Introduction to CRSP

For this book, our focus is free public data. Thus, we only discuss a few financial databases since some readers might from schools with valid subscription. CRSP is the one. In this chapter, we mention just three Python datasets.

Center for Research in Security Prices (CRSP). It contains all trading data, such as closing price, trading volume, and shares outstanding for all listed stocks in the US from 1926 onward. Because of its quality and long history, it has been used intensively by academic researchers and practitioners. The first dataset is called crspInfo.pkl, see the following code:

import pandas as pd
x=pd.read_pickle("c:/temp/crspInfo.pkl")
print(x.head(3))
print(x.tail(2))

The related output is shown here:

   PERMNO  PERMCO     CUSIP                       FIRMNAME TICKER  EXCHANGE  \
0   10001    7953  36720410                GAS NATURAL INC   EGAS         2   
1   10002    7954  05978R10  BANCTRUST FINANCIAL GROUP INC   BTFG         3   
2   10003...