Center for Research in Security Prices

Center for Research in Security Prices
Name	Center for Research in Security Prices
Established	1960
Founder	Eugene Fama; Kenneth French
Type	Research center
Affiliation	University of Chicago
Location	Chicago, Illinois

Center for Research in Security Prices is an academic data center affiliated with the University of Chicago that maintains historical market data and security-level records used across financial economics, empirical finance, and asset pricing research. Founded to support systematic study of security returns, the center's datasets have been cited in work by scholars at Harvard University, Massachusetts Institute of Technology, Princeton University, Stanford University, and practitioners at Goldman Sachs, BlackRock, and Fidelity Investments. Its data underpin empirical tests associated with scholars such as Eugene Fama, Kenneth French, Michael Jensen, Fischer Black, and Myron Scholes.

History

The center originated in 1960 amid efforts at the University of Chicago to create reproducible datasets for testing hypotheses in asset pricing and market microstructure. Early collaborations involved researchers from University of Pennsylvania and Columbia University who sought to replicate studies by Eugene Fama and others; this led to systematic tape-based collection efforts similar to archival initiatives at National Bureau of Economic Research and Inter-university Consortium for Political and Social Research. During the 1970s and 1980s the center expanded coverage in coordination with exchanges such as the New York Stock Exchange and NASDAQ Stock Market while engaging with regulatory reports from the Securities and Exchange Commission. The center's datasets were instrumental in influential papers tied to the Capital Asset Pricing Model, the Fama–French three-factor model, and empirical tests by scholars at Chicago Booth School of Business.

Database and Coverage

The center compiles security-level return series, price histories, corporate actions, and identifier crosswalks for equities listed on the New York Stock Exchange, NASDAQ Stock Market, and international exchanges including the London Stock Exchange and Toronto Stock Exchange. Coverage spans delisted securities, corporate events reported to the Securities and Exchange Commission, and historical listings back to the early 20th century for major firms like General Electric, AT&T, and ExxonMobil. The holdings support linkage to benchmark series such as indices maintained by Standard & Poor's, Dow Jones & Company, and MSCI Inc. and integrate identifiers compatible with systems by Committee on Uniform Securities Identification Procedures and CUSIP Global Services.

Data Formats and Access

Data are distributed in structured formats used by quantitative researchers, including flat files, delimited text, and machine-readable tables suitable for ingestion by analytics platforms used at University of Chicago Booth School of Business, Harvard Business School, and London Business School. Access pathways include academic subscriptions, licensing agreements with asset managers like Vanguard and State Street Corporation, and bespoke research partnerships with centers such as the National Bureau of Economic Research and databases operated by Wharton Research Data Services. The center provides data dictionaries and metadata aligning with standards used by repositories like ICPSR and citation practices common to journals such as the Journal of Finance, American Economic Review, and Review of Financial Studies.

Research Uses and Impact

Researchers use the datasets to evaluate hypotheses on market efficiency associated with Eugene Fama, test multifactor models tied to Kenneth French, and study corporate finance questions explored by Michael Jensen and Raghuram Rajan. Empirical analyses leveraging the center's holdings appear in work by scholars at Princeton University, Yale University, Columbia Business School, and policy research at the Federal Reserve Board and International Monetary Fund. The data have informed regulatory debates involving the Securities and Exchange Commission and academic controversies such as critiques of the Efficient-market hypothesis and investigations into anomalies documented by researchers at University of California, Berkeley and Northwestern University.

Methods and Data Quality

The center applies reproducible procedures for return calculation, treatment of stock splits, dividends, and corporate actions, referencing standards used in studies by Fama–French collaborators and methodology texts from C.R. Nelson and other econometricians. Quality control includes cross-checks against exchange records from the New York Stock Exchange and historical filings at the Securities and Exchange Commission, reconciliation with pricing feeds used by Bloomberg L.P. and Refinitiv, and documentation of survivorship bias and delisting adjustments discussed in literature from Wharton and Stanford Graduate School of Business. Methodological notes address issues highlighted in methodological critiques published in the Journal of Financial Economics and conferences hosted by American Finance Association.

Governance and Funding

The center operates under the governance of faculty committees at the University of Chicago and relies on a mix of funding from academic grants, licensing revenue from financial firms like BlackRock and Goldman Sachs, and institutional support from foundations such as the Gates Foundation and trusts that support research infrastructure at universities including Columbia University and University of Pennsylvania. Advisory boards include researchers affiliated with Harvard University, Massachusetts Institute of Technology, and practitioners from Morgan Stanley and JP Morgan Chase. Data licensing agreements and academic collaborations ensure long-term sustainability and alignment with publication norms at venues such as the Journal of Political Economy and Quarterly Journal of Economics.

Category:Financial databases