The database CRSP (The Center for Research in Security Prices) contains American stock prices from 1925. CRSP is offered through the interface of WRDS (Wharton Research Data Services). You can find WRDS in the list of financial databases on the website of the EDSC. To get access to WRDS (and CRSP) you need a VPN-connection. WRDS also asks for your email address, this has to be your ERNA email address. WRDS sends a link to this email address; this link is valid for 14 days. After 14 days you can request a new link.
To get daily stock prices, select CRSP on the left, choose Stock/Security Files and continue to select the Daily Stock File. Getting the data consist of four steps.
Step One: What date range do you want to use?
Here you specify the time frame of your request, by editing the dates behind from and to manually (in the format mm/dd/yyyy) or by using the calendar that opens when you click on one of the default dates.
Step Two: How would you like to search this dataset?
Here you have to select for which stocks you want the price data. There are four ways to do this:
1. Manually enter company codes - If you already know the 8-digit Cusip, ticker of PERMNO, you can add it manually. Clich the link Code Lookup to find these codes.
2. Upload a file containing company codes - Here you can upload a txt-file (NOT an Excel-file) with e.g. Tickers, Cusips or PERMNOs.
3. Search the entire database - This option can best be used together with Conditional Statements (for example only stocks with a specific SIC code), otherwise the files will be too large to open.
4. Retrieve saved codes from myWRDS - Here you can search for a list you've saved earlier.
Beware: Always check if under What format are your company codes? the correct identifier is selected! If at option 1 or 2 you have used (8-digit) Cusips of companies, then logically you must mark Cusip here.
Step Three: What variables do you want in your query?
With this step you mark the variables you want to download, like Price and Number of Shares Outstanding. These variables are grouped into categories like identifying information, time series information and share information. Click on the questionmark behind a variable to see the definition. Don't forget to include Company Name as a variable, so at a latter stage you can view which stock prices you have downloaded.
Step Four: How would you like the query output?
Here you can select the format of the downloaded data.
Next click on the button 'Submit Query' and the downloading starts. When the download has finished, you get a link to the file on your screen. Save the file before opening.
If you enter your e-mailaddress before clicking Submit Query, you will recieve an e-mail with the link to the file. This link is active for 48 hours.
4. Search entire database - Deze optie kunt u het beste gebruiken in combinatie met Conditional Statements (bijvoorbeeld alleen die stocks met een bepaalde SIC code), anders wordt het bestand te groot om te openen.
Do you want to perform an event study with CRSP-data? Eventus performs event studies using data read directly from CRSP. Eventus is available in WRDS as well.