 460 460 460 460 440 460 460 460 460 460 460 460 460 460 460 440 460 460 460 460 460 460 460 460 460 460 Index Name CRSP NASDAQ Equal-Weighted Market Index Market Equal-Weighted CRSP NASDAQ CRSP NASDAQ Market Capitalization Decile 1 Market Capitalization Decile CRSP NASDAQ CRSP NASDAQ Market Capitalization Decile 2 Market Capitalization Decile CRSP NASDAQ CRSP NASDAQ Market Capitalization Decile 3 Market Capitalization Decile CRSP NASDAQ CRSP NASDAQ Market Capitalization Decile 4 Market Capitalization Decile CRSP NASDAQ CRSP NASDAQ Market Capitalization Decile 5 CRSP NASDAQ Market Capitalization CRSP NASDAQ Market Capitalization Decile 6 CRSP NASDAQ Market Capitalization CRSP NASDAQ Market Capitalization Decile 7 CRSP NASDAQ Market Capitalization CRSP NASDAQ Market Capitalization Decile 8 CRSP NASDAQ Market Capitalization CRSP NASDAQ Market Capitalization Decile 9 CRSP NASDAQ Market Capitalization CRSP NASDAQ Market Capitalization Decile 10 CRSP NASDAQ Market Capitalization CRSP NASDAQ Market Capitalization Deciles CRSP NASDAQ Market Capitalization CRSP NYSE/NYSE MKT/NASDAQ Value-Weighted Market Index Value-Weighted CRSP NYSE/NYSE MKT/NASDAQ CRSP NYSE/NYSE MKT/NASDAQ Equal-Weighted Market Index CRSP NYSE/NYSE MKT/NASDAQ Equal-Weighted CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 1 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 2 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 3 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 4 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 5 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 6 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 7 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 8 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 9 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile 10 CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Decile CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Deciles CRSP NYSE/NYSE MKT Beta Decile 1 CRSP NYSE/NYSE MKT Beta Decile 2 CRSP NYSE/NYSE MKT Beta Decile 3 CRSP NYSE/NYSE MKT Beta Decile 4 CRSP NYSE/NYSE MKT Beta Decile 5 CRSP NYSE/NYSE MKT Beta Decile 6 CRSP NYSE/NYSE MKT Beta Decile 7 CRSP NYSE/NYSE MKT Beta Decile 8 CRSP NYSE/NYSE MKT Beta Decile 9 CRSP NYSE/NYSE MKT Beta Decile 10 CRSP NYSE/NYSE MKT Beta Deciles CRSP NYSE/NYSE MKT Standard Deviation Decile 1 CRSP NYSE/NYSE MKT Standard Deviation Decile 2 CRSP NYSE/NYSE MKT Standard Deviation Decile 3 CRSP NYSE/NYSE MKT Standard Deviation Decile 4 CRSP NYSE/NYSE MKT Standard Deviation Decile 5 CRSP NYSE/NYSE MKT Standard Deviation Decile 6 CRSP NYSE/NYSE MKT Standard Deviation Decile 7 CRSP NYSE/NYSE MKT Standard Deviation Decile 8 CRSP NYSE/NYSE MKT Standard Deviation Decile 9 CRSP NYSE/NYSE MKT Standard Deviation Decile 10 INDNO 1000061 1000062 1000063 1000064 1000065 1000066 1000067 1000068 1000069 1000070 1000071 1000072 1000080 1000081 1000082 1000083 1000084 1000085 1000086 1000087 1000088 1000089 1000090 1000091 1000092 1000102 1000103 1000104 1000105 1000106 1000107 1000108 1000109 1000110 1000111 1000112 1000122 1000123 1000124 1000125 1000126 1000127 1000128 1000129 1000130 1000131

110 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide Product IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX STK, IX STK, IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX Monthly Setid Monthly ------440 440 420 420 420 420 420 420 420 420 420 420 420 420 420 420 420 420 420 400 420 420 420 Daily Setid 440 460 460 460 460 460 460 460 460 460 460 440 460 460 460 460 460 460 460 460 460 460 440 460 460 ------Index Name CRSP NYSE/NYSE MKT Standard Deviation Deciles Standard Deviation MKT CRSP NYSE/NYSE CRSP NASDAQ Beta Decile 1 CRSP NASDAQ CRSP NASDAQ Beta Decile 2 CRSP NASDAQ CRSP NASDAQ Beta Decile 3 CRSP NASDAQ CRSP NASDAQ Beta Decile 4 CRSP NASDAQ CRSP NASDAQ Beta Decile 5 CRSP NASDAQ Beta Decile 6 CRSP NASDAQ Beta Decile 7 CRSP NASDAQ Beta Decile 8 CRSP NASDAQ Beta Decile 9 CRSP NASDAQ Beta Decile 10 CRSP NASDAQ Beta Deciles CRSP NASDAQ Standard Deviation Decile 1 CRSP NASDAQ Standard Deviation CRSP NASDAQ Standard Deviation Decile 2 CRSP NASDAQ Standard Deviation Decile 3 CRSP NASDAQ Standard Deviation Decile 4 CRSP NASDAQ Standard Deviation Decile 5 CRSP NASDAQ Standard Deviation Decile 6 CRSP NASDAQ Standard Deviation Decile 7 CRSP NASDAQ Standard Deviation Decile 8 CRSP NASDAQ Standard Deviation Decile 9 CRSP NASDAQ Standard Deviation Decile 10 CRSP NASDAQ Standard Deviation Deciles CRSP NYSE/NYSE MKT/NASDAQ/Arca Value-Weighted Market Index CRSP NYSE/NYSE MKT/NASDAQ/Arca Value-Weighted CRSP NYSE/NYSE MKT/NASDAQ/Arca Equal-Weighted Market Index CRSP NYSE/NYSE MKT/NASDAQ/Arca Equal-Weighted CRSP NYSE Cap-Based Portfolio 1 CRSP NYSE Cap-Based Portfolio 2 CRSP NYSE Cap-Based Portfolio 3 CRSP NYSE Cap-Based Portfolio 4 CRSP NYSE Cap-Based Portfolio 5 CRSP NYSE Cap-Based Portfolio 6 CRSP NYSE Cap-Based Portfolio 7 CRSP NYSE Cap-Based Portfolio 8 CRSP NYSE Cap-Based Portfolio 9 CRSP NYSE Cap-Based Portfolio 10 CRSP NYSE Cap-Based Portfolio 1-2 CRSP NYSE Cap-Based Portfolio 3-5 CRSP NYSE Cap-Based Portfolio 6-8 CRSP NYSE Cap-Based Portfolio 9-10 CRSP NYSE Cap-Based Portfolio 1-5 CRSP NYSE Cap-Based Portfolio 6-10 CRSP NYSE Cap-Based Portfolio Market CRSP NYSE Cap-Based Portfolios CRSP NYSE/NYSE MKT Cap-Based Portfolio 1 CRSP NYSE/NYSE MKT Cap-Based Portfolio 2 CRSP NYSE/NYSE MKT Cap-Based Portfolio 3 INDNO 1000132 1000142 1000143 1000144 1000145 1000146 1000147 1000148 1000149 1000150 1000151 1000152 1000162 1000163 1000164 1000165 1000166 1000167 1000168 1000169 1000170 1000171 1000172 1000200 1000201 1000300 1000301 1000302 1000303 1000304 1000305 1000306 1000307 1000308 1000309 1000310 1000311 1000312 1000313 1000314 1000315 1000316 1000317 1000320 1000321 1000322

