Linking Sustainalytics with Compustat

Using WRDS to connect Sustainalytics data with Compustat NA and Compustat Global

Linking with Compustat (North America)

Sustainalytics is a provider of ESG data including ratings and reference data. Sustainalytics data can be downloaded using the WRDS Sustainalytics web queries, or from our server (/wrds/sustain/sasdata).

About the Linking Method

To link Sustainalytics data with Compustat data, we suggest users link first with Capital IQ (CIQ), and then to Compustat.

Sustainalytics provides a file with CIQ company identifiers. The file name is IDS_TABLE and it contains the Sustainalytics CompanyId variables (old and new) and the Capital IQ company identifier (CIQ_ID). The following table illustrates what the company Microsoft looks like in this file:.

CIQ_ID CompanyID_old CompanyID CompanyName
IQ21835 21835 1007900081 Microsoft Corp

The CIQ_ID variable is the Capital IQ identifier (with the ‘IQ’ added). Incidentally, the CIQ identifier is equal to the Sustainalytics old ID variable (CompanyId_old). Using this table, you can link Sustainalytics' company identifier with Capital IQ.

To merge the data with Compustat, you would need to use a CIQ file that links the Capital IQ identifier with Compustat’s GVKEY. The name of that CIQ file is WRDS_GVKEY. This file can be found in the /wrds/capitaliq/sasdata/helper subdirectory.

The Capital IQ - Identifiers web query also contains this linking information.

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Linking with Compustat (Global)

About the Linking Methods

There are two ways to link Compustat Global with Sustainalytics. Both ways can complement each other to increase the number of matches:

  1. The first method is to use the Sustainalytics IDS_TABLE (located in this subdirectory /wrds/sustain/sasdata) as explained above in the instructions for connecting Sustainalytics to Compustat (North America). The IDS_TABLE contains the link to the Capital IQ company identifier (CIQ_ID). With this information, link with Compustat global’s GVKEY using the file G_NAMES (/wrds/comp/sasdata/global). This file contains both the GVKEY and Capital IQ’s company identifier.
  2. The second method is to match via ISIN. This identifier is included in the Sustainalytics file named REFERENCE_DATA table. The table contains Sustainalytics’ company id (in this table named EntityId), ISIN and other important identifiers (e.g., Ticker, LEI, Bloomberg IDs). With this information, then link with Compustat Global’s GVKEY using the file G_NAMES (/wrds/comp/sasdata/global). This file contains GVKEY and ISIN.

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