Shares outstanding: Difference between Compustat and CRSP
Posted: 16 January 2014 03:43 AM   [ Ignore ]
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Hey guys,
I want to calculate market cap as a measure of size (on a daily basis if possible). I have the following data
- fiscal year-end data from Compustat (shares outstanding x fiscal year-end closing price) = this gives me marketcap only on an annual basis
- daily CRSP stock prices and shares outstanding (daily price x daily shares outstanding) = marketcap on a daily basis

However, I was wondering about two things:
1) The shares outstanding between Compustat and CRSP differ significantly. Why is that?
2) If I calculate the marketcap with CRSP data only, do I need to adjust the prices and the shares before calculation (with the two adjustment factors, one for price and one for shares)?

Thanks

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Posted: 16 January 2014 07:55 PM   [ Ignore ]   [ # 1 ]
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hi,

So far I have used Compustat Fundamentals Annual for market capitalization, using csho x prcc_f (#shares outstanding x stock price end of fiscal year). Do you have some sample firms where this would give the wrong number? (There may be multiple classes of shares being traded).

best regards,

Joost

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Posted: 17 January 2014 03:58 PM   [ Ignore ]   [ # 2 ]
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Regarding 2):

it should not make a difference whether the adjust the prices and shares before or after the calculation. The market cap should stay unaffected as:

Adjusted price = PRC / CFACPR
Adjusted shares outstanding = SHROUT * CFACSHR

Stock splits should not influence market cap.

Best regards

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Posted: 18 January 2014 03:28 AM   [ Ignore ]   [ # 3 ]
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Thanks for your answer. I calculated market cap in three different ways now and got different results:

1) prc x shrout (daily, not adjusted)
2) (shrout x cfacshr) x (prc/cfacpr) (daily, adjusted)
3) csho x prcc_f (year-end only)

For example, PERMNO 87432, AGILENT TECHNOLOGIES INC on 31oct2000:
P_ADJ_MARKETCAP_CRSP: 1.98e+07  
P_MARKETCAP_CRSP: 2.10e+07      
P_MARKETCAP_COMPUSTAT (Is this in 1000s?): 21024.76
                               
Which one should I use to find matching firms? What are the differences?
There are also some companys for which some of the marketcaps are equal or very similar…

Thanks

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Posted: 18 January 2014 04:12 AM   [ Ignore ]   [ # 4 ]
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Aren’t the SHROUT in CRSP data also in ‘000s ?

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Posted: 18 January 2014 04:16 AM   [ Ignore ]   [ # 5 ]
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Actually, I thought that too. So Compustat must be in ‘000.000?

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Posted: 19 January 2014 02:02 PM   [ Ignore ]   [ # 6 ]
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I still couldn’t figure out which metric to use.

For my long-term study, should I adjust the amount of shares outstanding (with cfacshr) and the prices (with cfacpr) or not?

I wanna calculate long-term excess/abnormal returns over a three-year period. I have CRSP daily stock return data to do so.

Thanks!

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Posted: 22 January 2014 06:42 PM   [ Ignore ]   [ # 7 ]
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hi,

For computing returns (and adjusted returns), stock splits don’t matter. Crsp DSF files have the return for the day; stock splits won’t affect that.

best regards,

Joost

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