linking

WRDS Concordances

Since WRDS is a subscription service, in the documentation below, I can not show any of the data that is being retrieved/generated (will show only column names).

import pandas as pd

import pandasmore as pdm
from finsets.wrds import wrds_api

Merging CRSP and COMPUSTAT

Official documentation for this merge is here

Relevant information from that site:

  • Because TICKERs and CUSIPs change over time, most datasets use permanent identifiers to indicate the same securities and companies. For example, CRSP employs PERMNO to track stocks, Compustat uses GVKEY to follow companies, and a combination of GVKEY and IID is used to track securities. As indicated in the preceding table, both PERMNO and GVKEY (+IID) remain the same, regardless of changes in TICKER, CUSIP, and company names.

  • The CRSP/Compustat Merged Database (CCM) is comprised of CRSP and Compustat data, together with the link and link-history references between these two databases. The key product of CCM is a permanent identifier linking table (PERMNO to GVKEY+IID), though CCM is often wrongly mistaken as the merged product of CRSP stock market data with Compustat accounting data. From an end user’s perspective, CCM only adds a link of PERMNO and PERMCO to the Compustat database, so that Compustat items can be searched by CRSP identifiers.

LinkType: A code describing the connection between the CRSP and Compustat data.

  • LU: Link research complete. Standard connection between databases.
  • LC: Non-researched link to issue by CUSIP.
  • LD: Duplicate link to a security. Another GVKEY/IID is a better link to that CRSP record.

LinkPrim: Primary issue indicator for the link.

  • P: Primary, identified by Compustat in monthly security data.
  • C: Primary, assigned by CRSP to resolve ranges of overlapping or missing primary markers from Compustat in order to produce one primary security throughout the company history.

LINKDT: The first effective date of the link.

LINKENDDT: The last date when the link is valid. For a currently valid link, LINKENDDT is set to a NULL value (.E in SAS format).

source

gvkey_permno_m

 gvkey_permno_m (nrows:int=None)

CRSP Monthly ids, with gvkeys

Type Default Details
nrows int None Number of rows to download. If None, full dataset will be downloaded
Returns DataFrame 
df = gvkey_permno_m(nrows=1)
df
permno Mdate gvkey
0 10000 1986-01 013007

source

gvkey_permno_a

 gvkey_permno_a (nrows:int=None)

qvkey to permno correspondence at the annual frequency. As done by CCM.

Type Default Details
nrows int None Number of rows to download. If None, full dataset will be downloaded
Returns DataFrame 
df = gvkey_permno_a(nrows=1)
df
permno Adate gvkey
0 25881 1970 001000

source

gvkey_permno_q

 gvkey_permno_q (nrows:int=None)

qvkey to permno correspondence at the quarterly frequency. As done by CCM.

Type Default Details
nrows int None Number of rows to download. If None, full dataset will be downloaded
Returns DataFrame 
df = gvkey_permno_q(nrows=1)
df
permno Qdate gvkey
0 25881 1970Q4 001000

Merging IBES and CRSP

source

ibes_ticker_permno

 ibes_ticker_permno (nrows:int=None)
ibes_permnos = ibes_ticker_permno(nrows=1)
ibes_permnos
ticker permno ncusip sdate edate score
0 0000 14471.0 87482X10 2014-02-20 2016-08-31 1.0

Merging TRACE Bond Data with CRSP

source

bond_cusip_permno

 bond_cusip_permno (nrows:int=None)
cusip_permnos = bond_cusip_permno(nrows=1)
cusip_permnos
cusip permno permco trace_startdt trace_enddt crsp_startdt crsp_enddt link_startdt link_enddt
0 000336AC1 60687 21372 2014-08-22 2014-08-22 2002-01-02 2022-12-30 2014-08-22 2014-08-22