braverock
Monthly and Weekly CRSP Risk-Free Rate Returns
We have original .xlsx files for all the CRSP data except the monthly and weekly risk-free rate returns, for which we have only the files risk-free monthly.csv and risk-free weekly.csv. I believe this is because those files were obtained by converting the daily risk-free rate returns in the file risk-free 202010 output.xlsx, most likely by Taras Zlupko at CRSP (but no longer there) using a CRSP utility for doing so. Thus, I believe we should create the final weekly and monthly risk-free returns using by converting the daily risk-free returns in the usual way. FYI, the CRSP convention for weekly data is to have it on a Friday. Users of FA who wish to have weekly data on a different day of the week (as per the literature) can convert it themselves. Brian. what are your thoughts about this???>?>
