Introduction to Compustat North America – 2 April 2020 Qingyi (Freda)

Introduction to Compustat North America - 2 April 2020 Qingyi (Freda) Song Drechsler

Compustat – North America 1 Compustat Data Structure on WRDS 2 How to Access the Data 3 How to Link with Other Databases 2 Wharton Research Data Services

Data Structure on WRDS Product Unix Location NA – monthly update /wrds/comp/sasdata/nam NA – annual update /wrds/comp/sasdata/naa NA – monthly update (non-historical) /wrds/comp/sasdata/nam current Most datasets are Compustat Native WRDS also created datasets for easy access (e.g. FUNDA/FUNDQ) Default SAS Libname / SQL DB name: COMP 3 Wharton Research Data Services

Compustat – North America 1 Compustat Data Structure on WRDS 2 How to Access the Data 3 How to Link with Other Databases 4 Wharton Research Data Services

Accessing Through Web Query Most straightforward Only requires a browser Flexible output format txt csv xlsx sas dta 5 Wharton Research Data Services

Accessing Through SAS For more advanced researchers Accommodates: PC-SAS SAS Studio Unix 6 Wharton Research Data Services

Accessing Through Python For more advanced researchers Accommodates: Spyder/Jupyter JupyterLab on WRDS Cloud (coming soon) Requirement: WRDS Python API 7 Wharton Research Data Services

Other Accessing Methods: WRDS also provides additional access methods: R Stata Matlab PostgreSQL Support - Programming at WRDS 8 Wharton Research Data Services

Compustat – North America 1 Compustat Data Structure on WRDS 2 How to Access the Data 3 How to Link with Other Databases 9 Wharton Research Data Services

Compustat Identifiers Primary identifier: GVKEY - Permanent identifier for a given company - At issue level, use GVKEY IID Other identifiers: CUSIP, CIK, TICKER - “Header” information, changes over time - Use with caution as a linking key. 10 Wharton Research Data Services

Linking to CRSP CRSP-CCM: Linking table to combine CRSP’s PERMCO/PERMNO with COMP’s GVKEY IID GVKEY LINKPRIM LIID LINKTYPE LPERMNO LPERMCO LINKDT LINKENDD T Primary SecurityLink Marker Level Identifier Link Type Code Linked CRSP PERMNO Linked CRSP PERMCO First Eff Date of Link Last Eff Date of Link 010411 P 01 LC 63773 5230 19811215 .E 010411 P 01 NR 19741129 19811214 010411 J 07 LC 20050516 20120131 010411 J 06 NR 20050429 20060131 010411 J 02 NR 19940331 .E 010411 J 04 NR 20020131 90655 5230 https://wrds-www.wharton.upenn.edu/pages/support/manuals-and-overviews/crsp/crspcompustat-merged-ccm/wrds-overview-crspcompustat-merged-ccm/ 11 Wharton Research Data Services

Linking to IBES IBES – estimates and earnings database by TR Comp.Security dataset contains IBES native identifier: IBTIC 12 Wharton Research Data Services

Linking to Other DB The basic linking key is CUSIP Be aware of the “header” nature of CUSIP Use other measures as additional quality check Fuzzy Company Name Matching Price comparison 13 Wharton Research Data Services