111 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide Product IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX IX STK, IX STK, IX IX IX IX IX IX IX IX IX IX Monthly Setid Monthly 420 420 420 420 420 420 420 420 420 420 420 420 420 420 400 420 420 420 420 420 420 420 420 420 420 420 420 420 420 420 420 420 400 420 420 420 420 420 420 420 420 420 420 420 420 420 Daily Setid ------460 460 460 460 460 460 ------Index Name CRSP NYSE/NYSE MKT Cap-Based Portfolio 4 Cap-Based Portfolio MKT CRSP NYSE/NYSE CRSP NYSE/NYSE MKT Cap-Based Portfolio 5 MKT Cap-Based Portfolio CRSP NYSE/NYSE CRSP NYSE/NYSE MKT Cap-Based Portfolio 6 MKT Cap-Based Portfolio CRSP NYSE/NYSE CRSP NYSE/NYSE MKT Cap-Based Portfolio 7 MKT Cap-Based Portfolio CRSP NYSE/NYSE CRSP NYSE/NYSE MKT Cap-Based Portfolio 8 MKT Cap-Based Portfolio CRSP NYSE/NYSE CRSP NYSE/NYSE MKT Cap-Based Portfolio 9 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 10 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 1-2 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 3-5 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 6-8 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 9-10 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 1-5 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio 6-10 CRSP NYSE/NYSE MKT Cap-Based CRSP NYSE/NYSE MKT Cap-Based Portfolio Market CRSP NYSE/NYSE MKT Cap-Based Portfolios CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 1 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 2 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 3 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 4 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 5 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 6 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 7 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 8 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 9 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 10 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 1-2 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 3-5 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 6-8 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 9-10 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 1-5 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio 6-10 CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolio Market CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolios CRSP Value-Weighted Index of the S&P 500 Universe CRSP Value-Weighted CRSP Equal-Weighted Index of the S&P 500 Universe CRSP Equal-Weighted S&P 500 Composite NASDAQ Composite CRSP Value-Weighted Portfolios of the S&P 500 Universe Portfolios of the S&P 500 CRSP Value-Weighted CRSP Equal-Weighted Portfolios of the S&P 500 Universe CRSP Equal-Weighted CRSP 30-Year Bond Returns CRSP 30-Year CRSP 20-Year Bond Returns CRSP 20-Year CRSP 10-Year Bond Returns CRSP 10-Year CRSP 7-Year Bond Returns CRSP 7-Year CRSP 5-Year Bond Returns CRSP 5-Year CRSP 2-Year Bond Returns CRSP 2-Year CRSP 1-Year Bond Returns CRSP 1-Year INDNO 1000323 1000324 1000325 1000326 1000327 1000328 1000329 1000330 1000331 1000332 1000333 1000334 1000335 1000336 1000337 1000340 1000341 1000342 1000343 1000344 1000345 1000346 1000347 1000348 1000349 1000350 1000351 1000352 1000353 1000354 1000355 1000356 1000357 1000500 1000501 1000502 1000503 1000510 1000511 1000700 1000701 1000702 1000703 1000704 1000705 1000706

112 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide Product IX IX IX Product Availability DA, MA, IX IX IX IX IX IX IX IX IX IX IX IX Monthly Setid Monthly 420 420 420 Product Availability IX IX IX IX IX IX IX IX IX IX IX IX Monthly Portfolio Type 1 2 3 4 5 - - - - 6 7 8 Daily Setid - - - Monthly Yes Yes Yes Yes Yes - - - - Yes Yes Yes Daily Yes Yes Yes Yes Yes Yes Yes Yes Yes - - - Daily Portfolio Type 1 2 3 4 5 6 7 8 9 - - - INDNO 1000012 1000032 1000052 1000072 1000092 1000112 1000132 1000152 1000172 1000317 1000337 1000357 INDNO 1000092 1000052 1000072 1000012 1000032 1000112 1000132 1000152 1000172 1000357 1000317 1000337 Rebalancing Calendar Annual Annual Annual Annual Annual Annual Annual Annual Annual Quarterly Quarterly Quarterly Index Name CRSP 90-Day Bill Returns CRSP 90-Day CRSP 30-Day Bill Returns CRSP 30-Day Bill Consumer Price Index Consumer Price Portfolio Type Description Portfolio Type Index Group INDNO CRSP NYSE Market Capitalization Deciles CRSP NYSE Market Capitalization NYSE/NYSE MKT/NASDAQ Capitalization Deciles 1000707 1000708 CRSP NYSE MKT Market Capitalization Deciles CRSP NYSE MKT Market Capitalization NYSE/NYSE MKT Capitalization Deciles 1000709 CRSP NYSE/NYSE MKT Market Capitalization Deciles CRSP NYSE/NYSE MKT Market NASDAQ Capitalization Deciles CRSP NASDAQ Market Capitalization Deciles CRSP NASDAQ Market Capitalization NYSE Capitalization Deciles CRSP NYSE/NYSE MKT/NASDAQ Market Capitalization Deciles NYSE MKT Capitalization Deciles CRSP NYSE/NYSE MKT Beta Deciles NYSE/NYSE MKT Beta Deciles CRSP NYSE/NYSE MKT Standard Deviation Deciles NYSE/NYSE MKT Standard Deviation Deciles CRSP NASDAQ Beta Deciles NASDAQ Beta Deciles CRSP NASDAQ Standard Deviation Deciles NASDAQ Standard Deviation Deciles CRSP NYSE Cap-Based Portfolios Cap-Based NYSE/NYSE MKT/NASDAQ National Market Portfolios CRSP NYSE/NYSE MKT Cap-Based Portfolios Cap-Based NYSE Portfolios CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based CRSP NYSE/NYSE MKT/NASDAQ National Market Cap-Based Portfolios Cap-Based NYSE/NYSE MKT Portfolios C. CRSP PORTFOLIO TYPESC. CRSP PORTFOLIO B. CRSP INDEX GROUPS B. CRSP INDEX INDNO. by table Groups all CRSP Index lists The following

113 CHAPTER 4: Index Methodologies Stock and Index Data Description Guide CHAPTER 5: DATA CODING SCHEMES

I. NAME HISTORY ARRAY CODES NORTH AMERICAN SECURITY EXCHANGE & INDEX CODES SHARE TYPE The following is a list of codes for major North American A share type code contains two digits. The first digit security exchanges and indexes found in the CRSP data files: describes the type of security traded. CODE EXCHANGE NAME The second digit describes more detailed information about -2 Halted By NYSE Or NYSE MKT the type of security. -1 Suspended By NYSE, NYSE MKT, or NASDAQ 0 Not Trading On NYSE, NYSE MKT, or NASDAQ SHARE TYPE - FIRST DIGIT 1 NYSE CODE DEFINITION 2 NYSE MKT 1 Ordinary Common Shares 3 NASDAQ 2 Certificates, Americus Trust Components (Prime, Score, & Units)* 4 Arca 3 ADRs (American Depositary Receipts) 5 Bats (As Quoted By NASDAQ) 4 SBIs (Shares Of Beneficial Interest) 10 Boston Stock Exchange 7 Units (Depositary Units, Units Of Beneficial Interest, Units Of Limited Partnership 13 Chicago Stock Exchange Interest, Depositary Receipts, etc.), Exchange Traded Funds** 16 Pacific Stock Exchange

Note: *Americus Trust Components are exclusive to First Digit 2 and 17 Philadelphia Stock Exchange Second Digit 3. 19 Toronto Stock Exchange 20 Over-The-Counter (Non-NASDAQ Dealer Quotations) Note: **Exchange Traded Funds are exclusive to First Digit 7 and Second Digit 3. 31 When-Issued Trading On NYSE 32 When-Issued Trading On NYSE MKT SHARE TYPE - SECOND DIGIT 33 When-Issued Trading On NASDAQ CODE DEFINITION 34 When-Issued Trading On Arca 0 Securities Which Have Not Been Further Defined 1 Securities Which Need Not Be Further Defined 2 Companies Incorporated Outside The U.S II. DISTRIBUTION CODES 3 Americus Trust Components (Prime, Score, & Units)*, Exchange Traded Funds** 4 Closed-End Funds and Unit Investment Trusts A four-digit code describes distribution events. The first digit 5 Closed-End Fund Companies Incorporated Outside The US describes the distribution in general terms. The second digit 8 REIT’s (Real Estate Investment Trusts) describes the form or method of payment. The meaning of the third digit varies with the value of the first digit, and Note: *Americus Trust Components are exclusive to First Digit 2 and Second Digit 3. gives a more detailed description of the event. The fourth digit provides information about the tax status of the Note: **Exchange Traded Funds are exclusive to First Digit 7 and Second distribution. Digit 3. The coding and meanings of the four digits are described below. For digits 2, 3, and 4, special conventions apply: a value of “0” implies that CRSP has not yet discovered the descriptive information for the corresponding digit; a value of “1” implies sources have been checked and the status for the corresponding attribute is actually unspecified, not applicable, or not available for the distribution.

