Finding CRSP Value-Weighted Index Price Levels

Summary

The document asks where to obtain price levels for the CRSP value-weighted index that exclude distributions. The author can access WRDS index returns, total market value, and market value of securities used, but reports that returns computed from the latter fields do not exactly match the precomputed value-weighted returns. They want index levels to calculate returns over irregular periods directly.

The text offers no answer, data source, calculation method, or evidence resolving the discrepancy. It is useful as a concise data-research question about distinguishing index levels from return series and checking whether constituent market-value fields reproduce an index return. The issue remains unresolved in the document, so it does not establish that price-level data are unavailable or explain the mismatch.

Key ideas

• The author seeks CRSP value-weighted index levels excluding distributions rather than precomputed returns.
• WRDS provides index returns and market-value fields, but calculations from those fields do not exactly match the published return series.
• Index levels would allow direct calculation of returns over irregular periods.
• The document poses the data-access question but does not provide an answer or validate a calculation method.

Tags

# CRSP VW index price data (not return data) - where?


# CRSP VW index price data (not return data) - where?












I am trying to find index price levels for the CRSP value weighted index (excl. distributions), not pre-calculated returns. I have access to WRDS, where I can download the returns on the index and also "Total Market Value" and "Market Value of Securities Used"

(location in WRDS: Get Data -> CRSP -> Annual Update -> Stock / Security Files -> CRSP Stock Market Indexes (NYSE/AMEX/NASDAQ/ARCA))

However, neither of these, when computing the returns, yield the exact same return as I get from downloading the already computed value weighted returns on the same page in WRDS...

This is a bit confusing and bothersome, as I need the raw index price data to easily calculate returns over odd periods (without adding or multiplying together log / simple returns which could be done with the already calculated returns data)

Am I missing something in WRDS or is this simply not available?

Thanks!

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