CRSP (Center for

Research in Security Prices)

Information Services (Libraries)
Management Information and Resource Centre (MIRC)
September 2016
CRSP is MIRC’s most in-depth and detailed source of
historical North American company and index price data.

Contents:
What is CRSP?.................................................................................................. 2

Searching CRSP……………………………………………………………………. 2

Step 1: Define your securities / entities……………………………………. 3

Step 2: Define data items…………………………………………………… 4
Step 3: Define the date range…………………………………………….… 4
Step 4: Define your results layout………………………………………….. 5

Importing data to CRSP…………………………………………………………… 6

Appendix: Preparing a data file for import to CRSP…………………………. 8

What is a CUSIP?..................................................................................... 8
Converting CUSIPs from SDC Platinum (6-digit) to CRSP (8-digit)…….. 8

Accessing our Finance resources:

Finance resources which are not accessible via the internet are available as follows:

CRSP (in addition to Datastream, Research Insight and SDC Platinum) is

available via the VMware Horizon service on desktops across the School of
Management. Click as follows for access:

Bloomberg is available in the MIRC Bloomberg Suite only.

Thomson One and Perfect Filings (along with Fame

and Bankscope) are web-based.
Access these via MIRC’s webpages.

As always, MIRC staff will be able to help you. Feel

free to contact us at any time with any questions you
have.

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What is CRSP?

CRSP is the Center for Research in Security Prices service, which provides access
to historical data (back to 1926) on US Stock and Indices. It contains day-end and
month-end prices on all listed NYSE, Amex, and NASDAQ common stocks along
with basic market indices.

Searching CRSP

From the CRSP Welcome screen, see below, you first need to select the dataset you
wish to use and the type of query you want to run, then click ‘OK’.

Datasets: • Select from the

‘Environment’ menu
at the top right.
• The current year is
normally highlighted
• Scroll down for more
options.

Queries: • Select from the

options displayed.
• Most searches use
the ‘Time Series
Access’ option.

Once you have set this up, you have four further steps to complete to run your
search, displayed as tabs across the top of the dialogue box.

1. Define securities / entities

2. Define the data items you want

3. Choose the date range

4. Specify the layout and a file for your results.

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Step 1. Define your securities / entities:

• ‘List’ – to search for a single entity

(company)
• ‘List All’ – to search for all the
companies in the database grouped
according to exchange, SIC codes
etc.
• ‘List File’ – to search on a file of
companies retrieved from another
database and saved as a .txt file
(see p. 6 onwards for details).

Select your option and click ‘New’.

Searching for information about one or more companies:

i. Choose ‘List’ and ‘New’.

ii. Click on ‘Find’ to search for a company.
iii. Enter a company name and click ‘Locate’. Select your company or companies
from the options provided. (If you want to select more than one company, hold
down CTRL as you select).

iv. Click on ‘Select’ at the bottom of the screen. The identifier(s) you have
chosen, in this case the PERMNO* for the companies selected, is – or are –
then pulled into the entity box next to the ‘Find’ button. (*The PERMNO is a
unique identifier assigned to each company by CRSP).
v. To use these in your search click ‘Add’ in the Actions section.

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Step 2. Define the data items you want:

Once you have finalised your companies or entities in Step 1 above, you need to
select the data items you require for them, e.g. prices, returns, shares, etc.

i. Begin by clicking on the ‘Data Items’ tab. You can choose from both daily and
monthly stock and indices items. There is also a favourites tab to which you
can add items that you use regularly.

ii. Select the data type you require in the ‘Navigate’ box.
iii. Available data items are then displayed in the ‘Search Results’ box. Item
definitions are available at the bottom right hand corner of the screen.
iv. In the box at the top right, it is possible to edit the name under Data Item to a
more meaningful description. Do not change data type length or width.
v. Select the items you require then click ‘Add to Query’.

Step 3. Choose the date range:

Once you have selected and added your data items, you then need to define the
period for which you want to retrieve data. Do this on the ‘Date’ tab.
i. First, select data frequency via the ‘Calendar Name’ option.
ii. From the Date Range, choose between fixed or relative and enter your dates.

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Step 4. Specify the layout for your results:

Finally, you need to choose how you wish to display and save your data. To do this,
click on the ‘Layout’ tab.

i. First choose a file type, e.g. *.txt, *.xls, *.xlsx, *.mat, etc. via the dropdown
menu.
ii. Then enter a filename and location for where you want the results file to save.
iii. Make any edits you require to the output format for the data by changing the
report dimensions.
iv. The ‘Preview’ button at the bottom of the screen will allow you to test your
search.
v. When you are happy with everything, click on ‘Execute’ (at the top) to run the
search.
vi. Once the search has run, click on the ‘View Output’ button (at the top) to view
the results.
vii. Note that if ‘View Output’ appears greyed out after the search has executed,
the search may have run but the file might be too large to export. (The .txt file
format is the best option for large quantities of results).

