famafrench.FamaFrench.queryCrspdlret

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

Query CRSP’s Stock Event - Delisting files on 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_full – Dataset constructed by merging CRSP stock/security dataset w/ CRSP delisted returns information.

Return type

pandas.DataFrame

Note

List of queried CRSP Delisting variables:

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

  • dlret : Return (w/ dividends) of the security after being delisted

  • dlretx : Return (w/out dividends) of the security after being delisted

  • dlstdt : 3-digit integer code indicating whether security is still trading or the specific reason why it was delisted.

Note

Depending on a user’s WRDS subscription, delisted data variables will be queried from the most frequently updated CRSP datafiles. CRSP offers monthly, quarterly, and annually updated files for daily 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