PCRA (version 1.2)

stocksCRSP: stocksCRSP

Description

CRSP monthly stocks data for 294 stocks 1993 to 2015

Usage

data(stocksCRSP)

Format

A data.table object with 82000 observations on 15 variables:

• Date: type `Date`.

• TickerLast: type `chr`. The ticker as of December 2015

• Ticker: type `chr`. Monthly ticker period

• Company: type `chr`. The name of company with TickerLast

• CapGroupLast: type `chr`. Company market capitalization group as of December 2015, one of: MicroCap, SmallCap, MidCap or LargeCap

• CapGroup: type `chr`. Monthly market capitalization group

• GICS: type `chr`. 6 digit S&P GICS code

• Sector: type `chr`. One of 10 sectors specified by the first two digits of the GICS code

• Return: type `num`. Arithmetic stock return from one period to the next in decimal form

• RetExDiv: type `num`.

• Price: type `num`. Stock price at each time period in decimal form

• PrcSplitAdj: type `num`.

• Ret4WkBill: type `num`. Return of 4 week Treasury bill

• Ret13WkBill: type `num`. Return of 13 week Treasury bill

• Ret1YrBill: type `num`. Return of 1 year Treasury bill

• mktIndexCRSP: type `num`. CRSP value weighted market return

Details

The four CapGroupLast categorizations of the stocks were determined using the three capitalization breakpoints $15.6B, $5.4B, $600M. Details concerning the construction of the monthly CapGroup categorizations will eventually be provided in a Vignette.

Weekly and daily versions stocksCRSPweekly and stocksCRSPdaily may be obtained using the function getPCRAData() - see PCRAData.R.

References

A standard corporate finance textbook: Ross, Westerfield, Jaffe and Jordan (2019). Corporate Finance, McGraw-Hill Education.

Examples

data.table::setDTthreads(1)  
data(stocksCRSP)
names(stocksCRSP)
unique(stocksCRSP$Sector)
unique(stocksCRSP$CapGroup)
head(stocksCRSP,2)