Using WRDS to connect RavenPack data with CRSP data
About the Linking Process
One method of linking RavenPack data to CRSP data is to begin by linking CRSP with Compustat using the CCM product. Add the GVKEY to the CRSP data. Then link with RavenPack data as explained in the Linking RavenPack with Compustat documentation.
An alternative method is to link CRSP and RavenPack directly using CUSIP. This method has the advantage of using CRSP historical CUSIPs (named NCUSIP), and can result in additional matches. NCUSIP is available in several CRSP files. For linking purposes, we use the CRSP’s DSE file (located at /wrds/crsp/sasdata/a_stock). Note that CRSP’s CUSIP is an 8-character CUSIP and RavenPack’s CUSIP is a 9-character CUSIP.
The following sample SAS code shows this linking procedure.
Please make sure to select "SAS" in the kernel list when trying to run the code in Jupyter Notebook environment.