CRSP Daily Stock Price/PRC
Posted: 25 March 2015 10:35 AM   [ Ignore ]
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Hi,

I have been having trouble with his variable. With some stocks it works fine, but sometimes it pulls the clearly wrong prices despite the fact the date and the PERMNO is completely correct.

For example, it pulled:
Novo Nordisk A/S 3 years DPA 5/6/2009 (-1)48.73 (0)48.62 (1)47.46

The price range for this time was in the 9 range.

I have this problem with many other stocks- largely financials. (AIG, PNC, UBS)

Am I doing something wrong?

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Posted: 25 March 2015 12:50 PM   [ Ignore ]   [ # 1 ]
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hi,

What is the benchmark? (How do you know the data is wrong?) Could it be comparing data with/without stock split adjustments?

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Joost

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Posted: 25 March 2015 12:59 PM   [ Ignore ]   [ # 2 ]
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I can look up the stock’s chart on Bloomberg Terminal or Yahoo and figure out the price isn’t correct. If it was a small difference, perhaps it is a data methodology thing. But as stated before, it was orders of magnitude off- leading me to believe I am doing something wrong.


I am just pulling the price date for the trading day one day before, one date after, a second day after the announcement of the NPA/DPA signing. There is no benchmark or any complicated statistically analysis going on.

Example:

Novo Nordisk 5/6/2009, CRSP displays:  48.73   48.62   47.46

Yet:
http://finance.yahoo.com/echarts?s=NVO+Interactive#

It was trading in the low teens during this period.

I have this issue with several stocks. AIG for example was trading in the 1000s, yet CRSP PRC consistently shows a range in the 60s.

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Posted: 25 March 2015 01:33 PM   [ Ignore ]   [ # 3 ]
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hi,

To me it looks like CRSP PRC is correct. For example, the actual stock price of AIG in 2007 was around $60. I.e, at that time you could buy one share of AIG for $60. Compare actuals with actuals, or split-adjusted with split-adjusted numbers.

Data on yahoo finance will give you both actuals and split-adjusted share prices: http://finance.yahoo.com/q/hp?s=AIG&a=00&b=1&c=2007&d=11&e=31&f=2007&g=m

Best regards,

Joost

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Posted: 25 March 2015 02:21 PM   [ Ignore ]   [ # 4 ]
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Thanks so much for your replies. I believe you are right. One is spilt adjusted, the other is actual.

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Posted: 25 March 2015 02:25 PM   [ Ignore ]   [ # 5 ]
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ok, I’m glad CRSP data is (pretty) good after all smile

best,

Joost

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