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-app...
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
