Identifying stocks in CRSP

Downloading data on equities from the CRSP Daily and Monthly stock databases is fairly easy if you have the option to use the database through the Wharton portal. Through the portal downloading is a seemingly easy 4-step process: 1) Select period, 2) Select stocks/equities, 3) Choose items to download, 4) Choose download format.

It can be tricky, however, to download specific stock data. To make sure that you have the right data you need to select at least the variables Share Code and Share Class (at step 3 in WRDS). Both variables can be found in the box Identifying information.

Share Class: SHRCLS describes the class of share and is generally blank. Any letter that identifies the class of stock (e.g., “A” for class A common) is contained in this field, left justified, and padded with three blank spaces.

Share Code: SHRCD is a two-digit code describing the type of shares traded. The first digit describes the type of security traded. The combination of the First Digit and the Second Digit identify the security type. A more detailed description is available here:

Other items that can be selected from the box Identifying Information can also be necessary to identify specific listings at specific exchanges: Exchange code & Primary exchange code. If you are using the CRSP security databases always be on the lookout for options where you can select identifying variables and study these carefully!. You may need them to filter the downloaded data afterwards in a spreadsheet result to clean up your dataset.

Email

%d bloggers like this: