Stock Data Structure
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Header Identification and Summary Data is a set of variables, in a CRSPAccess stock database using CRSP C access functions, that identify an issue and summarize its classification. There is no time component to the header data so the data are valid the entire range of the issue. Header Identification and Summary Data contains the most current information on the issue maintained in the file. There is only one header structure per issue for any data iteration. Note that Ticker Symbol - Header only contains tickers for active securities.
|Primary Permanent Identifiers||PERMCO||permco|
|Secondary Permanent Identifiers||CUSIP - Header||hcusip|
|NASDAQ Company Number||compno|
|NASDAQ Issue Number||issuno|
|Security Date Ranges||Begin of Stock Data||begdt|
|End of Stock Data||enddt|
|Most Recent Header Identification and Summary Data Information||Company Name - Header||hcomnam|
|Convertible Code - Header||hconvcd|
|Country Code - Header||hcntrycd|
|Eligibility Code - Header||heligcd|
|Exchange Code - Header||hexcd|
|Incorporation Code - Header||hinccd|
|Interest Rate or Strike Price||hrating|
|Intermarket Trading System Indicator - Header||hits|
|Issue Description - Header||hnamedesc|
|Issuer Code - Header||hissuercd|
|Name Code - Header||hnamecd|
|Name Description - Header||hnamedesc|
|Name Flag - Header||hnameflag|
|North American Industry Classification Code - Header||hnaics|
|Primary Exchange - Header||hprimexch|
|Security Status - Header||hsecstat|
|Share Code - Header||hshrcd|
|Share Type - Header||hshrtype|
|Standard Industrial Classification (SIC) Code - Header||hsiccd|
|Sub-exchange - Header||hsubexch|
|Ticker Symbol - Header (active securities only)||htick|
|Trading Denomination - Header||hdenom|
|Trading Ticker Symbol - Header||htsymbol|
|Most Recent Listing Information||Delisting Code - Header||dlstcd|
|Trading Status - Header||htrdstat|
The Name History Array includes sets of identification variables effective at different times during the history of a security. Each set of information, or name structure, contains name and classification fields and the effective date ranges of those fields. Each security has at least one name structure.
|North American Industry Classification System (NAICS) Code||naics|
|Standard Industrial Classification (SIC) Code||siccd|
|Date Range of Name History Record||Name Effective Date||namedt|
|Last Date of Name1||nameenddt|
|Identifying Information||Company Name||comnam|
|Interest Rate or Stricke Price||rating|
|Intermarket Trading System Indicator||its|
|Trading Ticker Symbol||tsymbol|
If the CUSIP, Company Name, Exchange Code, Exchange Ticker Symbol, Share Class, or SIC Code changes during the security’s trading history, a new name structure is added, with the Name Effective Date of the change. That information is valid until another name structure is added or the security becomes obsolete.
Name Histories may include periods, possibly outside the data range, when the security is trading on a different exchange or is not trading at all. The Exchange Code description contains more detailed information on trading status and location for a given date range.
The Distribution Event Array is a list of events describing cash dividends, capital adjustments, and other distributions made to shareholders of a security.
|Distribution Information||Distribution Code||DISTCD|
|Dividend Cash Amount||DIVAMT|
|Factors to Adjust Prices and Shares||Factor to Adjust Price||FACPR|
|Factor to Adjust Shares Outstanding||FACSHR|
|Dates Associated with the Distribution||Distribution Declaration Date||DCLRDT|
|Securities/Companies Related to the Event||Acquiring PERMNO1||ACPERM|
1CRSPAccess variable only, available in C.
If a distribution event has more than one component, CRSP codes each component of the event separately with a four-digit code. All components of a distribution event share the same Ex-Distribution Date. Distributions for each security are unique and are sorted by Ex-Distribution Date, Distribution Code, and Acquiring PERMNO. Distribution Events are a descriptive set of events, not a summary by period. The data can be summarized for returns calculations, delisting returns, price and shares adjustments, and dividend and split totals. The following types of event are available:
- Periodic and special cash dividends - the cash amount in US dollars, frequency, and related dates of all cash dividends are provided.
- Stock splits, stock dividends, and reverse splits - the factors to adjust price and shares, type of action, and related dates of all splits are provided.
- Spin-offs - All spin-off events are included. The cash value of the spin-off is the price at the end of the ex-distribution date of the stock received. A price factor is calculated by dividing the cash amount by the price of the parent security on the Ex-Distribution Date. Acquiring PERMNO and Acquiring PERMCO can be used to link to the new company when available.