Stock and Index Data Description Guide • PAGE 114 MEANING unknown, not yet coded unspecified or not applicable step in merger with company on file step in merger with company not on file stock conversion executive option exercise own tender offer: stock buy-back own exchange offer: recapitalization stock offering MEANING unknown, not yet coded unspecified or not applicable split stock dividend split & stock dividend option of cash distribution of different issue of common; same company initial distribution of other class of common; same company MEANING unknown, not yet coded (no price or assigned value) unknown value Transferable market value of trading right on exdate Fair market value at exdate, calculate Value Non-transferable fair market value recdate if Non-transferable value at exdate, calculated (based on exdate is unavailable) Non-transferable, unknown value MEANING yet coded unknown, not not applicable unspecified or merger in another stock non-ordinary distribution reorganization option of stock exchange 0 1 2 5 6 7 8 CODE 0 1 2 3 4 5 6 7 CODE 0 1 2 3 4 5 6 7 8 CODE CODE 0 1 2 3 4 5 6 7 Split Type (for first digit = 5 only) (for Split Type first digit Issuance (for of Offer or Reason for Types = 6 only) Event Descriptor (for first = 3 only) digit (for Descriptor Event first digit = 4 only) (for Method Rights Valuation MEANING unknown, not yet coded unspecified or not applicable partial liquidation step in total liquidation final liquidation approval of liquidation sale of assets resulting in liquidation of company court proceedings determining status of company assets MEANING unknown, not yet coded unspecified or not applicable monthly quarterly semi-annual annual or final year-end extra or special interim non-recurring MEANING unknown, not yet coded unspecified or not applicable cash, United States dollars cash, foreign currency converted to US dollars cash, Canadian dollars (now obsolete, converted to US dollars) same issue of common stock units including same issue of common stock an issue of a different common stock which is on the file other property ordinary dividend ordinary dividend liquidating dividend reorganizations exchanges and subscription rights splits and stock dividends in shares outstanding) notation of issuance (change for dropped issues general information announcement MEANING CODE 0 1 3 4 5 6 7 8 0 1 2 3 4 5 6 7 8 9 CODE 0 1 2 3 4 5 6 7 8 CODE 1 2 3 4 5 6 7 CODE Event Descriptor (for first digit = 2 only) (for Descriptor Event THIRD DIGIT: THIRD DIGIT: first digit = 1 only) (for Dividend Frequency SECOND DIGIT: PAYMENT METHOD PAYMENT SECOND DIGIT: FIRST DIGIT: EVENT TYPE EVENT FIRST DIGIT:

115 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide DESCRIPTION unknown US cash dividend, tax status normal way US cash dividend, taxable in rate as taxable same frequency, US cash dividend, unspecified dividends loss US cash dividend, tax status - return of capital, gain recognized, not fully taxable as ordinary US cash dividend, unspecified frequency, income to individuals taxable same rate as dividends US cash dividend, monthly, tax status - return of capital, gain US cash dividend, monthly, recognized, loss not fully taxable as ordinary income to US cash dividend, monthly, individuals taxable same rate as dividends US cash dividend, quarterly, tax status - return of capital, gain US cash dividend, quarterly, recognized, loss not fully taxable as ordinary income to US cash dividend, quarterly, individuals tax status - dividend reinvestment plan US cash dividend, quarterly, of the qualifies for the limited exclusion provided by Sec. 305(e) Internal Revenue Code US cash dividend, semi-annual, taxable same rate as dividends US cash dividend, semi-annual, tax status - return of capital, gain recognized, loss not US cash dividend, semi-annual, fully taxable as ordinary income to individuals US cash dividend, annual, taxable same rate as dividends US cash dividend, annual, tax status - return of capital, gain recognized, loss not US cash dividend, annual, fully taxable as ordinary income to individuals or final, taxable same rate as dividends US cash dividend, year-end US cash dividend, extra or special, taxable same rate as dividends US cash dividend, extra or special, tax status - return of capital, gain recognized, loss not US cash dividend, extra or special, fully taxable as ordinary income to individuals US cash dividend, interim, taxable same rate as dividends DIVIDEND CODE 1200 1202 1212 1214 1218 1222 1224 1228 1232 1234 1238 1239 1242 1244 1248 1252 1254 1258 1262 1272 1274 1278 1282 the CRSP Stock files, the will be in code the dividend Stock the CRSP form*7**. 6225, are excepting codes 6***, The distribution a significantindicate change They informational. the for outstanding and the reason in the shares Code 6225 specifies See a dividend amount. change. additional Cash Amount for the variable Dividend on the 6225 code. information MEANING unknown, not yet coded unspecified or not applicable normal taxable at same rate as dividends normal non-taxable return of capital (i.e., gain recognized, loss not) gain or loss realized compared with cost realized capital gain (Investment Companies) capital gains tax credit fully taxable as ordinary income to individuals dividend reinvestment plan qualifies for the limited exclusion provided by Sec. 305(e) of the Internal Revenue Code MEANING yet coded unknown, not bankruptcy filing performance negative financial offer results in too few shareholders external tender in too few shareholders internal tender offer results US government intervention foreign or external intervention company request failure to meet exchange requirements 0 1 2 3 4 5 6 7 8 9 CODE CODE 0 1 2 3 4 5 6 7 8 Coding convention note for distribution codes with distribution for note Coding convention 1986, (taxdigit fourth the status) coded Until as 2 or 8: used in conjunction codes 2 and 8 were distribution part the the 2 represented that such with one another exclusion the dividend for of the dividend qualifying the part Since the that did not. and the 8 representing the exclusion, eliminated which act of 1986, tax reform been coded as 2’s. these have in CRSP Events Commonly Coded Distribution Files Stock table some of the most describes The following in the CRSP events commonly coded distribution the tax status verify files. of CRSP did not stock ordinary MKT dividends in the NYSE/NYSE file after file at or in the Supplemental NASDAQ April, 1987 CRSP assigned ordinary time. Instead, dividends any that is, US cash dividend, taxthe default code (12*2); taxable If a dividend as a dividend. in the normal way is traded on of a security which is in the form received FOURTH DIGIT: TAX STATUS TAX DIGIT: FOURTH Event Descriptor (for first = 7 only) digit (for Descriptor Event

116 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide DESCRIPTION - return of capital, gain, liquidation, tax status Cash paid in partial loss realized step in liquidation, non-taxable Cash paid as a - return of capital, gain step in liquidation tax status Cash paid as a recognized, loss not tax status - return of capital, gain Cash paid as a step in liquidation, or loss realized payment, tax status - return of Cash paid as a final liquidating capital, gain or loss realized as a step in liquidation, tax status - Other issue on file distributed loss not return of capital, gain recognized, as a step in unspecified liquidation Issue not on file distributed gains tax credit process, tax status - capital status return Issue not on file distributed as a step in liquidation, tax of capital, gain recognized, loss not Missing liquidation information, tax status - dividend reinvestment 305(e) of the plan qualifies for the limited exclusion provided by Sec. Internal Revenue Code DESCRIPTION rescinded, or Announcement of tender offer - offer not accepted, offer merger failed, tax status unspecified loss realized Cash received, preferred redeemed, tax status - gain or compared with cost as dividends taxable same rate Cash received in a merger, of capital gain, gain tax status - return Cash received in a merger, recognized, loss not or loss realized compared tax status - gain Cash received in a merger, with cost or loss Cash received in an exchange of stock, tax status - gain realized compared with cost Issue of file, received in a non-taxable merger Issue on file, received in a merger tax status - return of capital, gain recognized, loss not tax status - gain or loss realized Issue on file, received in a merger, compared with cost Issue on file, received as a non-ordinary stock distribution, taxable same rate as dividends Issue on file, received as a non-ordinary stock distribution, non- taxable Issue on file, received as a spin-off in reorganization, taxable same rate as dividends Issue on file, received as a spin-off in reorganization, non-taxable Issue on file, received as a spin-off in reorganization, tax status - return of capital, gain recognized, loss not Issue on file, received as an exchange, non-taxable Issue on file, received as an exchange, tax status - return of capital, gain recognized, loss not ACQUISITION/REORGANIZATION CODE 3131 3215 3222 3224 3225 3285 3723 3724 3725 3752 3753 3762 3763 3764 3783 3784 LIQUIDATION CODE 2235 2243 2244 2245 2255 2744 2817 2844 2999*

