WRDS Index Data Extraction Methodology

Date
2014
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Rice University
Abstract

This paper provides and validates an automatic procedure to generate accurate CRSP PERMNOs from Compustat GVKEYs for historical index constituents. We then validate the resulting PERMNO lists and examine some of the many pitfalls in other attempts to accomplish this, and provide cautionary guidance for WRDS index data researchers.

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Technical report
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Dobelman, J.A., Kang, H.B. and Park, S.W.. "WRDS Index Data Extraction Methodology." (2014) Rice University: https://hdl.handle.net/1911/109336.

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