Using WRDS to connect RavenPack data with IBES earnings estimates data
About the Linking Process
To link RavenPack data to IBES data use the IBES identifier files ID for IBES Detail, and IDSUM for IBES Summary data (located at /wrds/ibes/sasdata). These identifier files provide the IBES TICKER (which is named TICKER and is the primary identifier) as well as CUSIP and Exchange Ticker.
An important difference between the ID and IDSUM files is the coverage and identification of Canadian companies. While USFIRM dummy variable designates U.S. companies in IDSUM, the detail history ID file contains duplicate records for each Canadian company, with one record for USFIRM= 1 and another record for USFIRM= 0. This is due to IBES’ inclusion of the Canadian estimates in both the U.S. source file and the International source file. Therefore, it is easier to identify U.S. companies in the IDSUM set. Also, the variable named CUSIP could correspond to SEDOL when CUSIP is not available (non-U.S. firms). CUSIP is a 8-character variable.
For the purpose of matching with RavenPack, we will use the IDSUM file.
The following sample SAS code shows the procedure. Please make sure to select "SAS" in the kernel list when trying to run the code in Jupyter Notebook environment.