CRSPMI Intraday

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The CRSPMI Intraday, is a historical data product generated by the investable CRSP Market Indexes.

Our primary goal in generating the CRSP Market Indexes was to provide additional market data for scholarly research. The CRSPMI Intraday research data product is the first dataset to do so.

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Key Features

The introductory time series provides the base for further product expansion. This will include additional index data as well as index holdings and intraday and end-of-day security data.

Market Capitalization, Value/Growth, Sector Index families and the CRSP ISS ESG Indexes
Data includes second-by-second and end-of-day Price and Total Returns levels
History is updated quarterly and delivered one month after each calendar quarter
Format is easy-to-use SAS, ASCII or R files
Histories for indexes begin at different dates, tied to when the data was captured, not always to the date when indexed to 1000

Documentation

CRSPMI Intraday Guide

CRSPMI - Intraday Guide

The CRSPMI Intraday files include second-by-second levels of CRSP’s investable Equity Indexes and End of Day levels. The six files that comprise the data set are provided in SAS, ASCII and R formats and listed below:

File Name (.sas7bdat or .dat)	SAS Size	ASCII Size	R Size	Start Date	Description
Cap	8.02 GB	14.33 GB	5.13 GB	4/1/2011	CRSP Market Cap Index levels – second by second
Vg	8.59 GB	15.25 GB	5.91 GB	9/10/2012	CRSP Value Growth Index levels – second by second
Sector	9.43 GB	16.61 GB	5.71 GB	9/21/2012	CRSP Sector Index levels – second by second
ESG	196 MB	256 MB	139 MB	9/7/2021	CRSP ISS ESG Index levels - second by second
Eod_cap	<1 MB	<1 MB	<1 MB	3/31/2011	CRSP Market Cap Index levels – end of day
Eod_vg	<1 MB	<1 MB	<1 MB	9/7/2012	CRSP Value Growth Index levels – end of day
Eod_sector	<1 MB	<1 MB	<1 MB	9/20/2012	CRSP Sector Index levels – end of day
Eod_ESG	<1 MB	<1 MB	<1 MB	9/7/2021	CRSP ISS ESG Index levels - end of day
Total Zip File Size	17.42 GB	13.22 GB	16.55 GB	N/A	Zipped File
Total File Size	26.23 GB	46.55 GB	16.89 GB	N/A	Unzipped File

*Price level indexes start dates. Total Return level indexes start at various other dates listed in Index List details at the end of this document.

CRSPMI Intraday

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CRSPMI Intraday Guide

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