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 · updated: monthly, ~3 weeks after month-end · official pageCenter for Research in Security Prices — Monthly Stock File registers 18 variables — 3 commonly used as dependent variables, 6 as core regressors and 10 as controls. Common research directions for this dataset include: Size effect on monthly returns, Cross-sectional momentum (Jegadeesh-Titman).
Size effect on monthly returns: DV ret, IV shrout, prc, controls exchcd, shrcd, siccd.
Cross-sectional momentum (Jegadeesh-Titman): DV ret, IV ret, controls exchcd, shrcd, siccd.
| name | label | type/role | data file | description · keywords |
|---|---|---|---|---|
| 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 |
The codebook is an open lookup. The Wizard consumes the same codebook to drive code generation — upload your data and the system auto-recognises variables, applies cleaning rules, recommends research designs, runs regressions and produces a Word report.