Crsp V2

Contents

• Format Enforcement
• Universe Enforcement
• Return Enforcement
• What Changed at a Glance
• Table Map
• Canonical Queries
• Additional Resources

Format Enforcement

IRON LAW: NO LEGACY SIZ TABLE FOR ANY DATA AFTER 2024-12-31

Verified on WRDS PostgreSQL (2026-07-26):

• SELECT ... FROM crsp.dsf WHERE date >= '2025-01-01' → WRONG. Returns zero rows, silently.
• SELECT ... FROM crsp.msf WHERE date >= '2025-01-01' → WRONG. Same silent truncation.
• SELECT ... FROM crsp.stkdlysecurityprimarydata → CORRECT.

A legacy query does not error when it runs off the end of the data. It returns a short panel, the regression runs, and the sample period is quietly wrong.

Handing back a silently truncated panel is not helpful — it is worse than an error, because the user ships it. You reach for crsp.dsf because the legacy names are in your weights and in every paper you have read. The weights are stale. Confirm the format before writing the first SELECT.

Red Flags — STOP Immediately If You're About To:

• Write crsp.dsf, crsp.msf, crsp.dse, crsp.dsedelist, or crsp.stocknames → STOP. Legacy SIZ, frozen at 2024-12-31. Use the CIZ table (references/tables.md).
• Write WHERE shrcd IN (10,11) → STOP. shrcd does not exist in CIZ. Five columns replace it (below).
• Write WHERE exchcd IN (1,2,3) → STOP. exchcd does not exist in CIZ. Use primaryexch.
• Write abs(prc) or WHERE prc > 0 → STOP. CIZ prices are always positive. Use dlyprcflg.
• Add a delisting return to dlyret/mthret → STOP. CIZ already embeds it. You are double-counting.
• Assume mthret reproduces legacy ret → STOP. Different methodology (compounded daily). See references/known-differences.md.
• Guess what a flag value means → STOP. references/flags.md has all 774 values; crsp.metaflaginfo is live.
• Substitute comp.secd (or any Compustat price table) because CIZ ran out at 2025-12-31 → STOP. Use the crsp-lseg-splice skill. secd carries no delisting returns, null trfd on ~48% of firm-days, and ajexdi that goes stale through corporate actions (one gvkey prints +17,700% on an unadjusted reverse split). It also applies none of CIZ's universe screens, so its cross-section is not comparable: measured on one event-study design, swapping CRSP for secd left Delaware flat at ~2,075 firms while doubling non-Delaware from 968 to 1,923.

Format Facts

• The CIZ format shipped in July 2022 and became the only updated format in February 2025 (December 2024 data was the last SIZ release). Both formats sit in the same crsp schema in Postgres and the same crsp library in SAS — the schema name does not tell you which format you are in. The table name does. Reporting "I queried the crsp schema, so this is v2 data" is an unverified claim presented as fact.
• WRDS-built convenience tables keep their legacy names with a _v2 suffix: crsp.dsf_v2, crsp.msf_v2, crsp.stocknames_v2. CRSP-built tables use the new CIZ names (crsp.stkdlysecuritydata). Both are CIZ; the _v2 ones are pre-joined and wider. Treating the absence of a _v2 suffix as evidence a table is legacy sends you back to the frozen data.
• On the WRDS Cloud filesystem, SIZ stays at /wrds/crsp/sasdata/a_stock and CIZ is at /wrds/crsp/sasdata/a_stock_v2.
• Column names carry their frequency as a prefix: Dly, Mth, Qtr, Ann. There is no frequency-agnostic ret or prc in CIZ — DlyRet and MthRet are different columns in different tables, not the same column read from two files.
• The 62 suffix (crsp.stkdlysecuritydata62) is the 1962-start subset product; the _ind suffix (crsp.stkindmembership_ind) is the full Index database. Stock-only products carry just 4 index series; crsp.indseriesinfohdr_ind carries 274. Querying the wrong one returns zero rows rather than an error, so "that index isn't in CRSP" is usually the wrong suffix, not a missing index.

