Center for Research in Security Prices

Milestones of achievement in modern finance have accelerated over the last several decades, as advancements in technology have enabled sophisticated calculations and analysis of millions of data points. At the heart of these analyses and computations is the renowned Center for Research in Security Prices (CRSP).

In 1960, University of Chicago Professor James Lorie was asked by Merrill Lynch to determine how well most people performed in the stock market relative to other investments. His research led to the creation of CRSP, a database of total returns, dividends and price changes for all common stocks listed on the many exchanges from 1926 to the present. In January 1964, Lorie and Fisher published their findings in The Journal of Business, The University of Chicago’s Press. Their research paper proclaimed that the average compounded rate of return on NYSE common stocks from 1926 to 1960 was 9%. For the first time in history, an average rate of return was quantified. The front page of The New York Times financial section heralded the pair’s results. In 1977, Lorie and Fisher published a book on their subsequent research at CRSP, titled A Half Century of Returns on Stocks & Bonds.1  The CRSP database has made the University of Chicago’s Booth School of Business the premier institution for financial and stock market research, boasting 29 out of 79 Nobel Laureates in Economics who have either attended or taught at the university as of 2017.

The CRSP database plays such a pivotal role in portfolio construction that Rex Sinquefield, co-founder of Dimensional Fund Advisors, said this about its creation: “If I had to rank events, I would say this one is probably slightly more significant than the creation of the universe.”2  Celebrating its 58th anniversary in 2018, CRSP is now the leading provider of historical stock market data to over 500 institutions around the world.

    -1 A Half Century of Returns on Stocks & Bonds
    -2 Timothy M. Hatton, The New Fiduciary Standard: The 27 Prudent Investment Practices for Financial Advisers, Trustees and Plan Sponsors, (Bloomberg, 2005) pg. 33.
Step 2CRSPJames LorieCenter for Research in Security PricesRex SinquefieldDimensional Fund Advisors