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Name:

Daily Returns from the CRSP Database

Description:

daily observations from 1969-1-03 to 1998-12-31

number of observations : 2528

observation : production units

country : United States

Variables:

A dataframe containing :

year: the year
month: the month
day: the day
ge: the return for General Electric, Permno 12060
ibm: the return for IBM, Permno 12490
mobil: the return for Mobil Corporation, Permno 15966
crsp: the return for the CRSP value-weighted index, including dividends

Link To Google Sheets:

Rows:

2528

Columns:

Files:

Daily Returns from the CRSP Database_575_67.csv

License Type:

Public Domain (CC0)

References/Notes/Attributions:

Source

Center for Research in Security Prices, Graduate School of Business, University of Chicago, 725 South Wells - Suite 800, Chicago, Illinois 60607, http://www.crsp.com.

References

Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, chapter 7, 9 and 15.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,

Index.Time.Series

R Dataset Upload:

Use the following R code to directly access this dataset in R.

d <- read.csv("https://www.key2stats.com/Daily_Returns_from_the_CRSP_Database_575_67.csv")