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.accessioned2019-09-16T16:40:02Z
dc.date.available2019-09-16T16:40:02Z
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.identifier.citationDobelman, J.A., Kang, H.B. and Park, S.W.. "WRDS Index Data Extraction Methodology." (2014) Rice University Department of Statistics: https://doi.org/10.25611/gf0j-bh72.
dc.identifier.digitalTR-2014-01
dc.identifier.doihttps://doi.org/10.25611/gf0j-bh72
dc.identifier.urihttps://hdl.handle.net/1911/107404
dc.language.isoeng
dc.publisherRice University Department of Statistics
dc.rightsCopyrighted material. All rights reserved.
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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