DESCRIPTION Announcement of liquidation or liquidating plan, tax status unspecified Announcement of sale of assets, tax status unspecified Liquidation involved in court proceedings, tax status unspecified Cash paid in distribution, tax status - realized capital gains, (Investment Companies) Cash paid in partial liquidation, tax status - return of capital, gain recognized, loss not DESCRIPTION from sale of rights, non-recurring, or proceeds US cash dividend, rate as dividends taxable same to US), unspecified (foreign currency converted Cash dividend unspecified or not applicable tax status - frequency, converted to US), unspecified Cash dividend (foreign currency fully taxable as ordinary income to individuals frequency, taxable converted to US), quarterly, Cash dividend (foreign currency same rate as dividends converted to US), quarterly; fully Cash dividend (foreign currency individuals taxable as ordinary income to converted to US), semi-annual, Cash dividend (foreign currency taxable same rate dividends converted to US), semi-annual, fully Cash dividend (foreign currency taxable as ordinary income to individuals taxable Cash dividend (foreign currency converted to US), annual, same rate as dividends or special, Cash dividend (foreign currency converted to US), extra taxable same rate as dividends or special, Cash dividend (foreign currency converted to US), extra fully taxable as ordinary income to individuals Cash dividend return of capital, taxable as normal dividend taxable same Dividend in other issue on file, unspecified frequency, rate as dividends Dividend in other issue on file, non-taxable Dividend in other issue on file, taxable as return of capital to Dividend in other issue on file, taxable as ordinary income individuals Dividend in other issue on file with an extra or special frequency, taxable same rate as dividends taxable as Dividend in issue not on file, unspecified frequency, dividend Dividend in issue not on file, non-taxable Dividend in issue not on file, taxable as return of capital Special Dividend in issue not on file, taxable as normal dividend Missing dividend terms, tax status - dividend reinvestment plan qualifies for the limited exclusion provided by Sec. 305(e) of the Internal Revenue Code LIQUIDATION CODE 2161 2171 2181 2216 2234 CODE 1292 1312 1318 1332 1338 1342 1348 1352 1372 1378 1412 1712 1713 1714 1718 1772 1812 1813 1814 1872 1999* DIVIDEND

117 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide

DESCRIPTION merger with company not on file, tax Common shares increased by compared with cost status - gain or loss realized tax offer, Common shares decreased through a companies own tender status - unknown specified Common shares increased or decreased for reasons not tax status Common shares increased by merger with company on file, - unspecified or not applicable on file, tax Common shares increased by merger with company not status - unspecified or not applicable status - Common shares increased through stock conversion, tax unspecified or not applicable Common shares increased through stock conversion, non-taxable buy-back of shares, tax Common shares reduced through company’s status - unspecified or not applicable tax own exchange offer, Common shares increased through company’s status - unspecified or not applicable rights Common shares increased through sale of stock other than issue, tax status - unspecified or not applicable or not Bankruptcy filing (for any reason) tax status - unspecified applicable Negative financial performance tax status - unspecified or not applicable External tender offer results in too few shareholders tax status - unspecified or not applicable Internal tender offer results in too few shareholders tax status - unspecified or not applicable US government intervention (SEC intervention, other government intervention or request) Foreign or external intervention (non-US government intervention, foreign non-government intervention, “acts of god”) tax status - unspecified or not applicable Company request (any reason except bankruptcy) tax status - unspecified or not applicable Failure to meet exchange requirements tax status - unspecified or not applicable DESCRIPTION company which trades on in different issue of same Stock distribution the file, non-taxable same company, of other class of common, Initial stock distribution file, non-taxable which is on the issue of common, same company, Initial stock distribution in different same rate as dividends which is not on file, taxable issue of common, same company, Initial stock distribution in different file, non-taxable which does not trade on the STOCK CODE 5763 5773 5872 5873 OFFER/ISSUANCES CODE 6235 6261 6511 6521 6531 6541 6543 6561 6571 6581 7111 7121 7131 7141 7151 7161 7171 7181 *This code alerts the user to information that is not coded, and is that is not *This code alerts information the user to scheme. distribution-coding with the conventional inconsistent DESCRIPTION Stock split, non-taxable Stock dividend, non-taxable Stock dividend, fully taxable as ordinary income to individuals DESCRIPTION at market value, non-taxable Rights to buy more of this security, Rights to buy more of this security at indicated value, non-taxable non-transferable value at exdate, Rights to buy more of this security, calculated (based on recdate if exdate unavailable), non-taxable non-taxable Rights to buy ‘units’ that include this security, Rights to buy another common issue on file, taxable same rate as dividends Rights to buy other securities at market value, taxable same rate as dividends Rights to buy other securities, nontaxable Rights to buy other securities at indicated value, non-taxable Missing rights distribution, tax status - dividend reinvestment plan qualifies for the limited exclusion provided by Sec. 305(e) of the Internal Revenue Code DESCRIPTION status - gain or loss received as an exchange, tax Issue on file, with cost realized compared non-taxable received in a merger, Issue not on file, - return of capital, tax status received in a merger, Issue not on file, gain recognized, loss not tax status - gain or loss realized a merger, Issue not on file, received in compared with cost a non-ordinary distribution in another Issue not on file, received as dividends stock, taxable same rate as a non-ordinary distribution, non-taxable Issue not on file, received as a non-ordinary distribution, tax status - Issue not on file, received as loss not return of capital, gain recognized, a reorganization, taxable as dividend Issue not on file, received in Issue not on file, received in a reorganization, non-taxable - return of Issue not on file, received in a reorganization, tax status capital, gain recognized, loss not Issue not on file, received in an exchange of stock, non-taxable of capital Issue not on file, received in an exchange of stock, return (gain recognized, loss not), nontaxable or loss realized Issue not on file, received in an exchange of stock, gain compared with cost amount or Partially coded final or other non-ordinary distribution; some terms missing; tax status unknown unknown Debenture without established market value, tax status 5523 5533 5538 STOCK CODE CODE 4523 4533 4563 4623 4722 4822 4823 4833 4999* RIGHTS CODE 3785 3823 3824 3825 3852 3853 3854 3862 3863 3864 3883 3884 3885 3888* 3989* ACQUISITION/REORGANIZATION

118 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide DESCRIPTION Issue stopped trading as result of company liquidation. Issue liquidated, for issue trading on NYSE. Issue liquidated for issue trading on NASDAQ. DESCRIPTION information. Replaces with missing final distribution Flags a merger 240 is no longer assigned. code 240. Code DESCRIPTION of stock, details unknown. Issue acquired by exchange on NYSE. Issue exchanged for issue trading on NYSE MKT. Issue exchanged for issue trading on NASDAQ. Issue exchanged for issue trading Over-the-Counter. Issue exchanged for stock trading another class of common stock. Replaces Issue exchanged, primarily for 301-303 are no longer assigned. codes 301, 302, and 303. Codes stock. (Other Issue exchanged, primarily for another class of common stock is not maintained on the CRSP file.) Issue exchanged, primarily for cash. or warrants, or Issue exchanged, primarily for preferred stock, or rights, debentures, or notes. Issue exchanged, primarily for other property. Flags an exchange with missing final distribution information. and cash. Issue Flags an exchange, shareholders receive common stock on CRSP file. and preferred Flags an exchange, shareholders receive common stock on CRSP file. stock or warrants or rights or debentures or notes. Issue and other Flags an exchange, shareholders receive common stock Issue on CRSP file. property. issue. Flags an exchange attempt that was not sufficient to “kill” and cash. Issue Flags an exchange, shareholders receive common stock not on CRSP file. and preferred Flags an exchange, shareholders receive common stock not on CRSP stock, or warrants, or rights, or debentures, or notes. Issue file. Flags an exchange, shareholders receive common stock and other Issue not on CRSP file. property. When exchanged, sharesholders primarily receive cash and preferred stock or warrants or rights or debentures or notes. When exchanged, shareholders primarily receive cash and other property. When exchanged, shareholders primarily receive preferred stock or warrants or rights or debentures or notes and other property. Flags an unsuccessful exchange attempt with missing distribution information. 400 401 403 LIQUIDATIONS CODE MERGERS CODE 290 EXCHANGES CODE 300 301 302 303 320 331 332 333 334 335 340* 341 342 343 350* 351 352 353 361 362 371 390* DESCRIPTION Bats. NASDAQ, Arca or NYSE/NYSE MKT, Issue still trading of file. but no prices in this version Issue still active, prices in file after 840831. Issue stopped trading, but no delisted from current exchange Issue stopped trading, but not (suspended or inactive). DESCRIPTION payment details unknown. Issue acquired in merger, an issue trading on NYSE. Merged into or in order to form MKT. Merged into or in order to form an issue trading on NYSE Merged into or in order to form an issue trading on NASDAQ. funds. When merged, shareholders primarily receive shares of mutual or ADRs. When merged, shareholders primarily receive common stock longer Replaces codes 201, 202 and 203. Codes 201-203 are no assigned. or ADRs. When merged, shareholders primarily receive common stock codes 210- (Merged stock is not maintained on the CRSP file.) Replaces 220. Codes 210-220 are no longer assigned. When merged, shareholders receive cash payments. bundled When merged, shareholders primarily receive preferred stock, units. units, warrants, or rights, or debentures, or notes, or bundled When merged, shareholders primarily receive other property. Flags merger with missing final distribution information. and cash, When merged, shareholders primarily receive common stock issue on CRSP file. and When merged, shareholders primarily receive common stock issue on preferred stock or warrants or rights or debentures or notes, CRSP file. When merged, shareholders primarily receive common stock, issue on issue on CRSP file. CRSP file and other property, When merged, shareholders primarily receive common stock or ADR, and cash and preferred stock or warrants or rights or debentures or notes. Issue on CRSP file. When merged, shareholders primarily receive common stock or ADRs and cash. (Merged stock is not maintained on the CRSP file.) When merged, shareholders primarily receive common stock or ADRs and preferred stock, or warrants, or rights, or debentures, or notes. When merged, shareholders primarily receive common stock or ADRs and other property. When merged, shareholders primarily receive cash and preferred stock, or warrants, or rights, or debentures, or notes. When merged, shareholders primarily receive cash and other property. When merged, shareholders primarily receive preferred stock or warrants, or rights, or debentures, or notes and other property. Issue delisted due to merger attempt, but merger attempt failed. CODE 200 201 202 203 205 231 232 233 234 235 240* 241 242 243 244 251 252 253 261 262 271 280 MERGERS ACTIVE CODE 100 150* 160* 170* III. DELISTING CODES III. DELISTING

