CRSP Missing Codes

Author

Affiliation

Mingze Gao, PhD

Macquarie University

A note on the missing codes in CRSP.¹

¹ Source: https://wrds-www.wharton.upenn.edu/demo/crsp/form/

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.