famafrench.FamaFrench.queryCrsp

FamaFrench.queryCrsp(self, freq, dt_start, dt_end)[source]

Query CRSP Stock/Security files from wrds-cloud.

Parameters
  • freq (str) –

    Observation frequency. Possible choices are:

    • D : daily

    • W : weekly

    • M : monthly

    • Q : quarterly (3-months)

    • A : annual

  • dt_start (datetime.date) – Starting date for the dataset queried or locally retrieved.

  • dt_end (datetime.date) – Ending date for the dataset queried or locally retrieved.

Returns

dfcrsp – Cleaned CRSP data queried from wrds-cloud w/ observations at frequency freq over sample period from dt_start to dt_end.

Return type

pandas.DataFrame

Note

List of queried CRSP variables:

  • permno : Unique permanent identifier assigned by CRSP at the security-level

  • permco : Unique permanent identifier assigned by CRSP at the company-level

  • date : Trading day

  • shrcd : 2-digit code describing the type of shares traded

  • exchcd : Code indicating the exchange on which security is listed

  • ret : Holding period return w dividends

  • retx : Holding period return w/out dividends

  • shrout : Number of publicly held shares (thousands)

  • prc : Closing price or negative bid/ask average for a trading day

Note

Depending on a user’s WRDS subscription, data variables will be queried from the most frequently updated CRSP datafiles. CRSP offers monthly, quarterly, and annually updated files for both daily and monthly observations. The default datafiles are updated annually. See wrds-cloud SAS Library Names below:

  • crspm : dataset CRSP Monthly Update

  • crspq : dataset CRSP Quarterly Update

  • crspa : default dataset CRSP Annual Update