Using WRDS to connect RepRisk ESG data with CRSP security data

There are at least two ways to link RepRisk data with CRSP data. The first method is to link CRSP with Compustat using the CRSP/Compustat Merged (CCM) product. The CRSP/Compustat Merged Database is a CRSP product that contains Compustat data items. Add Compustat's GVKEY identifier to the CRSP data and then link with RepRisk data as explained in our Linking RepRisk with Compustat guide.

The alternative method is to link CRSP and RepRisk directly by CUSIP. This method has the advantage of using CRSP historical CUSIPS (known as NCUSIPs) that can result in additional matches. NCUSIP is available in several CRSP files. For linking purposes, we use CRSP's DSE file (located at /wrds/crsp/sasdata/a_stock). The following sample SAS code shows this linking process.
proc sql;
quit;