Are there any academics or funds on the list that use the CRSP database?
Considering doing a study that requires the CRSP stock database and don’t really want to fork over $20k+.
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you may want to ask reuters about their new point in time database offering. The skews from fundamental data and when this is disclosed is pretty significant and the need for lags is large. I don't know anything about CRSP, but I am sure reuters might help explain the CRSP database in the point and time context of their new offering.
I have a library card to NYU and through that I can access WRDS. WRDS (through Wharton) let's you access compustat and CRSP. I would recommend calling around to local universities and checking to see if they have access to any of those databases and how much to obtain a library card. You could probably get one for <300.
I use zacks data & backtesting software which is less expensive than cRSP
Zacks database is essentially useless for backtesting. It has nearly all types of biass existing, including back filling, survivorship, etc. Not recommended.
If you are looking at data after 2001, a very clean database is Portfolio123.
Looking @ CRSP… I've been looking for something similar, but with CRSP can you limit selection by country, region, sector, etc?
Some of the Bridgeway funds are designed to track CRSP indices. For example the “Ultra Small Market” fund (BRSIX) tracks the CRSP 9th and 10th deciles (smallest market cap). The tracking is not exactly, however, because Bridgeway tries to be tax efficient. I understand that is why the fund is not marketed as an index fund.
How far you want to go back?
1920s
How far you want to go back?
1920s