WRDS Index Data Extraction Methodology
This paper provides and validates an automatic procedure to generate accurate CRSP PERMNOs from Compustat GVKEYs for historical index constituents. We then validate the resulting PERMNO lists and examine some of the many pitfalls in other attempts to accomplish this, and provide cautionary guidance for WRDS index data researchers.
Citable link to this pagehttp://hdl.handle.net/1911/107404
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- Statistics Publications