codebook / crsp_msf / date

date // Date

Month-end Trading Date

Last trading date in month — panel time index

→ use this variable in analysis ← back to dataset

attributes

datasetcrsp_msf · CRSP Monthly Stock File
typeidentifier
rolecontrol
data filemsf
keywordsdatemonthtime

Same concept in other datasets

datasetvariablelabeltype
compustat_nadatadateData Dateidentifier

Used in these research designs

Size effect on monthly returnscontrol
Cross-sectional momentum (Jegadeesh-Titman)control