Often known by its acronym CRSP, Center for Research in Security Prices is a research center at the Booth School of Business (founded in 1898) of the University of Chicago. CRSP is a non-profit center which also functions as a vendor of historical data.
The Business School subscribes to the following CRSP databases:
- CRSP US Stock Database
- CRSP US Indices Database
- CRSP US Treasuries Database
CRSP databases are currently accessed via the SAS programming interface.
Accessing CRSP data using SAS
CRSP data can be accessed within SAS in two ways. First, the CRSP binary data can be directly extracted into SAS using Eventus. Eventus is an add-in to SAS which accesses CRSP data from the Suffolk network and performs event studies. Eventus is installed by default in SAS.
In addition, CRSP data is available in SAS format on the SAS Drive . The data is appears as four SAS datasets:
da.sas7bdat Contains the daily CRSP data in its entirety
dacont.sas7bdat Contains a list of variable names and labels
daevent.sas7bdat Contains events such as delistings
dakey.sas7bdat Lists information on the data series collected for each company such as start/end dates for series, number of observations, etc,
CRSP Website FAQ's
http://www.crsp.com/crsp/faq.htm