119 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide DESCRIPTION Expired warrant or right rights, preferreds, or units called for redemption Warrants, Unit split into its component parts DESCRIPTION exception exchange - denied temporary Delisted by current requirement. financial exchange’s exchange - does not meet Delisted by current continued listing. guidelines for - protection of investors and the public Delisted by current exchange interest. - composition of unit is not acceptable. Delisted by current exchange - corporate governance violation. Delisted by current exchange company to an open-end Conversion of a closed-end investment investment company. - unlisted trading privileges Delisted by current exchange - delist required by Securities Exchange Delisted by current exchange Commission (SEC) DESCRIPTION A domestic Security becomes foreign on NYSE A domestic Security becomes foreign, but continues to trade on NYSE A domestic Security becomes foreign, but continues to trade MKT on NASDAQ A domestic Security becomes foreign, but continues to trade DOMESTICS THAT BECAME FOREIGN BECAME DOMESTICS THAT CODE 900 901 902 903 DROPPED CODE 583 584 585 586 587 588 589 591 EXPIRATIONS CODE 600 601 610 *Discontinued. Replaced with specific the codes in *Discontinued. Replaced 400-range.

Issue stopped trading on exchange - reason unavailable. Issue stopped trading on exchange - reason unavailable. Issue stopped trading current exchange - to NYSE. Issue stopped trading current exchange - to NYSE MKT. Issue stopped trading current exchange - to NASDAQ. Issue stopped trading current exchange - to Mutual Funds. Issue stopped trading current exchange - to Boston Exchange. Issue stopped trading current exchange - to Midwest Exchange. Issue stopped trading current exchange - to Montreal Exchange. Exchange. Issue stopped trading current exchange - to Pacific Stock Stock Issue stopped trading current exchange - to Philadelphia Exchange. Stock Exchange. Issue stopped trading current exchange - to Toronto Issue stopped trading current exchange - trading Over-the-Counter. Delisted by current exchange - unlisted trading privileges. market makers. Delisted by current exchange - insufficient number of Delisted by current exchange - insufficient number of shareholders. level. Delisted by current exchange - price fell below acceptable Delisted by current exchange - insufficient capital, surplus, and/or equity. Delisted by current exchange - insufficient (or non-compliance with rules of) float or assets. Delisted by current exchange - company request (no reason given). Delisted by current exchange - company request, liquidation. Delisted by current exchange - company request, deregistration (gone private). declared insolvent. Delisted by current exchange - bankruptcy, Delisted by current exchange - company request, offer rescinded, issue withdrawn by underwriter. Delisted by current exchange - delinquent in filing, non-payment of fees. Delisted by current exchange - failure to register under 12G of Securities Exchange Act. Delisted by current exchange - failure to meet exception or equity requirements. DESCRIPTION DESCRIPTION issue closed to further final distribution verified, Issue liquidated, research. issue closed to further no final distribution is verified, Issue liquidated, research. is verified, issue pending further Issue liquidated, no final distribution research. information is available, issue is Issue liquidated, no distribution pending further research. are to be paid, issue closed to further Issue liquidated, no distributions research. 500 501 502 503 505 510 513 514 516 517 519 520 535 550 551 552 560 561 570 572* 573 574 575 580 581 582 DROPPED CODE CODE 450 460 470 480 490 LIQUIDATIONS

120 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide NDXX - NQ-100 Ex-Tech Sect. Ind. NQ-100 Ex-Tech NDXX - Comp Ind NQ Glob Sel Mark NQGS - Market Comp Index NQGM - NQ Glob Cap Mkt Composite RCMP - Nasdaq SCM Industrial IXIDR - Nasdaq SCM Bank IXBKR - Nasdaq IXFNR - Nasdaq SCM Other Finance IXISR - Nasdaq SCM Insurance IXCS - Nasdaq SCM Computer IXBTS - Nasdaq SCM Biotechnology IXCMR - SmallCap Market Composite Ret Ind NETR - NQ100 Eq Wght Tot Ret In Sec Tot NTTR - NQ100 Tech Ret Sec Tot NXTR - NQ100 Ex-Tech BIXX - BetterInvesting 100 Index IXF - Nasdaq Financial 100 NDXL - NQ 100 Double Leverage IN QGRD - NQ OMX Cln Edg Smrt Gr IN NBI - Nasdaq Biotechnology(DRM) QNET - NASDAQ Internet Index Index - NQ OMX AeA IL Tech ILTI NOCO - NQ OMX Excess Return Indx QWND - NQ OMX Clean Edge Wind IN QWNX - NQ OMX Clean Edge Wind TR NHXC - NQ OMX Halter USX China I FINX - NQ Banking & Finl Index QAGR - NQ OMX Glob Agri Index Ret QAGX - NQ OMX Glob Agri Tot IN HAUL - Wilder Glob Enrgy Tran Ret HAUX - Wilder Glob Enrgy Tot QGBI - NQ OMX Glob Biotech Index R QGBX - NQ OMX Glob Biotech Tot QCOL - NQ OMX Glob Coal Index Ret QCLX - NQ OMX Glob Coal Tot QSTL - NQ OMX Glob Steel Index Ret QSTS - NQ OMX Glob Steel Tot QGLD - NQ OMX Glob Gold&Prec Ind QGLX - NQ OMX Glob Gold&Prec Tot CDGR - Copeland Risk Man Div GTR ABQI - NQ OMX ABA Comm Bank Indx ABQX - NQ OMX ABA Com Bank IndxR CHXI - Unknown CDGX - Copeland Risk Man Div Gro XABQ - ABA NQ COM BANK TOT RET QCRX - NQ OMX CRD GL SUS TOT RET QCRD - NQ OMX CRD GLOB SUST 50 XCMP - NQ COMP TOT RET 35 39 40 41 42 43 44 45 49 50 51 52 53 54 55 62 63 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 NONE - No index INDS - Nasdaq Industrial BANK - Nasdaq Bank OFIN - Nasdaq Other Finance INSR - Nasdaq Insurance TRAN - Nasdaq Transportation IXUT - Nasdaq Utility IXTC - Nasdaq Telecommunication IXCO - Nasdaq Computer IXBT - Nasdaq Biotechnology IXCM - Nasdaq Composite NDX - Nasdaq 100 IXO - Nasdaq 100(Unadjusted) NDXE - Nasdaq 100 alternate IXHC - Nasdaq Health Care Ret XNBI - NQ Biotechnology Tot Acheivers Index DIVQ - NQ Div. NBIE - NQ Biotech Equal Weight IXIDN - Nasdaq NNM Industrial IXBKN - Nasdaq NNM Bank IXFNN - Nasdaq NNM Other Finance IXISN - Nasdaq NNM Insurance IXTCN - Nasdaq NNM Telecommunicat IXCON - Nasdaq NNM Computer IXBTN - Nasdaq NNM Biotechnology IXCMN - Nasdaq NNM Composite DTEC - NQ Dallas Regional Chambe Ret Achievers Tot DVQT - NQ Div. Sector Ind. NDXT - NQ-100 Tech. Unknown or not applicable Unknown or not Active only one market maker with Trading Suspended Inactive Delisted Unknown or unavailable before June 15, 1992 The NASDAQ SmallCap Market The NASDAQ National Market The NASDAQ SmallCap Market after June 15, 1992 1 2 3 4 5 6 7 8 9 10 11 12 13 17 18 19 20 21 22 23 24 25 28 29 30 31 32 33 34 0 1 2 3 0 1 2 3 4 5 NASDAQ INDEX CODE NASDAQ NASDAQ NATIONAL MARKET INDICATOR NATIONAL NASDAQ IV. NASDAQ INFORMATION CODES INFORMATION NASDAQ IV. CODE STATUS NASDAQ

