Missing ratios for stocks in CRSP (WRDS) database

[littlewho]

Hello everyone,

I am helping a client to do some holdings-based analysis using CRSP data provided by WRDS. I have no financial background myself, so if it seems that I have a wrong understanding of concepts, please don't hesitate to point out.

We are doing an analysis of portfolios that are mostly composed of common stocks (over 90%) and we are interested in quarterly data, a very important criterion being that the portfolios we analyze should have no gaps in their reports. I filtered CRSP.FUND_SUMMARY to get only funds with over 90% common stocks (per_com > 90) and their associated portfolios.

Then, I filtered CRSP.HOLDINGS keeping only the quarterly reports of our selected portfolios and then I discarded any portfolio which had a missing quarterly report between 2007 4th Quarter and 2019 4th Quarter (this is the target period for the analysis). I ended up with 63 good portfolios.

As I know, every public common stock should have an associated PERMNO, so I also discarded all holdings that have a missing PERMNO, assuming that they are not public common stocks.

Our analysis is based on some financial ratios calculated for the stocks of our portfolios: Book/Market, Earnings/Price, Cash Flow/Price. For calculating these ratios I used this sample script provided by WRDS (https://wrds-www.wharton.upenn.edu/pages/support/manuals-and-overviews/wrds-financial-ratios/financi...). As the account I am using has no access to IBES and I need only 3 financial ratios, I stripped out some code, you can find my version here: https://pastebin.com/9ewFZ3cR (I already set uni_sp500 to 0, so CRSP common stocks will be used, not S&P500 selection)

Everything was all right until this point, but then I tried to merge the holdings with their associated ratios using the PERMNO identifier. Unfortunately, I found that some stocks are present in the CRSP.HOLDINGS dataset, but not present in the ratios calculator output. For example, COVIDIEN LTD with PERMNO 92156 does not have any observations, even if it seems to be a public common stock.

What could be the cause? Are the missing stocks, in fact, not public? Is it just that the database is incomplete?

If the reason is that the database is incomplete, what would be the right approach to solve the problem as shrinking down the portfolios sample is not an option?

Thanks!