Andex Bond Indices to be added to CRSP Indices Database

Academic and corporate researchers who constantly gather and analyze financial data will now be able to examine the Andex Bond Indices as part of the CRSP Indices database.

FOR IMMEDIATE RELEASE:

CONTACT:

Martine Sindler
CRSP -- Center for Research in Security Prices
773 834 8033
773 702 3036
Email: Martine.Sindler@crsp.uchicago.edu
www.crsp.uchicago.edu

Andex Bond Indices to be added to CRSP Indices Database

(Chicago, Illinois, August 2002) Academic and corporate researchers who constantly gather and analyze financial data will now be able to examine the Andex Bond Indices as part of the CRSP Indices database.

The Andex Bond Indices consist of 20 year, 5 year, and a 90-day return indices.

For the 20-year index a bond with at least 19.5 years to maturity and closest to 20 years is selected at the beginning of the year. Monthly returns are calculated using the chosen bond.

For the 5-year index a bond with at least 5 years to maturity and closest to 5 years is selected at the beginning of the year. Again, monthly returns are calculated using the chose bond.

For the 90-day index, the Treasury Bill closest to 90 days maturity is chosen each month. Monthly returns are calculated using the chosen bond.

This information is expected to be added to the June Indices database released in July of 2002.

The CRSP US Indices Database comprises unique decile indices based on the CRSP US Stock database. The decile indices divide the NYSE stock database into ten equally populated portfolios based on Capitalization. AMEX and NASDAQ securities are added into the decile portfolios based on the decile capitalization boundaries.

Other indices are also offered in the CRSP US Indices database. These include Equal-Weighted and Value-Weighted Indices and their respective deciles (with & without dividends) for the NASDAQ, AMEX and NYSE markets (and combinations thereof), the S&P Composite Index, the NASDAQ Composite Index and the CRSP US Treasury and Inflation Series indices.

CRSP, the Center for Research in Securities prices is a financial research center at the University of Chicago, Graduate School of Business that creates and maintains premier historical US databases of stock (Nasdaq, AMEX, NYSE),indice, bond and mutual fund securities. These databases are used by leaders in academic and corporate communities for financial, economic, and accounting research.

CRSP Products include:
Standard Subscription Products
§   CRSP US Stock Databases
§   CRSP US Indices Database
§   CRSP/COMPUSTAT Merged Database (CCM)
§   CRSP Survivor Bias-Free US Mutual Fund Database
§   CRSP US Treasury Databases
Other Products
§   Proxy graphs for 10K SEC filing
§   Monthly cap-based reports
§   Custom data sets and extractions    

A number of factors make the CRSP products unique:

CRSP US Stock Databases

CRSPs unique and permanent security and company identifiers, PERMNO® and PERMCO®, enable uninterrupted time series analysis. This is because corporate actions, including name changes and merger activity, have been tracked over time and therefore an accurate history is available for research purposes.

The Stock history dates back to 1925 on a month-end basis and 1962 on a daily basis. The database includes corporate actions, dividends, price, volume, return and shares outstanding data.

CRSP/COMPUSTAT Merged Database (CCM)

CRSP Link® allows descriptive data such as price, delisting and distribution information in CRSPs stock data files to be retrieved concurrently with income statement, balance sheet, cash flow, and supplemental data from COMPUSTATs fundamental data files. The data is for active and inactive stocks in the respective databases.

CRSP Link® maps CRSPs permanent, unique identifiers, PERMNO® (permanent issue identification number) and PERMCO® (permanent company identification number), with COMPUSTATs permanent, unique company identifier,
GVKEY making concurrent data retrieval possible.

CRSP Survivor Bias Free US Mutual Fund Database

The CRSP Survivor-Bias Free US Mutual Fund Database includes dead (delisted) funds that are traditionally removed from other mutual fund databases. The CRSP database allows researchers to create performance benchmarks free of survivorship bias by including both dead and surviving funds.
CRSP US Treasury Databases

This database comprises historical descriptive information and market data for over 1.5 million end-of-day price observations for 3,200 issues since June 14,1961, and over 101,500 prices for 5,100 month-end issues since 1925.

A major attraction of the monthly treasury database is supplemental files that include the Fama treasury bill term structures files, the Fama maturity portfolio returns file, the Fama-Bliss discount bonds file, the risk free rates file

Cap-Based Product

The Cap-Based Product comprises reports based on the CRSP Cap-Based Portfolio Index. The universe used to create the deciles includes NYSE, AMEX and NASDAQ market securities (excluding American Depositary Receipts) with breakpoints set by the NYSE Market Capitalization.

Reports include the Monthly Results Reports, the Quarterly Results Reports and the Historical Report.

Proxy Product

The Proxy Product is a total return performance graph, with data, for 10K SEC filings. CEOs, auditors, attorneys and accountants use these to demonstrate peer performance when they submit their Edgar filings with the SEC. The product is also offered to academics to illustrate these requirements to their students.

Custom Datasets

Academic and Corporate researchers may require information tailored to their specific need. Custom data sets are available upon request.

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