Match CRSP monthly with Compustat quarterly
Posted: 15 January 2014 06:22 AM   [ Ignore ]
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Hello guys,

I am really new to analysis with financial databases and I hope u can help me. I would like to create a database containing monthly stock data from CRSP combined with matching quarterly balance sheet data from the COMPUSTAT quarterly database. As CRSP monthly is based on calendar months and COMPUSTAT is based on fiscal quarters I wondering how I can make sure that the appropriate fiscal quarter is assigned to the right month of the CRSP data.

The final data set should be monthly stock price data with quarterly COMPUSTAT data matched to it.

Best regards,

Charles

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Posted: 15 January 2014 08:28 AM   [ Ignore ]   [ # 1 ]
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hi Charles,

This is one way of doing it:
- select the firms in Compustat Fundamentals Quarterly
- if your institution has ‘CCM’ (Compustat Crsp merge file), use CCM to match gvkey with lpermno (gvkey is Compustat firm identifier, lpermno is crsp identifier)
- match the dataset with crsp monthly stock file (Compustat has ‘datadate’ date field, MSF has ‘date’ field, so you can for example require that MSF date is within 3 months of datadate)

On this site there are some ‘tutorials’ with SAS code to select and join datasets that you are using.

Give it a shot and you can post your SAS code here in case you get stuck.

best regards,

Joost

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Posted: 22 October 2015 02:59 AM   [ Ignore ]   [ # 2 ]
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Joost Impink - 15 January 2014 08:28 AM

hi Charles,

This is one way of doing it:
- select the firms in Compustat Fundamentals Quarterly
- if your institution has ‘CCM’ (Compustat Crsp merge file), use CCM to match gvkey with lpermno (gvkey is Compustat firm identifier, lpermno is crsp identifier)
- match the dataset with crsp monthly stock file (Compustat has ‘datadate’ date field, MSF has ‘date’ field, so you can for example require that MSF date is within 3 months of datadate)

On this site there are some ‘tutorials’ with SAS code to select and join datasets that you are using.

Give it a shot and you can post your SAS code here in case you get stuck.

best regards,

Joost


Dear Joost,

I found that CCM file has accounting data like IB—Income Before Extraordinary Items. If CCM contains all the accounting data i need, can i use CCM instead of compustat?
If I can use ccm, then i only need to merge ccm and crsp based on lpermno. Right?

Regards,
Emily

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Posted: 22 October 2015 05:59 AM   [ Ignore ]   [ # 3 ]
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hi Emily,

That makes sense to me smile

Best,

Joost

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