- Liquidation payments - All partial and final liquidation payments are included. These contain the value of each payment and relevant dates that are known. If the payment is in the form of stock, or if a payment is known to come from the purchase of assets by a known company, the Acquiring PERMNO and Acquiring PERMCO are set to that company or issue.
- Return of capital distributions.
- Rights offerings.
- Merger, acquisition, and reorganization distributions.
- Limited tender offers.
- Information on announcements related to liquidations and tender offers that resulted in delistings.
- Known shares buybacks, offerings, and share increases due to acquisitions.
See Distribution Codes for the coding scheme used by CRSP, as well as examples of specific cases of distributions.
The Shares Outstanding Observations Array contains the history of observations of the shares outstanding history of a security. CRSP records the shares outstanding only for the security, not the total shares for the company. Treasury shares are not included. Shares outstanding for American Depositary Receipts (ADRs) are the shares outstanding of the ADR, not the underlying issue. Shares outstanding are recorded in thousands.
|Shares Information||Shares Outstanding||SHROUT|
|Shares Outstanding Observation Flag||SHRFLG|
|Share Observation Date Range||Shares Outstanding Observation End Date1||SHRSENDDT|
|Shares Outstanding Observation Date||SHRSDT|
1 CRSPAccess data access only.
There are two types of Shares Outstanding Observations:
- Primary shares observations contain a shares outstanding amount taken directly from an annual or quarterly report or a data source using company reports.
- These are supplemented with imputed shares observations derived from distributions affecting shares outstanding using Factor to Adjust Shares.
A new entry does not imply that there was a change in the number of shares outstanding. In general, every company has at least one shares structure per year.
Exactly one shares structure is effective each date in the security’s history. One shares outstanding observation is effective until the next observation or the delisting date. The first shares observation is effective from the Shares Observation Date backward to the beginning of data.
The Shares Outstanding Observations Array cannot be used to directly find the shares outstanding each calendar period. Utility functions and programs are available to map observations to time series used to calculate market capitalization.
Every security on the CRSP file is assigned one delist record. The Delisting Event Array contains information on the status of a security after it is no longer listed on an exchange in a CRSP file. Each delisting history event contains a code describing the reason for delisting, the value after delisting (when available), forward links to acquiring issue and company traded on NYSE, NYSE MKT, NASDAQ, or NYSE Arca and delisting return. Active issues have a delisting history event where Delisting Date is set to the last date of available price data. The Distribution History Array includes itemized data on the payments made to shareholders after the delisting, and includes announcement information related to the delisting when available.
|Delist Information||Amount After Delisting||dlamt|
|Delisting Return without Dividends||dlretx|
|Dates Assocaited with Delist||Delisting Date||dlstdt|
|Date of Next Available Information||nextdt|
|Delisting Payment Date||dlpdt|
|Securities/Companies Associated with Delist||New PERMCO1||nwcomp|
1 CRSPAccess C only.
In current CRSP files only the most recent delisting event is coded in the Delisting Event Array. If an issue leaves an exchange in the CRSP data files and later returns, the gap is marked in the Name History Array with an Exchange Code of 0. During this time, event data are not tracked and time series data are filled in with missing values.
Delisting information is determined by several factors: the exchange of shares at the earliest possible opportunity, trade on a secondary market, payments from the company, or outstanding tender offer. The information is coded as it becomes available. An issue is considered closed to further research if any of the following conditions apply:
- Research has verified that a final distribution has been paid to stockholders.
- A price is found on another exchange.
- Research has verified that no distributions were ever paid to stockholders.
- Some distributions have been paid to stockholders, but no final distribution information can be found and 10 years have passed since the date of the most recent delisting information.
- No information concerning the delisting can be found and 10 years have passed since the delist date.
If none of these conditions applies to a delisted issue, the issue is pending, which means that further research is required until one of the above conditions has been met. If no information is found or the information found is incomplete, no delisting return will be calculated by CRSP.
Monthly: If no delisting information exists, and daily data exist after the last month-end trading date, CRSP generates partial-month delisting amounts and returns by using the price on the last daily trading date. Although the partial month returns are stored in the Delisting Return field, they are not delisting returns.
