Matching CRSP & Compustat: Problems with acquired companies
Posted: 04 September 2014 06:54 PM   [ Ignore ]
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Hello everyone,

I just started with matching databases and have one problem that I cannot really solve and am totally confused with all the information in the manuals.
First, I collected my data from CRSP (option: search entire database) and Compustat (quarterly, calendar view) from the web query in WRDS. Afterwards, I matched my datasets in Stata based on permno (CRSP) and lpermno (CRSP/Compustat Merged Database) with a surprisingly high matching quote of 95% on average for different years. I checked the matched data and noticed that the company names differ if a merger or acquisition took place. CRSP lists the ‘old’ names, whereas Compustat states the ‘new’-names, respectively the name of the acquirer. In addition, noticed that the closing prices in CRSP and Compustat are sometimes almost identical and sometimes totally different (also after considering the adjustment factor)

So my question is as follows: If CRSP states the data of the original ‘old’ security, do I get the company data in Compustat for the original ‘old’ security (and just the new name) or do I get the information of the ‘new’ acquiring company?
It would be really great, if someone could help me with this issue. Thank you very much!

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Posted: 04 September 2014 07:14 PM   [ Ignore ]   [ # 1 ]
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hi Prww,

Maybe it makes sense to look into a few observations to make sure what is going on? For example the merger of XMSR and Sirius.

I would expect that some data is ‘current’ (header data), as if the merged company always has existed (like you point out). But I expect assets, sales, etc data in Compustat Fundamental Annual/Quarterly to be ‘historic’ as the merged company did not file 10-Ks before the merger. Same for CRSP, some ‘header’ fields, but historical prices/returns before the merger would need to be ‘historic’ (or at least, I would be surprised if that was not the case).

Let me know if this makes sense; or maybe pull up some details for one sample case to see what is going on.

best regards,

Joost

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Posted: 08 September 2014 07:27 AM   [ Ignore ]   [ # 2 ]
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Hi Joost,

totally makes sense. I tested a few companies and it looks very much like that.
I tested some basic information about the “old” or “former” company and noticed that Compustat always states the last name whereas CRSP for instance states the name of the company at that particular time. I found some data about the “name history” of a permno but I am especially interested in the adress data of a particular firm. As Compustat does only state the last one but not the historic adress of the aquired company I would like to ask whether you know whether these data is available in Compustat/CRSP/(WRDS)?

Thank you very much in advance!

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Posted: 08 September 2014 11:57 AM   [ Ignore ]   [ # 3 ]
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hi Prww,

I do not know if that is in WRDS. One option would be to download the 10-K filings (or at least, the first 100 lines or so). The header of 10-K filings contain address info; example:

FILER:

 
COMPANY DATA
  
COMPANY CONFORMED NAME:   ADC TELECOMMUNICATIONS INC
  CENTRAL INDEX KEY
:   0000061478
  STANDARD INDUSTRIAL CLASSIFICATION
TELEPHONE TELEGRAPH APPARATUS [3661]
  IRS NUMBER
:    410743912
  STATE OF INCORPORATION
:   MN
  FISCAL YEAR END
:   1031

 FILING VALUES
:
  
FORM TYPE:  10-K405
  SEC ACT
:  
  
SEC FILE NUMBER000-01424
  FILM NUMBER
:  1506050

 BUSINESS ADDRESS

  
STREET 1:  12501 WHITEWATER DR
  CITY
:   MINNETONKA
  STATE
:   MN
  ZIP
:   55343
  BUSINESS PHONE
:  9529462324

 MAIL ADDRESS

  
STREET 1:  12501 WHITEWATER DR
  CITY
:   MINNETONKA
  STATE
:   MN
  ZIP
:   55343 

There are some drawbacks though:
- matching Compustat with SEC archives is not complete
- downloading/parsing filings will take effort
- possibly this address data is dirty (for example, some address info may be of filing service company instead of the ‘actual’ company)

best regards,

Joost

 

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