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Finding a Time Series of Stock Prices in CRSP

How do I find a time series of stock prices using CRSP in WRDS?
Last Updated: Feb 13, 2014  |  300 Views
Topics: Equities, WRDS

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Answer

You can search for stock prices in CRSP in WRDS. Learn how to access WRDS databases.

Please note: CRSP stock prices are UNADJUSTED prices. There are no prices in CRSP that have been adjusted for splits.

Choose Database

  • Select CRSP
  • Under Annual Updates on left select Stock / Security Files, then Monthly Stock File

Step One: Date Range

  • Set Beginning Date month and year, e.g. Jan 1925
  • Set Ending Date month and year, e.g. Dec 2008
  • Data availability: CRSP monthly stock price data cover the period from December 1925 through the present. Daily data begin in July 1962. NYSE data are available throughout the entire period; AMEX data start in 1962, and NASDAQ data begin in 1972. The table summarizes the availability of data by date and exchange: 

    Period

    Exchange

    Start Date

    Monthly

    NYSE

    December 1925

     

    AMEX

    July 1962

     

    NASDAQ

    December 1972

    Daily

    NYSE

    July 1962

     

    AMEX

    July 1962

     

    NASDAQ

    December 1972

Step Two: Search

  • Set code format to CUSIP
  • Click Code lookup under Manually enter company codes; a new window will open
  • Type company name, e.g. General Electric, into search box; click Starts with
  • Copy and paste the company's CUSIP back into the Company Codes box on the main WRDS search page
  • Enter multiple codes by leaving a single space between them
  • Leave all other boxes in this step as is

Step Three: Variables

  • In Identifying Information check Company Name
  • In Time Series Information check Price
  • Leave all other boxes in this step as is

Step Four: Output

  • Choose Tab-delimited text (*.txt) format
  • Leave all other boxes in this step as is
  • Click Submit Query 
  • Data Request Summary window will open
  • Right mouse click on the highlighted file name
  • Choose Save Target As option
  • Save as a .txt file to your computer
  • Open file in Excel

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