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Filtering CRSP Data to Keep Common Stocks

Article Quant Q&A · Author: milkmotel
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Summary

The document addresses how to extract common stocks from CRSP data when building a US equity sample. The concrete filtering method is to select the share-code variable and retain securities with codes 10 or 11, excluding records with other codes. This provides a direct way to narrow a download without relying on a ticker list or incomplete industry labels.

The exchange question covers NYSE, Nasdaq, and AMEX, while the replies focus on CRSP share codes and a separate suggestion to filter a Nasdaq.com CSV by sector. The answer also explains why some securities may stop trading before a chosen year-end: companies can go bankrupt or be acquired. That observation matters when interpreting historical coverage, since a final trading date before the end of the sample does not by itself show that the download is faulty. The discussion does not address how to resolve incomplete NAICS classifications or fully validate exchange coverage.

Key ideas

  • CRSP share codes 10 and 11 are identified as the codes for common stocks.
  • Filtering out other share codes can remove non-common-stock securities from a CRSP extract.
  • Bankruptcy or acquisition can explain why a company’s final trading date precedes year-end.
  • The suggested exchange-list alternative filters a Nasdaq data file by sector, but the answer does not assess its completeness.

Tags

EquitiesUS marketsStatistics
Full text
# CRSP common stock only


# CRSP common stock only












How can I download exchange data for only common stocks (excl mutual funds, ETF, etc) on the NYSE, NASDAQ, and AMEX?

I can't find a list of tickers or anything. Does anyone know a method? And does anyone know how to get around the CRSP NAICS labeling being so incomplete?

Anyone have any experience in using CRSP daily stock data and downloading it in the most usable format? I'm trying to download all publicly listed stocks and it doesn't make any sense because only about 70% of these companies by ticker/name/PERMNO/PERMCO have their last trading date on 12/31/2015, but if they're publicly listed, then they should all trade until the end.

## Answer by neo_one (score 2)

https://quant.stackexchange.com/a/36838

When downloading your data set you can also select a variable called share code. All common stocks trade with share code "10" or "11". After loading the set simply delete all shares with a code other than "10" or "11".

Companies may go bankrupt or get acquired so that is why only 70% trade until the end of the year I guess...

## Answer by milkmotel (score -2)

https://quant.stackexchange.com/a/24313

I figured out a solution. You can sort the CSV data from NASDAQ.com and filter out anything in the n/a sector

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.