CRSP SIC and SDC Platinum SIC Code
Posted: 21 November 2015 05:56 PM   [ Ignore ]
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I am trying to match SDC platinum and CRSP_Compustat Merged Database.

For matching I have used CUSIP (6-digit, I remove last three digits from CRSP-Compustat Merged database), Date, Ticker, and SIC code. I have found that for many entries for which Date, CUSIP, and Ticker matches even then the SIC doesn’t match. Is SIC code really reliable to use for matching? Thanks.

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Posted: 22 November 2015 06:54 AM   [ Ignore ]   [ # 1 ]
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hi,

I would think that matching on Cusip by itself should be sufficient. Indeed SIC data is rather inconsistent; even in products of the same data vendor (let alone different vendors).

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Joost

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Posted: 22 November 2015 02:53 PM   [ Ignore ]   [ # 2 ]
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Hi Joost,

Thanks for your reply. I did an extensive study where I matched SDC and CRSP using cusip, ticker, date, and sic code. I found that we get a perfect matching (defined as the name of the matched firm in SDC equals to the name of the matched firm in CRSP) if we match using cusip, date, and ticker (and hence we don’t need sic for matching). Also, I agree with your reasoning that SIC data is inconsistent. I found that even if we get perfect match, as defined above, at times there is difference in SIC value reported in SDC and CRSP.

I was surprised to see that some of the SIC code present in SDC database has SIC code as 619A, 619B, and 499A. No sure what to make of those SIC codes.

Regards
Acc_Person

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Posted: 22 November 2015 04:39 PM   [ Ignore ]   [ # 3 ]
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hi Acc_Person,

Interesting, I haven’t seen such SIC codes before.

Thanks for following up.

Best Regards,

Joost

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Posted: 22 November 2015 04:44 PM   [ Ignore ]   [ # 4 ]
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Hi Joost,

Can you please let me know your thoughts about just matching with 6-digit cusip from SDC to truncated 6-digit cusip from CRSP? Can it be that the cusip changes with time, and hence I should match at least using date as well? Or just matching with CUSIP should work fine. I haven’t tried that out. I think I might try that out. Though, it would be interesting to know your opinion beforehand.

Regards

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Posted: 22 November 2015 04:50 PM   [ Ignore ]   [ # 5 ]
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hi,

I would go with a match only on Cusip; unlike a ticker symbol, a Cusip is not recycled, so I can’t think of a scenario where you would get the ‘wrong’ firm matched.

Best,

Joost

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Posted: 22 November 2015 04:54 PM   [ Ignore ]   [ # 6 ]
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Thanks for such a prompt reply. I will match using Cusip only and will then do some analysis of the matched result, and will give you the update. Thanks for your help. Regards.

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Posted: 22 November 2015 04:54 PM   [ Ignore ]   [ # 7 ]
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Sounds good!

Best,

Joost

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Posted: 26 November 2015 12:57 PM   [ Ignore ]   [ # 8 ]
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CUSIP works like a charm. Thanks for the advice.

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Posted: 27 November 2015 09:57 AM   [ Ignore ]   [ # 9 ]
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Great! Happy holidays,

Joost

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