Embedded Files
This code illustrates how to get historical S&P 500 index constituents and their identifiers from CRSP and Compustat.
- Researchers used to be able to extract index membership information from Compustat's "comp.idxcst_his" data. Now that S&P pulled this piece of data off from WRDS platform, we have to turn to CRSP to get S&P 500 Index membership data.
- Unfortunately, there is no easy way to uncover constituents info for the other indices covered by "comp.idxcst_his".
- Import Python packages and connect to WRDS
2. Get S&P 500 Index Membership from CRSP
2. Get S&P 500 Index Membership from CRSP
- I opt for the monthly frequency of the data, but one can choose to work with crsp.dsp500list if more precise date range is needed.
3. Add Other Company Identifiers from crsp.msenames
3. Add Other Company Identifiers from crsp.msenames
- You don't need this step if only PERMNO is required
- This step aims to add TICKER, SHRCD, EXCHCD and etc.
4. Add Compustat Identifiers
4. Add Compustat Identifiers
- Link with Compustat's GVKEY and IID if need to work with fundamental data
- Linkage is done through crsp.ccmxpf_linktable
Sample output from the final data frame:
Sample output from the final data frame:
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