Merging Compustat and Crsp by trading days

JKCho — Tue, 16 Jul 2019 02:23:38 GMT

Hi All,

Yes. It is easy to merge the Compustat and the CRSP.

What if I want something different?

I now have been trying to match these two in a more precise way.

For example, if a fiscal year-end of a firm in the Compustat is 2019/11/30(Saturday), I cannot match with the exact same date from the CRSP as the CRSP only contains trading days! (no holidays, no Saturdays, no Sundays!!!)

I want to match this fiscal year-end with the closed next trading day. In the case of the above example, it should be 2019/12/02(Monday).

To achieve this matching, I referred this link: https://wrds-www.wharton.upenn.edu/pages/support/applications/event-studies/event-study-research-application/

Specifically in Step3. and this code:

proc sql; create table temp
 as select a.permno, b.*
  from input a left join caldates b
  on b.evtdate-a.edate>=0
  group by a.edate
  having (b.evtdate-a.edate)=min(b.evtdate-a.edate);

The last row shows that it minimizes the days between trading day and fiscal year-end(calendar day).

But... **bleep**:( That last code did not work and match quite weirdly...

This codes matched fiscal year-end of 2010/10/30 to 2009/03/31 (WHAT???) and many like this.

So far... my conclusion is having(~~~~) code does not work and need another.

I have tried revising on b.~~~ part as well but could not get meaningful one. Since I set fiscal year-ends to be ahead of trading days, the code looks logical(yes. it should be trading-fiscal >= 0).

Cannot guess what's wrong with my code... looks all fine but wired outcomes.

Please have a look and share your thoughts!

Thank you,

Jerry

Re: Merging Compustat and Crsp by trading days

JKCho — Tue, 16 Jul 2019 03:27:30 GMT

No. there is nothing wrong in my code. This is good to use.

There is no delete button to remove my post so... a happening 🙂 or 😞

Be sure to put (trading day - calendar day) so that the figure is positive (>=0)

topic Re: Merging Compustat and Crsp by trading days in SAS Programming

Merging Compustat and Crsp by trading days

Re: Merging Compustat and Crsp by trading days