Dobelman, J.A.Kang, H.B.Park, S.W.2019-09-162019-09-162014Dobelman, 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.https://hdl.handle.net/1911/107404This 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.engCopyrighted material. All rights reserved.Technical reportCRSPCompustatGVKEYHistorical Index ConstituentIndexesWRDS DatabasesPERMNOTR-2014-01https://doi.org/10.25611/gf0j-bh72