Dataframe: P1:crsp_daily - CRSP Daily Stock Data (Russell 1000 Proxy)#
Daily CRSP stock data for the paper window (2000-01-01 to 2019-06-30). Includes returns (ret, retx), prices, shares, adjustment factors, and delisting returns. A Russell 1000 proxy universe is constructed by ranking daily nominal market capitalization and keeping the top 1000 stocks per day.
DataFrame Glimpse#
Rows: 4903000
Columns: 22
$ date <datetime[ns]> 2016-01-08 00:00:00
$ permno <i64> 10026
$ permco <i64> 7976
$ cusip <str> '46603210'
$ ret <f64> -0.002075
$ retx <f64> -0.002075
$ prc <f64> 110.59
$ openprc <f64> 111.02
$ vol <f64> 86617.0
$ shrout <f64> 18677000.0
$ cfacshr <f64> 1.0
$ cfacpr <f64> 1.0
$ dlret <f64> None
$ dlretx <f64> None
$ dlstcd <i64> None
$ adj_shrout <f64> 18677000.0
$ adj_prc <f64> 110.59
$ adj_openprc <f64> 111.02
$ market_cap <f64> 2065489430.0
$ market_cap_adj <f64> 2065489430.0
$ rank <f64> 989.0
$ __index_level_0__ <i64> 18615
Dataframe Manifest#
Dataframe Name |
CRSP Daily Stock Data (Russell 1000 Proxy) |
|---|---|
Dataframe ID |
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Data Sources |
CRSP |
Data Providers |
WRDS |
Links to Providers |
|
Topic Tags |
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Type of Data Access |
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How is data pulled? |
Pulled via WRDS using crsp.dsf, msenames, and msedelist tables; filtered to common stocks and Russell 1000 proxy. |
Data available up to (min) |
N/A (large file) |
Data available up to (max) |
N/A (large file) |
Dataframe Path |
/Users/reecevdw/UChicago/FINM 32900/old_project/p17_chen_kelly_xiu_2022/_data/CRSP_DAILY_PAPER_UNIVERSE.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
p17_chen_kelly_xiu_2022 |
|---|---|
Pipeline ID |
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Lead Pipeline Developer |
Reece VanDeWeghe |
Contributors |
Andrew Moukabary |
Git Repo URL |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-02-09 21:03:13 |
OS Compatibility |
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Linked Dataframes |