The table below describes the columns of the CRSP US Stock Index tables for the following combinations of exchanges. Data are available at Annual, Monthly, Quarterly, and Daily frequencies.
1. NYSE stock index
2. AMEX stock index
3. NYSE+AMEX stock index
4. NASD stock index
5. NYSE+AMEX+NASD stock index
These same columns are present in the tables of Risk-Based Decile indices. These indices are only available at a daily frequency.
6. NYSE+AMEX Risk-Class Decile, by CAPM beta
7. NYSE+AMEX Risk-Class Decile, by volatility (sigma)
8. NASD Risk-Class Decile, by CAPM beta
9. NASD Risk-Class Decile, by volatility (sigma)
All columns except the decretn.. and decindn... are also available in the S&P 500 Universe tables, which are available at monthly and daily frequencies.
The column names are those used in the econ.bc.edu database access system.
|
Column name |
Data type |
Definition |
|
yymmdd |
date |
quotation date (YYYY-MM-DD) |
|
vwretd |
float |
Return (Including all Distributions) on Value-Weighted Index contains the returns, including all distributions, on a value-weighted market portfolio (excluding ADRs). |
|
vwindd |
float |
Index Level Associated with the Return (Excluding Dividends) on Value-Weighted Index is the index level associated with the CRSP stock file value-weighted market index, excluding dividends, on the selected Calendar Trading Date. |
|
vwretx |
float |
Return (Excluding Dividends) on Value-Weighted Index contains, returns, excluding all dividends, on a value-weighted market portfolio (excluding ADRs). |
|
vwindx |
float |
Index Level Associated with the Return (Excluding Dividends) on Value-Weighted Index is the index level associated with the CRSP stock file value-weighted market index, excluding dividends, on the selected Calendar Trading Date. |
|
ewretd |
float |
Return (Including all Distributions) on Equal-Weighted Index contains returns, including all distributions, on an equally-weighted market portfolio (including ADRs). |
|
ewindd |
float |
Index Level Associated with the Return (Including all Distributions) on Equal-Weighted Index is the index level associated with the CRSP stock file equal-weighted market index, excluding dividends, on the selected Calendar Trading Date. |
|
ewretx |
float |
Return (Excluding Dividends) on Equal-Weighted Index contains returns, excluding all dividends, on an equally-weighted market portfolio (including ADRs). |
|
ewindx |
float |
Index Level Associated with the Return (Excluding Dividends) on Equal-Weighted Index is the index level associated with the return on the CRSP stock file equal-weighted market index, excluding dividends, on the selected Calendar Trading Date. |
|
sprtrn |
float |
The S&P 500 Composite Index Return is the return on the Standard & Poor’s Composite Index. |
|
spindx |
float |
The S&P 500 Composite Index is the level of the S&P 500 Composite Index Return (prior to March 1957, this was the S&P 90-stock index) at the end of the trading day or month. This data is collected from publicly available sources such as the Dow Jones News Service, The Wall Street Journal or Standard & Poor’s Statistical Service. The S&P 500 Composite Index does not include dividends. The index indicates the change in price of the component securities. |
|
decret1...decret10 |
float |
Return on Decile is the return on the selected market segment decile portfolio on the requested Calendar Trading Date. |
|
decind...decret10 |
float |
Index Level Associated with Return on Decile is the index level of the CRSP stock file index decile portfolios on the selected Calendar Trading Date. |
|
totval |
int |
Total Value of Market contains the total market value for a given market, in $1000’s, for all non-ADR securities in the market defined in a market index with valid prices on the selected Calendar Trading Date. |
|
totcnt |
int |
Total Count of Market is the number of stocks in the market defined in a market index with a valid price on the selected Calendar Trading Date. |
|
usdval |
int |
Market Value of Securities Used is the total market value, in $1000’s, of all securities that are used in a value-weighted index on the selected Calendar Trading Date. To be used for value-weighting, a security cannot be an ADR and must have valid prices on the current and previous trading days. |
|
usdcnt |
int |
Count of Securities Used contains the count of issues used to create index results for a specific index or portfolio during one calendar period. A security must be a member of the index or portfolio with valid prices for both the current and the previous trading periods to be included in the count. |