** If there are any problems running your search, please check with a member
of MIRC staff. Occasionally we will need to contact the CRSP support team
for further help. If we need to do this, we will need the details
stored under the ‘Direct Edit’ tab. **

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 Importing data to CRSP

A useful function of CRSP is that it enables you to run searches against an imported
data file obtained from another finance database. For details on how to prepare an
import file, please see the Appendix on page 8.

When importing, remember:

• CUSIPs must be at least 8 digits long
• Dates (if required) must be in the pre-defined format - YYYYMMDD.
• File format must be .txt.

To run a search with an imported set of CUSIPs and IPO dates, use the same 4 step
process described on pages 3 – 5 but for Step 1, you need to follow the instructions
below:

Under Entity Type Selection, select ‘List File’ and

click on ‘New’.

i. Click ‘Import’ and select the relevant text file from your drives.

ii. When the Input File Wizard appears, in step

1, select ‘Fixed Width’ and click ‘Next’.

iii. Step 2 of the Wizard asks you to mark the end

position for your first column of data. Use your
mouse to click and insert a ‘break line’ at the
end of the first column, between the CUSIP
and the announcement date (if required).

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iv. In step 3 of the Wizard, you need to define the fields in your import file. To do
this:

a. Highlight the first column in the

‘Data Preview’
b. Under ‘Input Fields’, select ‘Key’
c. Select ‘CUSIP’ from the dropdown
menu below.
d. Now, select the second column in
the ‘Data Preview’.
e. Under ‘Input Fields’, select ‘Date 1’
f. Click on ‘Finish’.

v. You will now be taken back to your original Query screen. Here, click on ‘Add’ to
import the file as a set of search terms.

vi. Your ‘Input File Path’ will be displayed at the bottom of the screen.

Congratulations! You have now defined your set to search (Step 1). Now follow the
other steps listed in Searching CRSP on pages 2 – 5 to define the data items you
want information on (Step 2), date range (Step 3) and retrieve your results (Step 4).

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Appendix: Preparing a data file for import to CRSP
A useful function of CRSP is that it enables you to run searches against a file of data
obtained from another finance database. In other words, you can run a search in
another resource such as SDC Platinum, to find a list of companies that fit your
search criteria, and then import that list directly into CRSP to run further searches
against it.

To do this successfully, instead of importing the company names as search-terms,

you need to use their CUSIP numbers. These CUSIPs will need to be at least 8-
digits long. You may retrieve data from CRSP for a number of companies by
importing a file of their CUSIP numbers. By importing them altogether in one file, you
avoid having to input each company code individually.

What is a CUSIP?

A CUSIP is an alphanumeric code, a unique identifier assigned to North American

equities. CUSIPs may be 6-digit (company specific), 8-digit (issue specific), or a 9-
digit (includes check digit). Most databases use the 6- or 9-digit CUSIP. CRSP uses
the 8- or 9-digit versions.

Converting CUSIPs from SDC Platinum (6-digit) to CRSP (8-digit)

The most common source of CUSIPs used in CRSP is SDC Platinum. To make SDC
Platinum CUSIPs readable in CRSP you will need to retrieve the 6-digit CUSIPs
available for your companies from a search on SDC and then convert them to 8-digit
CUSIPs that can be used in CRSP.

To this, you need to:

1. Download the 6-digit CUSIPs for your selected companies by including them
in a custom report in SDC. Make sure you also download the IPO
announcement date for each company as you will need this for the import
stage.

2. Copy the column of CUSIP numbers from your report and paste it into a new
column in Excel. Format the numbers as text, otherwise Excel will drop any
initial zeroes that you will need to make the CUSIP number accurate.

3. You now have a column of numbers that all need to have ‘10’
added to them to make them readable in CRSP. The 10
points to the original offering (NCUSIP in CRSP). To add this
in:

a. Enter the number 10 in the column of your spreadsheet

to the right of each CUSIP and copy it down the
column (see right).

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 b. You now need to join the columns together using the ‘Concatenate’
function.

• Select the first cell in the next column

and click the ‘Insert Function’ button on
the Excel ‘Formulas’ tab.

• When the Insert Function box appears,

type in ‘concatenate’ and click ‘Go’. The
box shown here on the right will appear.

• Type ‘a1’ in the first box and ‘b1’ in the second

box and click OK. This will join the two columns
together.

• Then move the cursor over the cell edge until you
see the black ‘+’ sign and double click. This will
auto-fill the formula for both columns.

4. Select the new column of numbers (column C in our example) and copy it into
Notepad (or similar). Save this as a new text file (.txt). Include your column of
IPO announcement dates back into the text file if you wish to search CRSP
using these as well.

The file is now ready to import into the CRSP database as a list of search terms (see
page 7).

Contacting us
Management Information and Resource Centre (MIRC)
 +44 (0) 1234 754440
 [email protected]
som.cranfield.ac.uk/som/mirc

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