WRDS Index Data Extraction Methodology

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dc.contributor.authorDobelman, J.A.en_US
dc.contributor.authorKang, H.B.en_US
dc.contributor.authorPark, S.W.en_US
dc.date.accessioned2020-09-11T01:24:30Zen_US
dc.date.available2020-09-11T01:24:30Zen_US
dc.date.issued2014en_US
dc.description.abstractThis 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.en_US
dc.format.extent33 ppen_US
dc.identifier.citationDobelman, J.A., Kang, H.B. and Park, S.W.. "WRDS Index Data Extraction Methodology." (2014) Rice University: <a href="https://hdl.handle.net/1911/109336">https://hdl.handle.net/1911/109336</a>.en_US
dc.identifier.digitalTR-2014-01en_US
dc.identifier.urihttps://hdl.handle.net/1911/109336en_US
dc.language.isoengen_US
dc.publisherRice Universityen_US
dc.subject.keywordCRSPen_US
dc.subject.keywordCompustaten_US
dc.subject.keywordGVKEYen_US
dc.subject.keywordHistorical Index Constituenten_US
dc.subject.keywordIndexesen_US
dc.subject.keywordWRDS Databasesen_US
dc.subject.keywordPERMNOen_US
dc.titleWRDS Index Data Extraction Methodologyen_US
dc.typeTechnical reporten_US
dc.type.dcmiTexten_US
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