Information on main share class
Posted: 23 April 2015 03:23 PM   [ Ignore ]
Newbie
Rank
Total Posts:  8
Joined  2015-03-25

Hi all,

is there any information on CRSP that helps to identify which PERMNO of a firm belongs to the main share class?

I would really need it: I am calculating market adjusted returns and subsequently would like to merge the results with Compustat Data. However, since there might be more than one PERMNO per firm I would like to identify the main share class and use its PERMNO to merge with Compustat.

Thanks for any help/information.

Diedrich

Profile
 
 
Posted: 23 April 2015 03:27 PM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Diedrich,

CCM linktable has a ‘primary’ flag, which you can use as follows:

/* Permno as of datadate*/
proc sql
  
create table work.dsOut as 
  
select a.*, b.lpermno as permno
  from work
.dsIn a left join crsp.ccmxpf_linktable b 
    on a
.gvkey eq b.gvkey 
    
and b.lpermno ne 
    and 
b.linktype in ("LC" "LN" "LU" "LX" "LD" "LS"
    and 
b.linkprim IN ("C""P")  
    and ((
a.datadate >= b.LINKDT) or b.LINKDT eq .B) and  
       ((
a.datadate <= b.LINKENDDT) or b.LINKENDDT eq .E)   ; 
quit

It will give the ‘main’ class shares (only one match for each gvkey).

Best regards,

Joost

 Signature 

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

Profile
 
 
Posted: 23 April 2015 03:49 PM   [ Ignore ]   [ # 2 ]
Newbie
Rank
Total Posts:  8
Joined  2015-03-25

Unfortunately I do not use SAS but Stata. So what variables do I need to get the main share class?

Profile
 
 
Posted: 23 April 2015 04:18 PM   [ Ignore ]   [ # 3 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

When you load the CCM linktable into Stata, the variable names would be the same (linktype, linkprim).

Best,

Joost

 Signature 

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

Profile
 
 
Posted: 23 April 2015 04:22 PM   [ Ignore ]   [ # 4 ]
Newbie
Rank
Total Posts:  8
Joined  2015-03-25

Yes, they are. My problem is that I don’t understand SAS and have no idea how to translate SAS to Stata. So unfortunately I have no idea what you are doing in your code.
It would be great if you could describe step by step what I have to do to get a unique gvkey PERMNO relationship using the main share class.

Profile
 
 
Posted: 24 April 2015 06:04 AM   [ Ignore ]   [ # 5 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

It means: get the permno for a gvkey for the date (datadate) between linkdt and linkenddt. But only get it when linktype is LC, LN, etc, and linkprim is C or P.

Best,

Joost

 Signature 

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

Profile