WRDS
CCM User Guide
West Virginia University
CRSP/Compustat Merged (CCM)
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®
•
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
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.
CRSP vs. Compustat
CRSP
Compustat
Frequency
Daily, Monthly
Quaterly, Annual
Contents
security price, return,volume
Income Statement, Balance Sheet,
Statement of Cash Flows
Focus on
Security data from a
shareholder perspective
Fundamental company data from a
company perspective
Since 1925
Since 1950
Calendar year
Fiscal year
PERMNO, PERMCO
NPERMNO, NPERMCO, CUSIP
GVKEY, CNUM
Data range
Year
Identifiers
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.
Historical Identifiers (cont’d)
CRSP identifiers
Date Range
PERMNO
PERMCO
19830920 19860708
10015
6398
CCM identifiers
Date Range
GVKEY
NPERMNO
NPERMCO
LINK
TYPE
LINKFLAG
19780101 ~
19830919
1001
0
0
NU
XXX
19830920 ~
19860331
1001
10015
6398
LU
BBB
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
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
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)
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
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
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
Link Options 3: Fiscal Period and Link
Date Requirements
First date link is valid
Last date link is valid
LINKDP
BEGFYR
LINKENDDP
ENDFYR
A
BEGFYR
ENDFYR
B
BEGFYR
ENDFYR
C
• 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
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
References
To see all references:
► http://www.be.wvu.edu/wrds/home/index.html