Download Stock Data from CRSP

Download Stock Data in CRSP

  1. Use the CRSP (in WRDS) link on the library's website. (See WRDS Access help.)
  2. Under Subscriptions, select CRSP.
  3. Under Quarterly Update, select Stock/Security Files > Monthly Stock File (or Daily Stock File).
  4. Fill out the Web Query Form (see detailed instructions).
    1. Step 1: Enter a date range.
    2. Step 2: Enter company codes, upload a .txt file, or search the entire database (this takes a while).
    3. Step 3: Select query variables. You will likely want at least the
      • Company Name
      • Holding Period Return (Represents the return over the period (daily or monthly), adjusting for stock splits and dividends. It is expressed as a percentage (.012 would be a 1.2% gain and -.027 would be a -2.7% loss over the period).
    4. Step 4: Select the output (e.g. .csv).
  5. Press Submit Query. When the download is complete, click the link to view.

Unadjusted vs. Adjusted Price

The Price (PRC) variable in CRSP does not adjust for stock splits and dividends. One option is to use the Holding Period Return (RET) variable which is fully adjusted. When selecting variables in the Web Query Form, click on the (?) icon next to Holding Period Return to see the definition and formula used.

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Answered By: Alice Kalinowski
Last Updated: Jun 01, 2020

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