121 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide missing return due to missing price. missing return due to missing no return, array index not within range of Begin and End no return, array index not within Index of Return Data. not trading on an included exchange for this file. not trading on an included exchange more than 10 trading days between this day and the day trading days between this day more than 10 of latest preceding price. missing delisting return. missing delisting missing excess return due to no portfolio assignment. missing excess REASON FOR MISSING RETURN REASON FOR MISSING -99.0 -88.0 -77.0 -66.0 -55.0 -44.0 RET(I) RMISSP RMISSR RMISSE RMISSG RMISSD RMISSN PARAMETER V. MISSING RETURN CODES RETURN MISSING V.

122 CHAPTER 5: Data Coding Schemes Stock and Index Data Description Guide CHAPTER 6: DATABASE STRUCTURES

I. BASE CRSPACCESS DATA STRUCTURES C. HEADER OBJECTS Header Objects are data structures used to store header data A. TIME SERIES OBJECTS in CRSPAccess databases. A CRSP Header Object contains Time Series Objects are data structures used to store time information about the type of data stored and the actual series data in CRSPAccess databases. A CRSP time series contains information about the type of data stored for header fields. each observation, the ranges of valid data for the current entity, the actual list of data observations, and the calendar Variable Name Variable information needed to place the observations in time. Data Description Object Type Code objtype Information Array Type Code arrtype

Variable Name Variable Data Subtype Code subtype Data Description Object Type Code objtype Array Structure Size size_of_ array_width Information Array Type Code arrtype Object Array Object Array arr Data Subtype Code subtype Array Structure Size size_of_ array_width D. CALENDAR OBJECTS Maximum Number of Array maxarr Calendar Objects are data structures used to store calendar Elements data in CRSPAccess databases. A Calendar Object contains Ranges of Valid Data Begin of Valid Data beg information about the type of data stored, descriptive End of Valid Data end information about the calendar, the number of time periods Associated Calendar Calendar Time Period caltype available, and lists of calendar periods. The Calendar Information Description Code Objects are used with Time Series Objects to match data Calendar Associated with cal observations with a point in time. The calendar periods are Time Series usually identified by the last trading date in the period. Object Array Object Array arr

Variable Name Variable B. EVENT ARRAY OBJECTS Data Description Object Type Code objtype Event Array Objects are data structures used to store Information Maximum Number of Array maxarr event data in CRSPAccess databases. A CRSP event array Elements contains information about the type of data stored for each Calendar Type Availability Flag loadflag observation, the number of events for the current entity, and Ranges of Valid Data Number of Periods in Calendar ndays the actual event observations. The event dates or effective Calendar Description Calendar Name name date ranges are contained within the observations. Information Calendar Identification Number calid Calendar Period Arrays Calendar Period Grouping callist Variable Name Variable Identifiers Data Description Object Type Code objtype Calendar Trading Date caldt Information Array Type Code arrtype Data Subtype Code subtype Array Structure Size size_of_ array_width II. STOCK DATA STRUCTURE Data Secondary Subtype dummy Code Maximum Number of Array maxarr A. HEADER IDENTIFICATION AND SUMMARY Elements DATA - HEADER Number of Array Elements Number of Array Elements num Header Identification and Summary Data is a set of Object Array Object Array arr variables, in a CRSPAccess stock database using CRSP C access functions, that identify an issue and summarize its

Stock and Index Data Description Guide • PAGE 123 Variable ncusip naics ticker siccd namedt nameenddt comnam convcd cntrycd eligcd exchcd expdt inccd rating its issuercd namecd namedesc nameflag primexch secstat shrcls shrcd shrtype subexch denom trdstat tsymbol 1 Variable Name Variable CUSIP North American Industry Classification System (NAICS) Code Symbol Ticker Standard Industrial Classification (SIC) Code Name Effective Date Last Date of Name Company Name Convertible Code Country Code Eligibility Code Exchange Code Expiration Date Incorporation Code Interest Rate or Stricke Price System Indicator Intermarket Trading Issuer Code Name Code Name Description Name Flag Primary Exchange Security Status Share Class Share Code Share Type Sub-exchange Denomination Trading Status Trading Symbol Ticker Trading Secondary Identifiers Date Range of Name History Record Identifying Information CRSPAccess only CRSPAccess 1 Code, Exchange Name, Company CUSIP, If the Class, or SIC Code Symbol, Share Ticker Exchange a new security’s trading during the history, changes Date Effective Name the is added, with name structure is valid until another information That change. of the security becomes is added or the name structure obsolete. B. NAME HISTORY ARRAY - NAMES ARRAY HISTORY B. NAME of identification History sets includes The Name Array during the history times different at effective variables or name information, of set Each of a security. contains classification name and structure, fields and security rangesfields. of those date Each the effective structure. one name has at least Variable permco permno hcusip compno issuno begdt enddt hcomnam hconvcd hcntrycd heligcd hexcd hexpdt hinccd hrating hits hnamedesc hissuercd hnamecd hnamedesc hnameflag hnaics hprimexch hsecstat hshrcd hshrtype hsiccd hsubexch htick hdenom htsymbol dlstcd htrdstat Variable Name Variable PERMCO PERMNO CUSIP - Header NASDAQ Company Number NASDAQ Issue Number Begin of Stock Data End of Stock Data Company Name - Header Convertible Code - Header Country Code - Header Eligibility Code - Header Exchange Code - Header Expiration Date Incorporation Code - Header Interest Rate or Strike Price System Indicator Intermarket Trading - Header Issue Description - Header Issuer Code - Header Name Code - Header Name Description - Header Name Flag - Header North American Industry Classification Code - Header Primary Exchange - Header Security Status - Header Share Code - Header - Header Share Type Standard Industrial Classification (SIC) Code - Header Sub-exchange - Header Symbol - Header (active Ticker securities only) Denomination - Header Trading Symbol - Header Ticker Trading Delisting Code - Header Status - Header Trading Primary Permanent Identifiers Secondary Permanent Identifiers Security Date Ranges Most Recent Header Identification and Summary Data Information Most Recent Listing Information classification. There is no time component to the to component is no time classification. There dataheader range of data so the entire the valid are Header Identification issue. the and Summary Data issue on the information contains current most the maintained only one header is file. in the There that data Note iteration. any per issue for structure active for Symbol - Header only contains tickers Ticker securities.

