1. WRDS CCM User Guide West Virginia University

2. CRSP/Compustat Merged (CCM) CCM is comprised of CRSP and Compustat® data together with the link between these two databases. ► The CRSP Link® provides a peerless matching of CRSP historical market data with Compustat fundamental data by associating identifiers that are unique to each database. ► How to access CCM: WRDS → Select CRSP → left CRSP Information for securities traded in on U.S. exchanges (NYSE, AMEX, and NASDAQ) Compustat Fundamental info such as Income Statement, Balance Sheet on most publicly held companies in North America. The CRSP Link®

3. Advantages of CCM Merging databases: ► The CRSP Link® make it possible for one to obtain Fundamental Annual and Quarterly data combined with CRSP market data for over 1,000 raw and derived items The primary advantage of the CCM: ► allows researchers to lookup Compustat data using the CRSP PERMNO identifiers. ► Other identifiers can be used, but in these cases it may be best to use a regular Compustat web query rather than a CCM query.

4. CRSP vs. Compustat CRSPCompustat FrequencyDaily, MonthlyQuaterly, Annual Contentssecurity price, return,volumeIncome Statement, Balance Sheet, Statement of Cash Flows Focus onSecurity data from a shareholder perspective Fundamental company data from a company perspective Data rangeSince 1925Since 1950 YearCalendar yearFiscal year IdentifiersPERMNO, PERMCO NPERMNO, NPERMCO, CUSIP GVKEY, CNUM

5. Historical Identifiers If a privately-held company 's stock is not yet publicly traded, the firm has data in Compustat but not in CRSP. Its output may not be returned in a CCM query for the years when no data exists for it in CRSP. This case is specified “there is no CCM link”. In order to avoid confusion with “current identifier”, PERMNO, CRSP created “historical identifier”, NPERMNO. ► NPERMNO is set to zero if there no CRSP link during the range. ► From now on, N indicates a historical identifier.

6. Historical Identifiers (cont’d) Date RangePERMNOPERMCO 19830920 - 19860708 100156398 Date Range GVKEYNPERMNONPERMCOLINK TYPE LINKFLAG 19780101 ~ 19830919 100100NUXXX 19830920 ~ 19860331 1001100156398LUBBB CRSP identifiers CCM identifiers

7. First Issue related to merging For the following reasons: CRSP focus on stocks while Compustat related to firms M&A, temporarily delisted companies, etc  Not one-to-one link during a period: One PERMNO is linked to multiple GVKEY One GVKEY is linked to multiple PERMNO

8. How to link CRSP to Compustat When the PERMNO you specify is linked to several different GVKEYs, one link is designated as the primary link. This designation is set by CRSP and its researchers. As such, only data for the primary link will be retrieved for the header. ► Can be thought of as a “Panel” set up

9. Link Options 1: Used Flag Link: can be thought of as a constraint as to how to connect CRSP with Compustat data USEDFLAG: unique link that CRSP feels is the “most appropriate” one to use ► Use all links (usedflag = 0, not used) ► Use the unique link (usedflag =1)

10. Link Options 2: Link types Link types: ways that records are linked Tips: ► The most strict constraint: Select one (No output available is possible) ► No constraint (No link): Select all ► To get best output: increase link types one by one

11. Link file: cstlink2 The “crsp.cstlink2” contains all link history regarding by which a kind of link types GVKEY is linked to a historical CRSP identifier (NPERMNO). ► To see “cstlink2” file: go to Unix transfer file → /wrds/crsp/sasdata/cc

12. Second issue related to merging Compustat organizes data based on fiscal period while CRSP data is based on calendar year. ► Some decisions must be made as to how the dates should be matched ► Can be thought of as a “time series” set up

13. Link Options 3: Fiscal Period and Link Date Requirements First date link is valid Last date link is valid BEGFYRENDFYRBEGFYR ENDFYR ABC Entire fiscal period must be within link date range: B Fiscal period end date must be within link date range: A.B Any part of fiscal period is within link date range: A.B.C LINKDPLINKENDDP

14. Next topics How to use Unix How to extract data from WRDS using SAS ► required to understand Unix home directory How to program for merging CRSP and Compustat ► required to understand CUSIP and link options

15. References To see all references: ► http://www.be.wvu.edu/wrds/home/index.html