Center for Research in Security Prices

Center for Research in Security Prices is a financial research center and provider of historical market data, established at the University of Chicago. It is renowned for creating and maintaining comprehensive databases of stock market and index information that have become foundational for academic and professional finance. Its data products are used extensively for empirical research in financial economics, asset pricing, and corporate finance, influencing both scholarly work and industry practice globally. The center operates as part of the University of Chicago Booth School of Business.

History

The center was founded in 1960 through a grant from Merrill Lynch to the University of Chicago Graduate School of Business, spearheaded by professors James Lorie and Lawrence Fisher. Its seminal achievement was the creation of the first comprehensive machine-readable database of New York Stock Exchange prices, dividends, and returns, a project that required pioneering work in data processing and computer science. This effort culminated in the 1964 publication of the landmark "Rates of Return on Investments in Common Stocks" study in the Journal of Business, which transformed empirical finance. Over subsequent decades, the center expanded its data coverage to include the American Stock Exchange, NASDAQ, and indices while moving its operations to the University of Chicago Booth School of Business.

Data products

The center's flagship product is the CRSP US Stock Database, which provides detailed daily and monthly data on all NYSE, AMEX, and NASDAQ securities back to 1925. A cornerstone of modern finance, the CRSP US Indices Database serves as the basis for widely tracked benchmarks like the S&P 500 and is licensed to firms such as Vanguard Group for ETF construction. Other major offerings include the CRSP US Treasury Database, the CRSP Survivor-Bias-Free US Mutual Fund Database, and the CRSP/Compustat Merged Database, developed in partnership with Standard & Poor's. These datasets are distributed globally through platforms like Wharton Research Data Services and are integral to tools used by Federal Reserve economists and researchers at institutions like the National Bureau of Economic Research.

Research and impact

Data from the center has underpinned Nobel Prize-winning research, including the work of Eugene Fama on the efficient-market hypothesis and Robert Shiller on market volatility. It has been critical for foundational studies in behavioral finance, CAPM testing, and event study methodology, published in leading journals such as the Journal of Finance and the Journal of Financial Economics. Beyond academia, its datasets are used by the Securities and Exchange Commission for regulatory analysis, by BlackRock for portfolio management, and by the Chicago Board Options Exchange in derivatives pricing. The center's commitment to rigorous, survivor-bias-free data is credited with elevating the empirical standards of the entire finance discipline.

Governance and funding

The center operates under the governance of the University of Chicago Booth School of Business, with guidance from a faculty committee and an external advisory board comprising leaders from academia and finance. Historically, its development was supported by grants from major institutions like the Ford Foundation and National Science Foundation. Today, it is primarily funded through subscription fees for its commercial data products, which support its ongoing research and data maintenance operations. This self-sustaining model ensures independence and allows for continuous investment in data quality and coverage, maintaining its position as a critical resource for the global financial community.

Related initiatives

The center's methodological influence is evident in other major financial databases, including the Center for Research in Security Prices and Thomson Reuters collaboration. Its academic mission aligns with sister institutions at the University of Chicago such as the Becker Friedman Institute for Research in Economics and the Fama–Miller Center for Research in Finance. The center also partners with the American Finance Association and hosts the annual CRSP Forum, which brings together researchers from institutions like the Massachusetts Institute of Technology and Stanford University to discuss advances in data-driven financial research.

Category:University of Chicago Category:Financial research organizations Category:1960 establishments in Illinois