Homework 3: Introduction to WRDS and CRSP

Introduction to WRDS and CRSP

Please watch the following videos to better familiarize yourself with CRSP and Compustat in WRDS.

• WRDS - Introduction to Web Queries

• CRSP Coverage

• CRSP - Useful Variables

  • This video goes over some points we made in class as well and is helpful for cleaning the CRSP data (e.g., negative prices).

• CRSP Stock Database Coverage

  • Useful for merging stock files and event files in CRSP via SQL. This is useful, for example, to incorporate delisting returns.

Replicating the CRSP Market Index

In this second part, please do your best to replicate the CRSP value-weighted index of market returns. We will discuss this in more depth in the last class and we will work through this part of the homework together in class next time. However, please attempt to do this on your own first.

For information on the CRSP market index, please see the following guide:

• CRSP Market Returns Indices

References:

• Eugene, Fama, and Kenneth French. “The cross-section of expected stock returns.” Journal of Finance 47, no. 2 (1992): 427-465.

• Fama, Eugene F., and Kenneth R. French. “Common risk factors in the returns on stocks and bonds.” Journal of financial economics 33, no. 1 (1993): 3-56.