CRSPdayR Documentation

Daily Returns from the CRSP Database

Description

daily observations from 1969-1-03 to 1998-12-31

number of observations : 2528

observation : production units

country : United States

Usage

data(CRSPday)

Format

A dataframe containing :

year

the year

month

the month

day

the day

ge

the return for General Electric, Permno 12060

ibm

the return for IBM, Permno 12490

mobil

the return for Mobil Corporation, Permno 15966

crsp

the return for the CRSP value-weighted index, including dividends

Source

Center for Research in Security Prices, Graduate School of Business, University of Chicago, 725 South Wells - Suite 800, Chicago, Illinois 60607, http://www.crsp.com.

References

Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, http://www.econ.queensu.ca/ETM/, chapter 7, 9 and 15.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,

Index.Time.Series