| CRSPday | R 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, https://www.crsp.org.
References
Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, chapter 7, 9 and 15.
See Also
Index.Source, Index.Economics, Index.Econometrics, Index.Observations,
Index.Time.Series