FORMAT=CRSP

This is available in the Pro version, but only under Windows and certain UNIX platforms. You need a subscription to CRSP® (Center for Research in Security Prices) data, available from the University of Chicago’s Booth School of Business (www.crsp.com). It is a Time Series Database format available for series input only.

RATS Instructions

data(format=crsp)

read series from CRSP into memory

Interface Operations

None for reading or writing data.

You can use File—Preferences to set the default location of the CRSP files.

Details

Your workstation must be configured with the proper set of environment variables (CRSP_ROOT=, etc.) and you need to tell RATS where the data are located. You can do that by setting the CRSP Directory setting in the File—Preferences... dialog box, or by using an explicit OPEN CRSP instruction specifying the path in your program.

You can fetch the price, return, volume, bid and ask prices for stocks. These are done by prefixing the CRSP Permno for the stock with “P” for price, “R” for return, “V” for volume, “B” for bid and “A” for ask. You can ask for any data frequency from daily to annual, and you’ll get the aggregation for that frequency produced by CRSP.

For example, the following will get the monthly returns for IBM (permno 12490) and Microsoft (10107) over 1984:4 to 2004:12. Since Microsoft doesn’t start trading until 1986, its returns will be NA’s until then.

open crsp c:\CRSP_Sample_Data\data\aiz\diz\

cal(m) 1984:4

all 2004:12

data(format=crsp) / r12490 r10107