CRSP Wharton Research

[Christian Fink]

Hi guys,

I know this thread is kind of offtopic, but I think my chance is quite hight to get an answer here, since there are many academics in this forum.

I am using stock data from CRSP via Wharton Research website. While downloading daily stock prices, I get a column labeled by iid with data like 01w or 03w and so on. Does someone know what this stands for? I get multiple daily prices for the same company and same date. There is also no explanation on the database.

I suggests that it might refer to ex dividend dates but I am not sure.

Thank you in advance!

Best regards!

[Joro Kolev]

Do a google search for "iid crsp" and see what comes up.

I have not used this variable but for what I see it is some issue identifier,

This alphanumeric character code uniquely identifies an issue of a company. It is comprised of an issue-identifying numeric component and a population-identifying alpha component. The 2-digit numeric component distinguishes the issue from other issues of the company. For example, a company with three issues of stock would have Issue ID's of 01, 02 and 03. When combined with the company's Global Company Key (GVKEY), the Issue ID distinguishes the issue from all other issues. However, each Issue ID remains with the individual issue. For example, if the 02 issue in the previous example was discontinued, issues 01 and 03 would remain active for the company. If the 2-digit numeric component is 90 or above, the security is an American Depository Receipt (ADR).

see here http://zeerovery.nl/blogfiles/Comp-IID.pdf