Monthly Returns from the CRSP Database

Description

monthly observations from 1969-1 to 1998-12

number of observations : 360

observation : production units

country : United States

Usage

data(CRSPmon)

Format

A time serie containing :

ge

the return for General Electric, Permno 12060

ibm

the return for IBM, Permno 12490

mobil

the return for Mobil Corporation, Permno 15966

crsp

the return for the CRSP value-weighted index, including dividends

Source

Center for Research in Security Prices, Graduate School of Business, University of Chicago, 725 South Wells - Suite 800, Chicago, Illinois 60607, http://www.crsp.com.

References

Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, http://www.econ.queensu.ca/ETM/, chapter 13.

See Also

Index.Source, Index.Economics, Index.Econometrics, Index.Observations,

Index.Time.Series