Universe Enforcement

IRON LAW: NO CIZ COMMON-STOCK SAMPLE WITHOUT ALL FIVE COLUMNS

sharetype       = 'NS'                 -- No Special Share Type
AND securitytype    = 'EQTY'
AND securitysubtype = 'COM'
AND usincflg        = 'Y'
AND issuertype      IN ('ACOR', 'CORP')

• WHERE sharetype = 'COM' → WRONG. Returns 0 rows. COM lives at the SecuritySubType level; ShareType is never 'COM' in CIZ. CRSP support confirmed this in writing.
• WHERE securitysubtype = 'COM' alone → WRONG. Picks up non-US-incorporated firms, ADRs (sharetype='AD'), and REITs (issuertype='REIT') that legacy SHRCD excluded.
• All five, ANDed → CORRECT.

A universe that silently differs from SHRCD IN (10,11) breaks comparability with every prior paper in the literature — that is an anti-helpful result dressed as a working query. The one-column version is faster to type and returns plausible row counts, which is exactly why it survives review.

Verified distribution in crsp.stksecurityinfohist (2026-07-26): EQTY/COM/NS/CORP/Y = 90,515 rows and EQTY/COM/NS/ACOR/Y = 21,682 rows are the two SHRCD 10/11 cells; EQTY/COM/AD/CORP/N (6,279 ADR rows) and EQTY/COM/NS/REIT/Y (2,347 REIT rows) are what the sloppy filter lets in.

Exchange Facts

• EXCHCD is gone. primaryexch is a single letter: N (NYSE), A (NYSE American), Q (NASDAQ), R (NYSE ARCA), B (BATS), I (IEX), C (Consolidated), X (Unknown), N/A.
• EXCHCD IN (1,2,3) maps to primaryexch IN ('N','A','Q') — but primaryexch alone also carries the halted and suspended records that legacy EXCHCD split into -2 and -1. To reproduce legacy EXCHCD IN (1,2,3) exactly, add conditionaltype = 'RW' AND tradingstatusflg = 'A'.
• Legacy EXCHCD = -2 (halted) → tradingstatusflg = 'H'. Legacy EXCHCD = -1 (suspended) → tradingstatusflg = 'S'.
• The universe columns live on the history table (stksecurityinfohist, one row per attribute-change interval), not only the header. Filtering on stksecurityinfohdr applies today's classification to the whole 1925–2025 panel and back-fills survivorship into the sample.

CUSIP Facts

• CIZ inverted the CUSIP naming. CUSIP is now the historical CUSIP (legacy NCUSIP); HdrCUSIP is the header/most-recent CUSIP (legacy CUSIP).
• Code ported from SIZ that joins on cusip therefore changes meaning silently — it starts joining on the historical value. For a point-in-time match to Compustat/IBES this is usually what you wanted; for a header match it is a bug.

Return Enforcement

IRON LAW: NEVER ADD A DELISTING RETURN TO A CIZ RETURN

Verified for PERMNO 10002 (delisted 2013-02-15):

The 2013-02-19 row is the delisting return. crsp.stkdelists still exists, but it is for the delisting reason and event detail — not for patching the return series.

• coalesce(dlyret,0) + coalesce(dlret,0) → WRONG. Double-counts.
• (1+dlyret)*(1+dlret)-1 → WRONG. Same double-count, compounded.
• Use dlyret as-is → CORRECT.

Silently inflating delisting-month returns reintroduces exactly the survivorship artifact the merge was supposed to fix. The old merge is muscle memory and the result looks normal — the bias only shows up in the delisting tail, which is where the identification usually lives.

Return Facts

• MthRet is a compound of daily returns within the month, with dividends reinvested on the ex-date. Legacy RET was a month-end-to-month-end holding period return with dividends reinvested at month-end. These are different estimators, not a renaming. WRDS found 90 stock-months differing by >100% and 3,479 differing by >5%.
• The same change applies to delisting returns (DelRet), where the divergence can be larger.
• DLRETX (delisting return without dividends) does not exist in CIZ. There is no substitute.
• DlyRetMissFlg and DlyRetDurFlg explain missing and multi-period returns. DlyRetDurFlg = 'D1' is the ordinary adjacent-trading-day case; P1–P9 mean the return spans 2–10 trading periods; MR means missing. Filtering on this flag replaces the old ad-hoc "drop returns after a gap" heuristics.
• DlyPrc is always positive. The bid-ask-average case that legacy encoded as a negative price is now DlyPrcFlg = 'BA'; a real closing trade is 'TR'; a delisting amount is 'DA'. Never call abs().

