Exchange Codes
Posted: 23 October 2015 07:06 AM   [ Ignore ]
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Hi everybody,

I have a question regarding the exchange codes listed for the CCM and CRSP databases. If I look up the exchange code for specific PERMNOs or even PERMCOs it might happen that i get different information about the exchange the company is traded on depending on whether I consider the CCM or the CRSP database. Does anybody know where that problem stems from? And which information is more reliable?

Because eventually, I only want companies listed on the Amex, NYSE and NASDAQ in my sample.


Thanks for your help.

Kind regards,
Maximilian

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Posted: 23 October 2015 07:28 AM   [ Ignore ]   [ # 1 ]
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hi Maximilian,

Which datasets did you use on ccm vs crsp? One possibility is that one may have current info (header data) and the other historical data.

Best regards,

Joost

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Posted: 26 October 2015 03:46 AM   [ Ignore ]   [ # 2 ]
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Hi Joost,

thank you for your fast reply.

I am using the web querry and the CRSP monthly Stock file “Exchange Code” and the CRSP CCM Fundamentals Annual “Exchange Code”.
How do i see whether the variable gives me the current info or historical data.

Another aspect: If i draw LPERMNO from CCM it gives me hisotrical permnos right? is the CRSP Permanent Company Number from CRSP monthly security file also the historical permno or current permno?

Kind regards,
Maximilian

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Posted: 01 November 2015 12:04 PM   [ Ignore ]   [ # 3 ]
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hi Maximilian,

How does it compare with crsp.dsenames and crsp.stocknames? You can pull the exchange details for a begindate-enddate range, so it allows for changes over time.

The way I determine if some variable is only current, or changes over time is to compute #unique values of the variable (for each firm). That count will be 1 always for current/header variables.

Best,

Joost

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