If I create a portfolio based on a list of PERMNOs and one or more of the securities associated with those PERMNOs were delisted prior to the end of the given period, how are the returns for the remainder of the period calculated?
Once delisted, an issue is given no weight in the portfolio. The returns reflect the value- or equal-weighted average of the returns of the remaining securities.
We create two portfolios. Port1 has two PERMNOs (10106 and 10107) and Port2 contains only one PERMNO 10107. PERMNO 10106 was delisted on 19950105.
Beginning 19950106, the first day PERMNO 10106 is no longer in the portfolio and the returns in Port1 match the returns on Port2.
What is the coding scheme for the CRSP stand-alone index files?
Referencing the following coding scheme will allow users to determine file names in the stand-alone index files. For example, the file DSIX.xls, is the Excel spreadsheet containing the daily indexes for the NYSE, NYSE MKT, and NASDAQ exchanges.
First character represents the frequency
Second and third characters represent the data
|SI||Stock + Indexes|
|SS||Stock + Standard Deviation|
|SB||Stock + Beta|
Fourth character represents the exchange
|B||NYSE MKT US|
|C||NYSE + NYSE MKT US|
|X||NYSE + NYSE MKT US + Nasdaq|
|Y||NYSE + NYSE MKT US + Nasdaq + NYSE Arca|