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 |
|
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 |
|
Lead Pipeline Developer |
Jie Lin and Zimeng Yi |
Contributors |
Jie Lin, Zimeng Yi |
Git Repo URL |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
|
Linked Dataframes |
P04:crsp_sp500_daily |