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Some CRSP variable names

Since this is intended for finance PhDs, the examples often use CRSP data1. If you are unfamiliar with CRSP, all you need to know is here.

Stocks may be identified by CUSIP, ticker, or name. Stocks in CRSP are identified by PERMNO, which is very useful because it does not change when the company changes superficially, in contrast with, say, CUSIPs, which may change after companies change their names. The monthly stock file on WRDS, crsp.msf or /wrds/crsp/sasdata/msf.sas7bdat has a host of monthly stock return information, but the variables of most interest to us are

For the stock identified by PERMNO, RET is the holding period return from the beginning of the month to the end of the month.

Andre de Souza 2012-11-19