CRSP Missing Codes

Research Notes
Author
Affiliation

Mingze Gao, PhD

Macquarie University

Published

August 15, 2023

A note on the missing codes in CRSP.1

Variable Name C/Fortran Value SAS Missing Code Description
RET -44.0 .E No valid comparison for an excess return
-55.0 .D No listing information
-66.0 .C No valid previous price
-77.0 .B Off-exchange
-88.0 .A Out of Range
-99.0 . No valid price
DLRET -55.0 .S CRSP has no source to establish a value after delisting
-66.0 .T More than 10 trading periods between a security’s last price and its first available price on a new exchange
-88.0 .A Security is still active
-99.0 .P Security trades on a new exchange after delisting, but CRSP currently h as no sources to gather price information
DLRETX -55.0 .S CRSP has no source to establish a value after delisting
-66.0 .T More than 10 trading periods between a security’s last price and its first available price on a new exchange
-88.0 .A Security is still active
-99.0 .P Security trades on a new exchange after delisting, but CRSP currently has no sources to gather price information
DCLRDT 0 . Declaration date cannot be found
TRTSCD 0 . Unknown trading status of the issue
NMSIND 0 . Unknown whether or not the issue is a member of the Nasdaq National Market
VOL -99.0 .

Note

  • PRC: A positive amount is an actual close for the trading date while a negative amount denotes the average between BIDLO and ASKHI.

Units:

  • Most prices are represented in U.S. dollar values per share.
  • SHROUT in thousands.
  • VOL: The sum of the trading volumes during the month, reported in units of 100, and are not adjusted for splits during the month.
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