# Dataframe: `P04:crsp_sp500_daily` - 

Raw daily S&P 500 index data from CRSP. Includes the index level (spindx), S&P 500 return (sprtrn), value-weighted return including dividends (vwretd), and value-weighted return excluding dividends (vwretx). This file is used both for market return construction and for the monthly dividend proxy used in strip return calculations.


## DataFrame Glimpse

```
Rows: 7300
Columns: 5
$ date   <datetime[ns]> 2024-12-31 00:00:00
$ spindx          <f64> 5881.63
$ sprtrn          <f64> -0.004285
$ vwretd          <f64> -0.003392
$ vwretx          <f64> -0.003541


```

## Dataframe Manifest

| Dataframe Name                 |                                                    |
|--------------------------------|--------------------------------------------------------------------------------------|
| Dataframe ID                   | [crsp_sp500_daily](../dataframes/P04/crsp_sp500_daily.md)                                       |
| Data Sources                   | CRSP                                        |
| Data Providers                 | WRDS                                      |
| Links to Providers             |                              |
| Topic Tags                     |                                           |
| Type of Data Access            |                                   |
| How is data pulled?            | Downloaded via wrds-python from the crsp.dsi table using pull_crsp_spindx_level.py.                                                    |
| Data available up to (min)     | 2024-12-31 00:00:00                                                             |
| Data available up to (max)     | 2024-12-31 00:00:00                                                             |
| Dataframe Path                 | /Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/crsp_sp500_daily.parquet                                                   |


**Linked Charts:**

- None


## Pipeline Manifest

| Pipeline Name                   | Holding Period Effects in Dividend Strip Returns                       |
|---------------------------------|--------------------------------------------------------|
| Pipeline ID                     | [P04](../index.md)              |
| Lead Pipeline Developer         | Jie Lin and Zimeng Yi             |
| Contributors                    | Jie Lin, Zimeng Yi           |
| Git Repo URL                    |                         |
| Pipeline Web Page               | <a href="file:///Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/docs/index.html">Pipeline Web Page      |
| Date of Last Code Update        | 2026-03-16 00:21:10           |
| OS Compatibility                |  |
| Linked Dataframes               |  [P04:crsp_sp500_daily](../dataframes/P04/crsp_sp500_daily.md)<br>  [P04:crsp_treasury_returns](../dataframes/P04/crsp_treasury_returns.md)<br>  [P04:fred_treasury_rates](../dataframes/P04/fred_treasury_rates.md)<br>  [P04:fama_french_factors](../dataframes/P04/fama_french_factors.md)<br>  [P04:fama_french_monthly](../dataframes/P04/fama_french_monthly.md)<br>  [P04:optionmetrics_spx_raw](../dataframes/P04/optionmetrics_spx_raw.md)<br>  [P04:optionmetrics_spx_monthly](../dataframes/P04/optionmetrics_spx_monthly.md)<br>  [P04:optionmetrics_zero_curve](../dataframes/P04/optionmetrics_zero_curve.md)<br>  [P04:clean_options](../dataframes/P04/clean_options.md)<br>  [P04:clean_zero_curve](../dataframes/P04/clean_zero_curve.md)<br>  [P04:clean_rates](../dataframes/P04/clean_rates.md)<br>  [P04:clean_crsp_sp500_monthly](../dataframes/P04/clean_crsp_sp500_monthly.md)<br>  [P04:implied_rates](../dataframes/P04/implied_rates.md)<br>  [P04:implied_rates_1y](../dataframes/P04/implied_rates_1y.md)<br>  [P04:zero_curve_1y](../dataframes/P04/zero_curve_1y.md)<br>  [P04:strip_prices](../dataframes/P04/strip_prices.md)<br>  [P04:all_strip_prices](../dataframes/P04/all_strip_prices.md)<br>  [P04:monthly_returns](../dataframes/P04/monthly_returns.md)<br>  |