Linking Markit RED Data with CRSP

This document illustrates how to link Markit RED data with CRSP data

Identifiers from RED

Markit RED (RED) is the market standard for reference data in the credit markets. RED provides a unique 6-digit identifier, redcode, for each entity in the database. In addition, it also carries several other common entity identifiers, such as 6-digit entity_cusip, ticker as well as company name strings.

Researchers can use these identifiers to link the CDS data with other data sources, such as CRSP and TRACE for equity and fixed income respectively.

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Connecting with CRSP

We illustrate below how to link RED data to CRSP data using the new CIZ format of CRSP data. The logic would be the the same for the legacy SIZ format of CRSP data, just with different database syntax.

The primary linking key is through the 6-digit CUSIP. We also try to establish linkage through a secondary linking key, the ticker. However, it is important to emphasize here that the linking quality through ticker is fairly poor. As a result, we include an additional layer of quality check using the string comparison between the two databases' company names.

We strongly advise our users to carefully examine the linking output, and set their own quality criteria suitable for their individual research agenda.

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SAS Illustration

Please make sure to select "SAS" in the kernel list when trying to run the code in Jupyter Notebook environment.

Jupyter Notebook: ResearchApps/LinkRedcodeCusip_sas.ipynb Download

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Sample SAS Code Output

As CUSIP is a fairly reliable linking key, we set a relatively relaxed requirement for spelling distance between paired company names (a low distance number implies two strings are highly similar). likewise, as a ticker linking often yields noisy results, we impose a stricter requirement of the company name comparison. As shown in the sample output below, there are quite a few records linked through ticker that yield very different company names.

We would like to emphasize here that the code above is simply for illustration, and we highly recommend users adapt the code and the criteria to meet their own research goals.

flg redcode entity_cusip ticker shortname PERMNO HdrCUSIP crspTicker IssuerNm dist score
cusip 001AAV 00191U ASGNINC ASGN Inc 77917 00191U10 ASGN ASGN INC 0 0
cusip 001AEC 001957 T AT&T Corp. 10401 00195750 T A T & T CORP 25 0
cusip 002AA6 002824 ABT Abbott Labs 20482 00282410 ABT ABBOTT LABORATORIES 36 0
cusip 002AF5 00287Y ABBVINC ABBVIE INC 13721 00287Y10 ABBV ABBVIE INC 0 0
cusip 002AHF 002896 ABFC ABERCROMBIE & FITCH CO 10533 00289610 ABERCROMBIE & FITCH CO 0 0
ticker 004CC9 4845 ACOM ACOM CO LTD 15449 04639010 ACOM ASTROCOM CORP 54 3
ticker 004DC3 4930 ACT Activision Inc 10532 04257310 ACT ARNOLD CONSTABLE CORP 96 3
ticker 008B49 8318 ATAC Aftermarket Tech Corp 84291 00211W10 ATAC A T C TECHNOLOGY CORP 57 3
ticker 014B98 13817 AA Alcoa Inc. 16347 01387210 AA ALCOA CORP 40 3

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Python Illustration

Please make sure to select "Python" in the kernel list when trying to run the code in Jupyter Notebook environment.

Jupyter Notebook: ResearchApps/LinkRedcodeCusip_python.ipynb Download