Matching ISS (former RiskMetrics), ExecuComp and Thomson Reuters 13F
Posted: 24 March 2016 03:19 AM   [ Ignore ]
Newbie
Rank
Total Posts:  2
Joined  2016-03-24

Dear all,

I have been seeking topics in this forum and other sites for days and I could not find an answer. As a consequence, I start a new topic and I hope that someone of you can help me with the following two issues.

First, how do I merge ISS (RiskMetrics) with ExecuComp? Although both datasets have CUSIPS and Tickers, all variables are to my best known unique. Therefore I cannot match the year data between the databases, that is, the fiscal year definition and the year date of annual meeting. How do I ensure that I merge time periods correctly and by which linking variables?

Second, I merged ExecuComp with Thomson Reuters 13F quarter fillings by doing the following. First, I converted fiscal years of ExecuComp to calender years and add the fiscal month end to the data. Then I merged the nearest calendar filling of Thomson Reuters date to the converted ExecuComp’s date. However this is not entirely correct, since it is hard to assign a particular calendar year to f.i. the month June. Furthermore, fiscal year ends are able to end in the middle of a particular calender period. For example, a fiscal year may end in 28 February whilst the nearest calander period is 31 March.

I am looking forward to your reaction.

Kind regards,

Michiel

Edit: Hopefully it is (also) possible to merge data correctly in Excel, because I do not have any knowledge of SAS.

Profile
 
 
Posted: 25 March 2016 08:31 AM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Michiel,

The cusip in RiskMetrics has length 9, in Execucomp it has length 8; if you drop the 9th character of the cusip in RiskMetrics the match should work.

I could not immediately find the year variables in Execucomp. Which variables have you used?

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: 26 March 2016 08:36 AM   [ Ignore ]   [ # 2 ]
Newbie
Rank
Total Posts:  2
Joined  2016-03-24

Hi Joost,

Thanks for replying: I will start adjusting the cusips. However, using solely cusips does not solve the problem of matching the particular years, does it? ExecuComp defines fiscal years instead of Risk Metrics annual meeting years (Compare fyear in ExecuComp/Compustat and year in RiskMetrics). I am aware that it is impossible to match dates exactly, but it is important to match corresponding years precisely (because fiscal year end is not equal to annual meeting date). It seems reasonable to me that the annual meeting is right after the fiscal year ending. Therefore I propose to convert the fiscal year ending of ExecuComp to calendar years. Then, I will match the nearest annual calander meeting date to the ExecuComp data by using cusips. Do you agree with this or is there a more appropriate way to solve the ‘date’-problem?

Best regards,

Michiel

Profile
 
 
Posted: 27 March 2016 08:44 PM   [ Ignore ]   [ # 3 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Michiel,

If you have a meeting date from RiskMetrics then you can decide which fiscal year is most appropriate to assign it to (what you say makes sense to me).

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