CRSP monthly stock file (MSF). Returns, prices, shares outstanding and trading volume for all common stocks listed on NYSE/AMEX/NASDAQ since 1925. The canonical US asset-pricing dataset; almost every US empirical-finance paper uses it.
Monthly Stock File (MSF) — rolling · 更新：monthly, ~3 weeks after month-end · 官方页面CRSP Monthly Stock File 共收录 18 个变量——其中常被用作因变量的 3 个、用作核心自变量的 6 个、用作控制变量的 10 个。本数据集常见的研究方向包括：Size effect on monthly returns、Cross-sectional momentum (Jegadeesh-Titman)。
Size effect on monthly returns：因变量 ret，核心自变量 shrout、prc，建议控制 exchcd、shrcd、siccd。
Cross-sectional momentum (Jegadeesh-Titman)：因变量 ret，核心自变量 ret，建议控制 exchcd、shrcd、siccd。
| 变量名 | 标签 | 类型/角色 | 数据文件 | 说明 · 关键词 |
|---|---|---|---|---|
| permno | PERMNO CRSP Permanent Issue Identifier | identifier / identifier | msf | Stable issue-level CRSP identifier; with date forms the panel key permnostockid |
| permco | PERMCO CRSP Permanent Company Identifier | identifier / identifier | msf | Stable company-level CRSP identifier (one company can have multiple permnos) permcocompany |
| date | Date Month-end Trading Date | identifier / control | msf | Last trading date in month — panel time index datemonthtime |
| cusip | Current CUSIP Current 8-digit CUSIP | identifier / identifier | msf | Current 8-digit CUSIP — for merging with Compustat (also see ncusip for historical CUSIP) cusip |
| ncusip | Historical CUSIP CUSIP As-of-period | identifier / identifier | msf | Historical CUSIP for the issue at this date ncusipcusiphistorical |
| ticker | Ticker Ticker Symbol | identifier / identifier | msf | Stock ticker ticker |
| exchcd | Exchange Code Exchange Code | categorical / control | msf | Listing exchange (1=NYSE, 2=AMEX, 3=NASDAQ) exchangenysenasdaq |
| shrcd | Share Code Share Code | categorical / control | msf | Share class code (10/11 = US common stock; standard sample restriction) share classcommon stock |
| siccd | SIC Code SIC Industry Code (CRSP) | categorical / control | msf | CRSP-assigned 4-digit SIC industry code industrysic |
| prc | Price Closing Price (signed) | continuous / iv,control | msf | Last closing price; CRSP encodes bid-ask midpoint as a negative number when no trade — take abs() before using priceclose |
| ret | Holding Period Return Monthly Holding Period Return (with dividend) | continuous / dv,iv | msf | Monthly holding-period return inclusive of cash distributions returnholding period |
| retx | Return Without Dividends Monthly Return Excluding Dividends | continuous / dv,iv | msf | Monthly return excluding cash distributions returnex-dividend |
| vol | Trading Volume Monthly Trading Volume (shares) | continuous / iv,control | msf | Total monthly trading volume in shares volumetrading |
| shrout | Shares Outstanding Shares Outstanding (thousands) | continuous / iv,control | msf | Shares outstanding in thousands; |prc|×shrout/1000 = market cap in $M sharesoutstandingmarket cap |
| cfacpr | Cumulative Price Adjustment Cumulative Price Adjustment Factor | continuous / control | msf | Used to adjust historical prices for splits adjustmentsplitfactor |
| cfacshr | Cumulative Share Adjustment Cumulative Share Adjustment Factor | continuous / control | msf | Used to adjust historical share counts for splits adjustmentsplit |
| dlret | Delisting Return Delisting Return | continuous / dv,iv | msedelist | Return inclusive of delisting payoff; non-missing only in delisting month delistingreturn |
| dlstcd | Delisting Code Delisting Code | categorical / control | msedelist | Reason for delisting (200s = merger, 400s = liquidation, 500s = exchange-driven, 100 = active) delistingmergerbankruptcy |
变量百科是开放查询入口；实证向导把同样的码本接到代码生成里——上传你的 crsp_msf 数据，系统自动识别变量并套用对应的清洗规则、推荐研究设计、跑回归、出 Word 报告。