124 CHAPTER 6: Database Structures Stock and Index Data Description Guide SHRSENDDT SHRSDT Variable SHROUT SHRFLG 1 Shares Outstanding Observation Date Variable Name Variable Shares Outstanding Shares Outstanding Observation Flag Shares Outstanding Observation End Date price of the parent security on the Ex-Distribution on the Ex-Distribution security of the parent price and Acquiring PERMNO Acquiring Date. company the new link to can be used to PERMCO when available. - All partial payments and final Liquidation included. These contain are payments liquidation that dates and relevant payment the value of each of stock, is in the form If the payment known. are the purchase from come to is known or if a payment the Acquiring company, a known by of assets that to set PERMCO are PERMNO and Acquiring or issue. company of capital distributions. Return Rights offerings. and reorganization acquisition, Merger, distributions. offers. tender Limited to on announcements related Information in offers and tender that resulted liquidations delistings. and share offerings, buybacks, shares Known acquisitions. due to increases Shares Information Share Observation Date Range

CRSPAccess data access only. CRSPAccess ‚ ‚ ‚ ‚ ‚ ‚ ‚ used scheme the coding Codes for See Distribution of specific cases of as examples as well CRSP, by distributions. OBSERVATIONS D. SHARES OUTSTANDING - SHARES ARRAY Outstanding ObservationsThe Shares contains Array the history of observations outstanding of the shares the shares CRSP records history of a security. shares the total not the security, outstanding only for included. not are shares Treasury the company. for American Depositary outstanding for Shares Receipts outstanding the of the ADR, not the shares (ADRs) are in recorded outstanding are underlying issue. Shares thousands. 1 Variable DISTCD DIVAMT FACPR FACSHR DCLRDT EXDT RCRDDT PAYDT ACPERM ACCOMP 1 1 Variable Name Variable Distribution Code Dividend Cash Amount Factor to Adjust Price Factor to Adjust Shares Outstanding Distribution Declaration Date Ex-Distribution Date Record Date Payment Date Acquiring PERMNO Acquiring PERMCO Periodic and special cash dividends - the cash Periodic dates and related amount in US dollars, frequency, provided. of all cash dividends are splits - the dividends, and reverse splits, stock Stock type of action, and price and shares, adjust to factors provided. of all splits are dates related Spin-offs included. The cash - All spin-off are events value of the spin-off is the price at the end of the ex- A price factor received. of the stock date distribution the dividing the cash amount by by is calculated Distribution Information Factors to Adjust Prices and Shares Dates Associated with the Distribution Securities/Companies Related to the Event

CRSPAccess variable only, available in both FORTRAN and C. FORTRAN available in both variable only, CRSPAccess 1 one component, than has more event If a distribution separately of the event component CRSP codes each of a code. All components with a four-digit the same Ex-Distribution share event distribution and unique security are each for Distributions Date. Code, Distribution Date, sorted Ex-Distribution are by a are Events PERMNO. Distribution and Acquiring a summary not of events, period. set by descriptive calculations, returns The data can be summarized for and adjustments, price and shares returns, delisting types of event dividend and split totals. The following available: are ‚ ‚ ‚ Name Histories may include periods, possibly possibly periods, include may Histories Name the dataoutside range, is trading security when the trading all. The at or is not exchange on a different contains detailed Code description more Exchange a given on trading status location for and information range. date - DISTSC. DISTRIBUTION EVENT ARRAY of events is a list Array Event The Distribution capitaldescribing cash dividends, and adjustments, of a security. shareholders made to distributions other

125 CHAPTER 6: Database Structures Stock and Index Data Description Guide nwcomp nwperm Variable dlamt dlstcd dlprc dlret dlretx dlstdt nextdt dlpdt 1 1 New PERMNO Variable Name Variable After Delisting Amount Delisting Code Delisting Price Delisting Return without Delisting Return Dividends Delisting Date Date of Next Available Information Delisting Payment Date New PERMCO Research has verified that a final has distribution has verified Research stockholders. been paid to exchange. on another A price is found ever were that no distributions has verified Research stockholders. paid to stockholders, been paid to have Some distributions can be found but no final information distribution most of the passed since the date have years and 10 information. delisting recent can be concerning the delisting information No date. delist passed since the have years and 10 found Delist Information Dates Assocaited with Delist Securities/Companies Associated with Delist

CRSPAccess C and FORTRAN only. C and FORTRAN CRSPAccess 1 delisting CRSP files recent the most only In current If an issue Array. Event is coded in the Delisting event data in the CRSP files and later an exchange leaves History in the Name Array the gap is marked returns, Code of 0. During this time, event with an Exchange and time series data filled in are tracked data not are with missing values. several by is determined information Delisting possible at the earliest of shares the exchange factors: trade on a secondary payments opportunity, market, The or outstanding offer. tender the company, from An issue as it becomes available. is coded information of the if any further closed to is considered research conditions apply: following ‚ ‚ ‚ ‚ ‚ issue, a delisted If none of these conditions applies to means that furtherthe issue is pending, which research conditions has been until one of the above is required or the information is found If no information met. will be return no delisting is incomplete, found CRSP. by calculated Primary observationsshares contain a shares annual an outstanding from taken amount directly reportor quarterly a data or using company source reports. shares with imputed supplemented These are observations affecting distributions from derived Shares. Adjust to outstanding using Factor shares

2. a change was entryA new that there imply does not outstanding. In general,in the number of shares every per year. structure one shares has at least company in the date each is effective Exactly structure one shares outstanding observation One shares security’s history. observation until the next is effective or the delisting observation The first the date. shares from is effective Observation of the beginning to Shares backward Date data. Outstanding ObservationsThe Shares cannot Array outstanding find each the shares directly be used to are programs calendar period. Utility functions and map observations to available time series used to to capitalization. market calculate - DELIST E. DELISTING EVENT ARRAY Every security on the CRSP file is assigned one contains Array Event Delisting The record. delist status on the of a security afterinformation it is no file. in a CRSP Each on an exchange longer listed history containsdelisting event describing a code the value after delisting, delisting for the reason issue and acquiring forward links to (when available), NASDAQ, MKT, NYSE traded on NYSE, company a issues have Active return. and delisting or Arca to is set Date Delisting history where delisting event price data. of available date The Distribution the last History data includes itemized on the payments Array after shareholders and includes made to the delisting, the delisting to related announcement information when available. There are two types of Shares Outstanding Shares types of two are There Observations: 1.

126 CHAPTER 6: Database Structures Stock and Index Data Description Guide Variable askhi bidlo ret prc vol Variable altprc altprcdt retx spread openprc ask bid numtrd Variable port stat Variable Name Variable Ask or High Price Bid or Low Price Return Holding Period Total Price or Bid/Ask Average Traded Volume Price Alternate (monthly only) Price Alternate Date (monthly only) Return Without Dividends Spread Between Bid and Ask (monthly only) Open Price (daily only) Ask Bid (daily NASDAQ Number of Trades only) Name Variable Portfolio Assignment Number Portfolio Statistic Value Variable Name Variable Monthly Alternate Price and Date, Daily Open Price, Returns Without Dividends, Spread Time Series Data Portfolio Statistic and Series Assignment Times Data Price, Volume, and Return Time and Return Time Price, Volume, Series Data G. PRICE, VOLUME, AND RETURN TIME TIME RETURN AND VOLUME, G. PRICE, ARRAYS SERIES are Series Arrays Time Return and Price, Volume, of CRSP the core up time series that makes of a set data. total price time series, three This includes stock series in a All these time and trading volumes. returns, file use the same calendar(s). stock I. PORTFOLIO STATISTICS AND ASSIGNMENT STATISTICS I. PORTFOLIO TIME SERIES - PORT Series is Statistics and Assignment Time Portfolio time portfolio time series. Each of portfolio a set defined type series is based on a portfolio CRSP by and contains a history of statistics and portfolio available variables are Two a security. assignments for calendar period: each for H. AUXILIARY TIME SERIES DATA H. AUXILIARY Auxiliary time series additional Data Series are Time files at the same stock in CRSPAccess provided Time and Return Price, Volume, as the frequency Series Arrays. Variable mmcnt nsdinx nmsind trtscd trtsdt trtsenddt 1 Market Maker Count NASD Index Code NASDAQ National Market Indicator Code NASDAQ Traits Date NASDAQ Traits End Date NASDAQ Traits Variable Name Variable NASDAQ Information Array Data NASDAQ Information Date Range NASDAQ information data are missing in December, 1982 for all issues with NASD NASDAQ information data are missing in December, The NASDAQ National Market was initiated in April in April initiated was Market National The NASDAQ traded actively and generally larger more for 1982 Market National securities. The NASDAQ NASDAQ higher financial and non- meet Securities must and were stocks, NASDAQ financial than other criteria reporting. last-sale In June of 1992 subject to always Stock segment of the NASDAQ NASDAQ the regular SmallCap Market The NASDAQ renamed was Market the first time these issues became subject to and for reporting. price and volume real-time Monthly: If no delisting information exists, and exists, information Monthly: delisting If no datadaily after trading month-end date, exist the last partial-monthCRSP generates amounts and delisting daily trading date. price on the last using the by returns in the stored are the partialAlthough returns month returns. delisting not field, are they Return Delisting - NASDIN ARRAY INFORMATION NASDAQ F. contains Array a history Information The NASDAQ Stock of an issue’s trading status on The NASDAQ contains or structure, of information, set Each Market. status and classification date fields and the effective Code, Traits ranges of those fields. If the NASDAQ Index NASD Indicator, Market National NASDAQ then a Count changes, Makers Code, or Market of the change and the date is added, structure new issue Each Date. Traits in the NASDAQ is recorded since November Market Stock traded on the NASDAQ Array. Information NASDAQ one has at least 1982 1 NASDAQ information structures are available for securities trading on NASDAQ NASDAQ information structures are available for securities Date and NASDAQ National Market beginning on April 1, 1982 for NASDAQ Traits All fields are available beginning November 1, 1982. Indicator. company numbers less than 1025 (approximately 20 percent of the securities active Date, 1986 for all issues. NASDAQ Traits at that time), and are missing in February, Indicator are complete. All other Code, and NASDAQ National Market NASDAQ Traits fields are missing.

