numeraire_dataset.zones.clean.crsp_daily_equity_clean#

numeraire_dataset.zones.clean.crsp_daily_equity_clean(daily: DataFrame, *, convention: Literal['siz', 'ciz'] = 'siz') → DataFrame[source]#

Validate one CRSP daily-equity bucket without imputing an observation.

Legacy/SIZ inputs must already be filtered to share codes 10/11; CIZ inputs carry the official return/delisting diagnostic flags. ret == -1 is a valid total return and is retained in ret. Its source-space logarithm is undefined and therefore remains missing in source_log_return. The paper’s beta uses excess log returns; obtain those through daily_stock_excess_clean() after the daily risk-free calendar has been validated.