CRSP dsf file
Posted: 17 November 2012 01:27 PM   [ Ignore ]
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Dear Joost,

I have very junior question. What price normally people use to calculate announcement returns in terms of dsf file? Bid or low? ask or high?
I intended to use PRC, but it is a average price, some of which are negative. I do not think it is appropriate to use.
Thank you for your help.

pwyw000

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Posted: 17 November 2012 03:16 PM   [ Ignore ]   [ # 1 ]
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Adding to that question. When calculating market cap on a specific day, which price should I use?

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Posted: 17 November 2012 05:14 PM   [ Ignore ]   [ # 2 ]
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hi pwyw000,

To compute, use return (‘RET’). For short windows, use daily stock file (dsf), for long periods spanning whole months, use monthly stock file (msf).

When calculating the market cap, use prc, which is the closing price of the day (multiply it with number of shares outstanding in Compustat).
If you happen to want to have closing price at the end of the year, you can use prcc_f in Compustat (in that case you won’t need to use CRSP).

best regards,

Joost

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