127 CHAPTER 6: Database Structures Stock and Index Data Description Guide Variable indno indco primflag portnum indname groupname method flags partuniv induniv rules assign Variable grpflag grpsubflag grpdt grpenddt Variable Name Variable INDNO INDCO Index Primary Link Portfolio Number if Subset Series Index Name Index Group Name Index Methodology Description Structure Index Exception Handling Flags Index Subset Screening Structure Partition Subset Screening Structure Portfolio Building Rules Structure Related Assignment Information Variable Name Variable of Associated Group Flag Index Flag Group Secondary Data Begin of Group End of Group Data Permanent Index Identifiers Descriptive Identifiers Index Structures (detailed below) Group Data Group Date Range The only grouptype currently available is 16 - S&P is 16 available currently The only grouptype this added to are inclusion events Only 500 Universe. 1. always is Index Flag of Associated so Group group, Data DataBegin of Group and End of Group identify included in the S&P 500 the range the security was the appropriate to subscribe The user must index. data. databases and index group extract to stock STRUCTURES III. INDEX DATA A. INDEX HEADER - INDHDR of fields Header is a set containingThe Index about an identification information methodology and for Methodologies See Index group. series or index about the methodologies information descriptive more types. of the CRSP index Each Portfolio Statistics and Assignment Time Series Statistics Time Assignment and Portfolio Each Types Portfolio Type. Portfolio called a is set in the based on CRSP indexes. groupings predefined are index CRSP to be linked time series can The portfolio security of a returns data excess calculate to returns time during at any portfolio index its assigned against its history. index a predefined represents Type Portfolio Each and rebalancing methodology with its own group to time series can be linked period. The portfolio frequency calendars on the rebalancing based different timing and calculation of the The of the index. on also dependent and assignment rules are statistic the not Calendarsthe index. are used in portfolios same calendars with security price and returns used ranges and calendars for can differ data. Portfolio time series, the types. In a portfolio all portfolio Index Data the Permanent to Code is set Subtype that INDNO, of an index Identification Number, of index contains of the group results the performance series built using the assignments. File Stock the CRSP assignments for The portfolio are NYSE/NASDAQ for Decile Capitalization Indexes files. Additional with daily and monthly stock provided with the CRSP US Index available are Types Portfolio Assignment Module. Database Security Portfolio and a module of the is information that the portfolio Note data. monthly stock daily or CRSPAccess associated daily or monthly indexes data assignment for Portfolio utilities when the the stock through can be extracted and index stock the appropriate user subscribes to included are based on the portfolios Indexes products. Assignments File and Portfolio in the CRSP Index product. details about the more table for Types See the Portfolio in monthly and daily stock defined available portfolios files. DATA J. GROUP inclusion of universe of arrays Data a set Group are supported is called a grouptype universe Each events. number that identifiesand assigned an integer it. The the number of universe lists grouptype each for array and dates. events

128 CHAPTER 6: Database Structures Stock and Index Data Description Guide Variable assigncode asperm asport rebalcal assigncal calccal Variable sccode fstdig secdig Variable rulecode buyfnct sellfnct statfnct groupflag Variable Name Variable Index Basic Assignment Code Types INDNO of Associated Index Portfolio Number in Associated Index Calendar Identification Number of Rebalancing Calendar Calendar Identification Number of Assignment Calendar Calendar Identification Number of Calculations Calendar Variable Name Variable Share Code Groupings a for Subsets in Restriction of Share First Digit Valid Code in a Restriction Digit Second Valid of Share Code in a Restriction Name Variable Index Basic Rule Types Code Index Function Code for Buy Rules Index Function Code for Sell Rules Index Function Code for Generating Statistics Index Statistic Grouping Code Portfolio Building Rules Structure Share Code Screen Share Code Screen Structure Portfolio Building Rules 6. Related Assignment Information – assign - – assign 6. Related Assignment Information Expansion 4. Share Code Screen Structure in a Partition or a Partition in Structure Code Screen 4. Share - Expansion Restriction - shrcd Index - - rules Structure Building Rules 5. Portfolio Expansion Variable univcode begdt enddt wantexch wantnms wantwi wantinc shrcd Variable flagcode addflag delflag delretflag missflag Variable methcode primtype subtype wgttype wgtflag Variable Name Variable Universe Subset Types Code in a Restriction Restriction Beginning Date Restriction End Date Exchange Codes in Valid Universe in a Restriction NASDAQ Market Valid Groups in Universe in a Restriction When-Issued Valid Securities in Universe in a Restriction Incorporation of Valid Securities in Universe in a Restriction Share Code Screen Structure in a Restriction Variable Name Variable Index Basic Exception Code Types Index New Issues Flag Index Ineligible Issues Flag Return of Delisted Issues Flag Index Missing Data Flag Variable Name Variable Code Index Method Type Index Primary Methodology Type Index Secondary Methodology Group Index Reweighting Type Flag Index Reweighting Flag Timing Index Subset Screening Structure and Partition Subset Screening Structure Exception Handling Flag Structure Methodology Description Methodology Description Structure 3. Partition/Index Subset Screening Structure - Structure Screening Subset 3. Partition/Index partuniv/induniv - Expansion 2. Index Exception Handling Flags – flags Exception - Expansion 2. Index 1. Index Methodology Description Structure – Structure Description Methodology Index 1. - Expansion method

129 CHAPTER 6: Database Structures Stock and Index Data Description Guide Variable permno begdt enddt subind weight Variable usdcnt totcnt usdval totval tret aret iret tind aind iind Variable Name Variable of Permanent Number List Securities in Index First Date Included in List Last Date Included in List Index Subcategory Code of Issue Weight Name Variable Index Used Count Count Index Total Index Used Value Value Index Total Return Index Total Index Capital Appreciation Return Index Income Return Return Index Index Total Level Index Capital Appreciation Index Level Index Income Return Index Level Security Identifier Date Range Security Characteristics Index Summary Statistics Index Returns Index Levels C. INDEX LIST HISTORY ARRAY LISTC. INDEX HISTORY The variable Number of Index Types contains the Types of Index The variable Number of the indexes each for series available count of index all data one time series for is always There in a set. time series than one series, and more in an index items all time series Not data group. in an index items for of the one If the range for index. each for available are data available set, type is not of that time series is not that index. for D. INDEX TIME SERIES D. INDEX TIME and summary result of sets Series are time Time Index include the following They indexes. for series arrays variables: Variable rbbegdt rbenddt usdcnt maxcnt totcnt endcnt minid maxid minstat maxstat medstat avgstat Variable Name Variable Index Rebalancing Begin Date Index Rebalancing End Date Count Used as of Rebalancing Maximum Count During Period as of Count Available Rebalancing Count at End of Rebalancing Period Statistic Minimum Identifier Statistic Maximum Identifier Statistic Minimum in Period Statistic Maximum in Period Statistic Median in Period in Statistic Average Period Rebalancing Date Ranges Rebalancing Portfolio Statistics Breakpoint Information The variable Number of Rebalancing Types contains Types of Rebalancing The variable Number history for the count of the rebalancing available arrays possible rebalancing ten are There in a set. all indexes and one in all Index Groups Index in current arrays count of periods, which has its own array Series. Each the particular applicable to if not index. zero to is set B. INDEX REBALANCING HISTORY ARRAY - ARRAY HISTORY REBALANCING B. INDEX REBAL[#][N] of Historyset a Rebalancing are The Index Arrayss containing decile- structures array event CRSPAccess for statistical information rebalancing historical level array event Each in an index. periods rebalancing within the history structure contains the characteristics one time range in the index, for one portfolio for assign securities to used to including the breakpoints the portfolio.

130 CHAPTER 6: Database Structures Stock and Index Data Description Guide