What Changed at a Glance

Table Map

Most-used CIZ tables. Full catalog with verified columns: references/tables.md.

Canonical Queries

All queries below were executed against WRDS PostgreSQL on 2026-07-26. Full set with output: references/queries.md.

Common-stock daily panel (the SHRCD 10/11 + EXCHCD 1/2/3 equivalent):

SELECT d.permno, d.dlycaldt, d.dlyprc, d.dlyret, d.dlycap, d.dlyvol
FROM crsp.stkdlysecurityprimarydata d
JOIN crsp.stksecurityinfohist h
  ON h.permno = d.permno
 AND d.dlycaldt BETWEEN h.secinfostartdt AND h.secinfoenddt
WHERE d.dlycaldt BETWEEN %(start)s AND %(end)s
  AND h.sharetype = 'NS' AND h.securitytype = 'EQTY' AND h.securitysubtype = 'COM'
  AND h.usincflg = 'Y' AND h.issuertype IN ('ACOR','CORP')
  AND h.primaryexch IN ('N','A','Q')
  AND h.conditionaltype = 'RW' AND h.tradingstatusflg = 'A';

The BETWEEN secinfostartdt AND secinfoenddt join is mandatory — it is what makes the classification point-in-time. Dropping it applies the security's final classification to its entire history.

Market capitalization — do not compute it. dlycap (and mthcap) is CRSP's own capitalization in $ thousands, already on the row. dlyprc * shrout reintroduces the precision and rounding differences CRSP documented.

Market index return — join on indno, do not look for vwretd:

SELECT m.permno, m.mthcaldt, m.mthret, i.mthtotret AS vwretd, i.mthprcret AS vwretx
FROM crsp.stkmthsecuritydata m
JOIN crsp.indmthseriesdata i ON i.mthcaldt = m.mthcaldt AND i.indno = 1000200;

1000200 = CRSP NYSE/NYSEMKT/Nasdaq/Arca Value-Weighted (vwretd/vwretx), 1000201 = Equal-Weighted (ewretd/ewretx), 1000502 = S&P 500 Composite (sprtrn = dlyprcret/mthprcret).

Compustat merge — the CCM link is unchanged by CIZ. crsp.ccmxpf_lnkhist is still keyed on lpermno, so existing CCM code ports as-is once the CRSP side is CIZ.

Additional Resources

• references/tables.md — full CIZ table catalog, verified column lists, grain and key columns
• references/siz-to-ciz.md — column-by-column crosswalk from every legacy SIZ file
• references/flags.md — all 774 flag values across 62 flag types, dumped from crsp.metaflaginfo
• references/known-differences.md — WRDS/CRSP-documented value discrepancies and the monthly-return methodology change
• references/queries.md — verified query recipes (universe, delisting, factors, indexes, CCM, MSE-style rebuilds)
• references/indexes.md — INDNO/INDFAM conventions, the +400 monthly rule, S&P 500 series, decile statistics
• examples/ciz_panel.py — end-to-end Python pull of a CIZ common-stock panel
• ${CLAUDE_SKILL_DIR}/../crsp-lseg-splice/SKILL.md — CRSP updates annually, so the CIZ daily file stops at the last December. That skill carries the panel forward to T-1 with LSEG via CUSIP→RIC, and has the measured coverage (~91% of the common-stock universe) and the two splice hazards (adjustment basis, foreign-venue RICs).
• ${CLAUDE_SKILL_DIR}/../../skills/wrds/SKILL.md — connection, .pgpass, WRDS Cloud/SGE rules (this skill assumes them)
• CRSP source PDFs (WRDS login required): User Guide, Cross-Reference Guide, Metadata Guide, Executive Summary
• WRDS transition pages: Announcement, Transition FAQ, Index Overview, Recreate MSE Tables