Annual stock return
Posted: 13 April 2015 12:57 PM   [ Ignore ]
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I am trying to estimate the annual stock return. I used CRSP monthly stock. However, when I merge CRSP anual stock return with compustat financial data for the same period. I loose around 60% of my data.
1- Could you please tell me what is the correct way to estimate annual stock return?
2- What is the unique identifier that could be used to merge stock return data with compustat?

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Posted: 13 April 2015 01:08 PM   [ Ignore ]   [ # 1 ]
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hi,

Something like this:
- select sample firms from Compustat Funda
- construct variable for beginning of year month (11 months before datadate)
- get permno (CRSP identifier) using CCM linktable (not all institutions have access to this linktable)
- retrieve monthly returns for each firmyear (for each permno, get returns between first and last month of fiscal year)
- compound monthly returns for each firmyear into a yearly return

Hope this helps,

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Posted: 13 April 2015 01:12 PM   [ Ignore ]   [ # 2 ]
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Many thanks for your response. I have done the same. However, I get only stock return for 30% of my data . Others are missing. Is their away to not lose most of my dataset. I appreciate your help and fast repose.

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Posted: 13 April 2015 01:28 PM   [ Ignore ]   [ # 3 ]
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hi,

30% sounds like the match with ccm linktable did not go well.

How about doing a test where you keep obs from funda with a large market cap (prcc_f * csho > 1 bln); then match with ccm linktable (which should be a pretty good match) and look into cases where you cannot get a permno.

Best,

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