Pull stock data from WRDS (price, returns, splits, exchange ...)

[AmritSd]

We would need daily price OHLC or returns. Indication of splits, delistings, and exchange changes

Edit : 2/3/23:

Taking the following columns from compustat Date range (Jan 2005 - Dec 2021)

• PRCCD Price - Close - Daily (PRCCD)
• PRCHD Price - High - Daily (PRCHD)
• PRCOD Price - open - Daily (PRCOD)
• PRCLD Price - Low - Daily (PRCLD)
• PRCSTD Price Status Code - Daily (PRCSTD)
• Stock Exchange Code (EXCHG)
• AJEXDI — Adjustment Factor (Issue)- Cumulative by Ex-Date (AJEXDI)
• TRFD Daily Total Return Factor (TRFD)
• CUSIP (CUSIP)
• Ticker Symbol (TIC)
• CSHTRD Trading Volume - Daily (CSHTRD)
• CSHOC Shares Outstanding (CSHOC)
• Foreign Incorporation Code (FIC)
• SIC Standard Industry Classification Code (SIC)
• LOC Current ISO Country Code - Headquarters (LOC)

To account for splits do prccd / ajexdi

To calculate cum. returns do
p1 = (prcdd / ajexdi) trfd p2 = (prccdd (t-1) / ajexdi (t-1)) trfd(t-1)

r = p1/p2 -1

[AmritSd]

Data was pulled from Securities Daily in Compustat. It's 8gigs!

[AmritSd]

We've switched to the CRSP price data because it has end of period returns (daily adjusted) and delisting variables.

[AmritSd]

In CRSP: identifying companies by permno seems to be the better option because it identifies individual share classes whereas permco identifies companies.

Source: https://libguides.stanford.edu/c.php?g=559845&p=6686228

[AmritSd]

(removed comment)

[AmritSd]

Permno: Individual company share class identifier ticker: Ticker exchcd: Exchange code

• 1: NYSE
• 2: AMEX
• 3: NASDAQ
• -1: Suspended by NYSE, AMEX or NASDAQ
• -2: Halted by NYSE, AMEX
• 5: Mutual fund
• 6: ARCA

siccd: SIC code (To take financial companies out) trdstat: Trading stat A: Active, H: halted, S: sus, X: unkown prc: Closing price (-ve if bid-ask spread used to calculate prices) If zero then data is missing (so forward fill) ret: Closing period return

• -66: lots of missing data before last price
• -77: not trading on the current exchange at time t
• -88: no return
• -99: missing return

dlstcd: Delisting code

• 100: Active
• 200: Mergers
• 300: Exchanges
• 400: Liquidations
• 500: Dropped
• 600: Expirations
• 900: Domestics that became foreign

dlret: return after delisting (A if still active, S if suspended)

[AmritSd]

We need cusip as well, since we need merge of cusip for institutional data

[AmritSd]

Pulled data from CRSP>Annual Update>Stock/ Security Files>Daily stock File The date range was 01-2005 to 12-2021 The following columns were requested

[AmritSd]

Number of shares outstanding (Shrout) was also requested since it is required for calculation ownership %.