CRSP Share Codes in Fama–French Stock Samples

Summary

The question concerns the meaning of share codes 10 or 11 in the stock sample described by Fama and French (2015), and whether these codes identify securities in the same way as CUSIP, PERMNO, or PERMCO. The answer points readers to the definition of the relevant CRSP variable and explains that these codes designate ordinary common shares. They are therefore classification values used to define the eligible share type, rather than substitutes for the identifiers named in the question.

This distinction matters when reproducing an empirical stock sample: identifiers track securities or companies, while a share code filters observations by security category. The excerpt does not provide the full formal definitions, explain every inclusion rule in the paper, or discuss how to join CRSP and Compustat records. Researchers implementing the sample should consult the data documentation and the paper’s full methodology before assuming that this criterion alone specifies the complete universe.

Key ideas

• CRSP share codes classify the type of security in an observation.
• Codes 10 and 11 are described in the answer as ordinary common shares.
• Share codes serve a different purpose from identifiers such as CUSIP, PERMNO, and PERMCO.
• The criterion helps define an equity research sample but does not specify all sample construction or database-linking rules.
• The full variable definition and study methodology should be checked when reproducing the sample.

Tags

# what does "share codes" in Fama and French (2015) exactly mean?


# what does "share codes" in Fama and French (2015) exactly mean?












I am new to US stocks and find that US stocks are distinguished by ticker symbols. For example, AAPL is for Apple Inc. hwoever, in CRSP and COMPUSTAT, there are CUSIP, PERMNO and PERMCO to distinguish one stock from another.

In the section "The playing field" of Fama and French (2015), it's said "the sample is all NYSE, AMEX, and NASDAQ stocks on both CRSP and Compustat with share codes 10 or 11". I wonder what does "share codes 10 or 11" mean? For CUSIP or PERMNO? Or something else? It may be a silly question, but I really need help. Thanks.

## Answer by phdstudent (score 9, accepted)

https://quant.stackexchange.com/a/39964

You just need to check the definition of the variable. They basically represent Ordinary common shares (see below the exact definition).

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