Time Series

Security level time series includes price, return, shares outstanding, and adjustment factors.  

  • All time series are keyed by the CRSP Permanent Security Identifier, PERMNO®, and the calendar trading date.  Only trading dates are included.
  • Price data includes the observed price or bid/ask data as well as the used price derived for the indexes.  Used prices, a price type, and the date of a used price are provided.
  • Returns data includes a total return and capital appreciation based on the Used Prices.
  • Shares outstanding data is mapped from filings and adjustment events to each time series value.  A capitalization is computed based on the used shares outstanding and the used price. 
  • Adjustment data includes the effective ordinary dividend amount, non-ordinary dividend amount, period adjustment factor, and cumulative price adjustment factor.  Prices can be divided by the cumulative price adjustment factor to get prices adjusted to the basis of the last available price.

See the Data Definitions for the full list of variables and used price type codes.