CRSPday {ETM}R Documentation

Daily returns from the CRSP database

Description

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

number of observations : 2528

observation : firms

country : United States

Usage

data(CRSPday)

Format

A dataframe containing :

ID
the observation number
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

Note

“All data are taken from the CRSP daily returns database created by the Center for Research in Security Prices of the University of Chicago. They are provided, with the permission of the Center for Research in Security Prices, solely for the purpose of doing exercises from "Econometric Theory and Methods" by Russell Davidson and James G. MacKinnon.”

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, chapter 7, 9 and 15.


[Package ETM version 0.1-2 Index]