Russell 3000 sample used by SEC with GVKEYs

A data set containing the tickers, PERMNOs, GVKEYs, and treatment assignments for Russell 3000 sample used by SEC.

Usage

from era_pl import load_data

data = load_data("sho_r3000_gvkeys")

Use from era_py import load_data for a pandas dataframe.

Format

2,951 rows and 4 columns. Column types below describe the stored Parquet data; loaders also restore categories and date types using the packaged metadata.

Column	Stored type	Description
ticker	string	Ticker
permno	int32	PERMNO (CRSP security identifier)
gvkey	string	GVKEY (Compustat firm identifier)
pilot	bool	Indicator for stock being part of Reg SHO pilot program

Source

https://iangow.github.io/far_book/natural-revisited.html#the-sho-pilot-sample

Related R documentation.