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Download Data from WRDS CRSP

Source: R/download_data_wrds_crsp.R
download_data_wrds_crsp.Rd

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 adjusts returns for delisting 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
)

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

[Deprecated] 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.

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).

Value

A data frame containing CRSP stock returns, adjusted for delistings, 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.

References

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

See also

Other WRDS functions: disconnect_connection(), download_data_wrds(), download_data_wrds_ccm_links(), download_data_wrds_compustat(), download_data_wrds_fisd(), download_data_wrds_trace_enhanced(), get_wrds_connection(), set_wrds_credentials()

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")
)
} # }