Hello,
I also have a question regarding the merging of ccm and crsp by permno in stata.
Earlier, I also have this question but till now I haven’t been able to merge them yet.
I follow exactly the steps listed by Orima.
1- download ccm
Since ccm has lpermno, which I think it is also permno in Crsp. Thus, in Stata, I also create permno which is lpermno.
2- download crsp
3- merge ccm and crsp by permno.
The results are that i lost almost half of the observations. But that is not a problem. However, the problem is that i think that merge is not correct.
For example:
in my ccm file, i have
permno datadate
10001 31dec2003
10001 31dec2004
...
10001 31dec2015
in my crsp file, i have (for example)
permno date (of individual day bid-ask spread)
10001 2jan2003
10001 3jan2003
10001 4jan2003
...
10001 6dec2009
but when i merge them, the results is like this
permno date datadate
10001 2jan2003 31dec2003
10001 3jan2003 31dec2004
10001 4jan2003 31dec2005
And this is not true, because they bid-ask spread is still in the fiscal year from 1/1/2003 to 31/12/2003, but the datadate is mixed up.
I am so worried. I must have made a huge mistake here.
Could someone please help me with this question? Any suggestions/tips/hints are appreciated.
Kind regards,
An