Download Data from WRDS CRSP

Downloads and processes stock return data from the CRSP database for a specified period. Users can choose between monthly and daily datasets. The function also includes delisting returns (see the section on delisting returns) and calculates market capitalization and excess returns over the risk-free rate.

Usage

download_data_wrds_crsp(
  dataset = NULL,
  start_date = NULL,
  end_date = NULL,
  type = deprecated(),
  batch_size = 500,
  version = "v2",
  additional_columns = NULL,
  add_ccm_links = FALSE,
  adjust_volume = FALSE,
  quiet = FALSE
)

Arguments

dataset: A string specifying the CRSP dataset to download: "crsp_monthly" or "crsp_daily".
start_date: Optional. A character string or Date object in "YYYY-MM-DD" format specifying the start date for the data. If not provided, a subset of the dataset is returned.
end_date: Optional. A character string or Date object in "YYYY-MM-DD" format specifying the end date for the data. If not provided, a subset of the dataset is returned.
type: Use dataset instead.
batch_size: An optional integer specifying the batch size for processing daily data, with a default of 500.
version: An optional character specifying which CRSP version to use. "v2" (the default) uses the updated second version of CRSP, and "v1" downloads the legacy version of CRSP.
additional_columns: Additional columns from the CRSP monthly or daily data as a character vector.
add_ccm_links: A logical indicating whether CRSP-Compustat links should be added automatically using download_data_wrds_ccm_links().
adjust_volume: A logical indicating whether daily CRSP trading volume data should be adjusted according to Gao & Ritter (2010).
quiet: A logical indicating whether to suppress the messages about the WRDS connection and the download progress. Defaults to FALSE.

Value

A data frame containing CRSP stock returns, including delisting returns, along with calculated market capitalization and excess returns over the risk-free rate. The structure of the returned data frame depends on the selected dataset.

Delisting returns

How delisting returns enter the data depends on version:

"v2" (CIZ): CRSP already includes the delisting return in the monthly (mthret) and daily (dlyret) returns of the month and the day in which a stock delists, so ret and ret_excess include it without further adjustment. The common-stock screens of the security history (crsp.stksecurityinfohist) are evaluated on the stock's last trading day for these observations, because the history holds no active record after it. Without this, the month or day that carries the delisting return would be dropped.
"v1" (legacy SIZ), monthly: the delisting return dlret from crsp.msedelist replaces the return of the delisting month in ret_adj, which ret_excess is based on. If dlret is missing, the return is set to -30% for performance-related delistings (codes 500, 520, 551-574, 580, and 584; Shumway, 1997), kept for code 100, and set to -100% otherwise. ret is the unadjusted return.
"v1" (legacy SIZ), daily: the delisting return replaces the return on the delisting date, and later observations are dropped.

References

Shumway, T. (1997). The delisting bias in CRSP data. Journal of Finance, 52(1), 327-340. doi:10.1111/j.1540-6261.1997.tb03818.x

Gao, X., & Ritter, J. R. (2010). The marketing of seasoned equity offerings. Journal of Financial Economics, 97(1), 33-52. doi:10.1016/j.jfineco.2010.03.007

Examples

if (FALSE) { # \dontrun{
crsp_monthly <- download_data_wrds_crsp(
  "crsp_monthly",
  "2020-11-01",
  "2020-12-31"
)
crsp_daily <- download_data_wrds_crsp(
  "crsp_daily",
  "2020-12-01",
  "2020-12-31"
)

# Add additional columns
download_data_wrds_crsp(
  "crsp_monthly",
  "2020-11-01",
  "2020-12-31",
  additional_columns = c("mthvol", "mthvolflg")
)
} # }