WRDS Index Data Extraction Methodology

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dc.contributor.authorDobelman, J.A.
dc.contributor.authorKang, H.B.
dc.contributor.authorPark, S.W.
dc.date.accessioned2020-09-11T01:24:30Z
dc.date.available2020-09-11T01:24:30Z
dc.date.issued2014
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.
dc.format.extent33 pp
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>.
dc.identifier.digitalTR-2014-01
dc.identifier.urihttps://hdl.handle.net/1911/109336
dc.language.isoeng
dc.publisherRice University
dc.subject.keywordCRSP
dc.subject.keywordCompustat
dc.subject.keywordGVKEY
dc.subject.keywordHistorical Index Constituent
dc.subject.keywordIndexes
dc.subject.keywordWRDS Databases
dc.subject.keywordPERMNO
dc.titleWRDS Index Data Extraction Methodology
dc.typeTechnical report
dc.type.dcmiText
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