The NASDAQ Information Array contains a history of an issue’s trading status on The NASDAQ Stock Market. Each set of information, or structure, contains status and classification fields and the effective date ranges of those fields. If the NASDAQ Traits Code, NASDAQ National Market Indicator, NASD Index Code, or Market Makers Count changes, then a new structure is added, and the date of the change is recorded in the NASDAQ Traits Date. Each issue traded on the NASDAQ Stock Market since November 1982 has at least one NASDAQ Information Array.
|NASDAQ Information Array Data||Market Maker Count||mmcnt|
|NASD Index Code||nsdinx|
|NASDAQ National Market Indicator||nmsind|
|NASDAQ Traits Code||trtscd|
|NASDAQ Information Date Range||NASDAQ Traits Date||trtsdt|
|NASDAQ Traits End Date||trtsenddt|
NASDAQ information structures are available for securities trading on NASDAQ beginning on April 1, 1982 for NASDAQ Traits Date and NASDAQ National Market Indicator. All fields are available beginning November 1, 1982. 1
1 NASDAQ information data are missing in December, 1982 for all issues with NASD company numbers less than 1025 (approximately 20 percent of the securities active at that time), and are missing in February, 1986 for all issues. NASDAQ Traits Date, NASDAQ Traits Code, and NASDAQ National Market Indicator are complete. All other fields are missing.
The NASDAQ National Market was initiated in April 1982 for larger and generally more actively traded NASDAQ securities. The NASDAQ National Market Securities must meet higher financial and non-financial criteria than other NASDAQ stocks, and were always subject to last-sale reporting. In June of 1992 the regular NASDAQ segment of the NASDAQ Stock Market was renamed The NASDAQ SmallCap Market and for the first time these issues became subject to real-time price and volume reporting.
Price, Volume, and Return Time Series Arrays are a set of time series that makes up the core of CRSP stock data. This includes three price time series, total returns, and trading volumes. All these time series in a stock file use the same calendar(s).
|Price, Volume, and Return Time Series Data||Ask or High Price||askhi|
|Bid or Low Price||bidlo|
|Holding Period Total Return||ret|
|Price or Bid/Ask Average||prc|
Auxiliary Data Time Series are additional time series provided in CRSPAccess stock files at the same frequency as the Price, Volume, and Return Time Series Arrays.
|Monthly Alternate Price and Date, Daily Open Price, Returns Without Dividends, Spread Time Series Data||Price Alternate (monthly only)||altprc|
|Price Alternate Date (monthly only)||altprcdt|
|Return Without Dividends||retx|
|Spread Between Bid and Ask (monthly only)||spread|
|Open Price (daily only)||openprc|
|NASDAQ Number of Trades (daily only)||numtrd|
Portfolio Statistics and Assignment Time Series is a set of portfolio time series. Each portfolio time series is based on a portfolio type defined by CRSP and contains a history of statistics and portfolio assignments for a security. Two variables are available for each calendar period:
|Portfolio Statistic and Assignment Times Series Data||Portfolio Assignment Number||port|
|Portfolio Statistic Value||stat|
Each Portfolio Statistics and Assignment Time Series in the set is called a Portfolio Type. Portfolio Types are predefined groupings based on CRSP indexes. The portfolio time series can be linked to CRSP index returns data to calculate excess returns of a security against its assigned index portfolio at any time during its history.
Each Portfolio Type represents a predefined index group with its own methodology and rebalancing period. The portfolio time series can be linked to different calendars based on the rebalancing frequency of the index. The timing and calculation of the statistic and assignment rules are also dependent on the index. Calendars used in portfolios are not the same calendars used with security price and returns data. Portfolio ranges and calendars can differ for all portfolio types. In a portfolio time series, the Data Subtype Code is set to the Permanent Index Identification Number, INDNO, of an index that contains the performance results of the group of index series built using the assignments.
The portfolio assignments for the CRSP Stock File Decile Capitalization Indexes for NYSE/NASDAQ are provided with daily and monthly stock files. Additional Portfolio Types are available with the CRSP US Index Database and Security Portfolio Assignment Module. Note that the portfolio information is a module of the associated CRSPAccess daily or monthly stock data. Portfolio assignment data for daily or monthly indexes can be extracted through the stock utilities when the user subscribes to the appropriate stock and index products. Indexes based on the portfolios are included in the CRSP Index File and Portfolio Assignments product.
See the Portfolio Types table for more details about the defined portfolios available in monthly and daily stock files.
Group Data are a set of arrays of universe inclusion events. Each supported universe is called a grouptype and assigned an integer number that identifies it. The array for each grouptype lists the number of universe events and dates.
|Group Data||Group Flag of Associated Index||grpflag|
|Group Secondary Flag||grpsubflag|
|Group Date Range||Begin of Group Data||grpdt|
|End of Group Data||grpenddt|
The only grouptype currently available is 16 - S&P 500 Universe. Only inclusion events are added to this group, so Group Flag of Associated Index is always 1. Begin of Group Data and End of Group Data identify the range the security was included in the S&P 500 index. The user must subscribe to the appropriate stock and index databases to extract group data.