CRSP/Compustat merged annually matched with CRSP daily
Posted: 15 January 2014 08:36 AM   [ Ignore ]
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Hey guys,
I have annual data (with different fiscal-year endings) from CRSP/Compustat including
- Earnings-to-price
- Common Equity

On the other hand, I have daily CRSP stock price data
- Return
- Shares Outstanding
- etc.

I wanna match these two databases so that I have a EPS/Common Equity value assigned to each day (does this make sense)? I need this to find matching firms later on.

Thanks

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Posted: 15 January 2014 09:34 AM   [ Ignore ]   [ # 1 ]
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Posted: 16 January 2014 07:48 PM   [ Ignore ]   [ # 2 ]
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hi,

What does the dofd function do?

Do you have an example to describe the problem? (I am afraid it is not clear to me)

best regards,

Joost

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To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

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Posted: 17 January 2014 03:47 PM   [ Ignore ]   [ # 3 ]
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As I understand it, the problem is that there daily observations and for the analysis he wants to do he needs to calculate a variable based on daily stock data(CRSP) and the appropriate balance sheet data (COMPUSTAT). CRSP is based on calendar years, while COMPUSTAT is based on fiscal years.

If he would use the yofd() function, which simply return the year (e.g. 20MAR2012 -> 2012, dofd() returns a number which specifices a day, next day=+1 etc.) he would run into problems when the fiscal year does not end on 31-Dec.

BTW: Why not use quarterly data?

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