Comments (3)
Additional CRSP v2 implementation issues:
- We can do better when filtering exchanges. In particular, the suggestion is to include:
primaryexch in ('N','A', 'Q') and
conditionaltype = 'RW' and
TradingStatusFlg = 'A'
- We could consider highlighting that there is no longer a cumulative adjustment factor for prices and shares outstanding (but only an adjustment factor for the day of the change).
First is more relevant, second is just for information. Any thoughts on whether we should implement them?
from website.
Ad 1: I'm in principle in favor of the change, but suggestion from where? We should also add info what those filters mean in human language.
As 2: for whom is 2 relevant? For us, it isn't, is it?
from website.
ad 1. Based on the description by WRDS on how the old exchcd maps into primaryexch. We can consider conditionaltype in ('RW', 'NW'), where RW is regular trading and NW for when issued (as we also use exchcd 31, 32, and 33). The TradingStatusFlg is necessary to avoid prices when execution is halted.
--> https://wrds-www.wharton.upenn.edu/pages/support/manuals-and-overviews/crsp/stocks-and-indices/crsp-stock-and-indexes-version-2/crsp-ciz-faq/
ad 2. It is not relevant in the book, but there are many situations where you would need it (anything taking prices as an input without multiplying by shares).
from website.
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from website.