Poor matching results?
Posted: 18 January 2014 01:15 PM   [ Ignore ]
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Hey guys,

I just got my matching results and they seem a bit poor.

From SDC, I got a sample of around 700 firms. I can only find CRSP returns for around 350 firms (50%). Is this possible?
It’s a long period, 25 years.

SDC gave me 6-digit CUSIPs or sometimes even less (4- / 5-digits). If I got less than 6-digits, I added leading 0’s to the CUSIPs.
Am I doing something wrong? Do I need to choose CUSIP or NCUSIP when looking for returns on CRSP?

Thanks

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Posted: 18 January 2014 01:32 PM   [ Ignore ]   [ # 1 ]
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Hi,

CUSIP codes change over time, if I remember right, the NCUSIP code is the historic code which should be used to match them.

Best regards

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Posted: 18 January 2014 03:02 PM   [ Ignore ]   [ # 2 ]
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Hi econ_charly,

thanks for your answer. SDC only gives me a CUSIP Code.
If I match my SDC data with CRSP, I can either choose CUSIP or NCUSIP.

I tried both and I got a little bit less data for the NCUSIP. Is it possible that one dataset has data, which the other one doesn’t have? Should I match them? Most of the data seems identical, however, the NCUSIP gives me slightly less results.

Thanks

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Posted: 19 January 2014 03:12 AM   [ Ignore ]   [ # 3 ]
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I tried it and no matter what I pick (CUSIP or NCUSIP), I get the same amount of matches with my SDC data.

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Posted: 19 January 2014 06:57 AM   [ Ignore ]   [ # 4 ]
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Ok, I think I found out whats causing my problem.

I have IPO data from SDC. I try to match the IPO data with CRSP returns on a daily basis.

IPO       Offering Date         CUSIP of firm that goes public
X         12 March 1992       XXXXXX
Y         5 April 1994           YYYYYY

The problem is now - I think - that on the specific day the firm actually goes public (offering date), there is sometimes no CRSP data available. Most of the time, there are only CRSP daily stock return available ONE DAY after the IPO occurred. So if I try to match on date, the CRSP database often doesn’t find any return data on IPO offering date, but only one day after.

If I match then in Stata based on the IPO offering date, I got poor matching results (I match by CUSIP and dailydate). The amount of correct matches is determined by the amount of IPO firms for which there is a CRSP stock return available on offering date. However, in many cases, as mentioned, there is no stock return data available on CRSP on IPO offering date.

How can I find out how many were truly matched? This is difficult to explain. I hope you get my point.

Thanks

 

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Posted: 22 January 2014 06:39 PM   [ Ignore ]   [ # 5 ]
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hi,

How about relaxing the date-range a bit (or a lot), and look at some of the results to see what is going on?

best regards,

Joost

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