Using WRDS to connect RepRisk ESG data with CRSP security data
About the Linking Methods
Link Using CRSP/Compustat Merged (CCM)
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.
Link Directly Using CUSIP
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;
create table rep_crsp as select unique a.permno, b.reprisk_id,
b.isin, substr(b.isin,3,8) as cusip
from crsp.dse(where=(ncusip ne '')) as a,
reprisk.v2_wrds_company_lookup as b
where a.ncusip=substr(b.isin,3,8);
quit;