Issue regarding Crsp-Compustat-Merged Data: gvkey-fyear do not unique identify obs

[Bo Li]

Hi Joost and WRDSSAS group,

I have an Issue regarding Crsp-Compustat-Merged Data: gvkey and fyear do not unique identify observations. I do not know how to filter the data so that gvkey and fyear can finally uniquely identify each observation.

As note in FF3 Factor code in WRDS:

(https://wrds-www.wharton.upenn.edu/pages/support/applications/risk-factors-and-industry-benchmarks/fama-french-factors/), there are several possible issues, but I do not know how the Crsp-Compustat-Merged Data deal with these issues:

(1) a firm could have multip issues of securities so that in crsp: one permco could have multiple permno at the same date. the FF3 code aggregates market equity to the last permno.

(2) When linking crsp to compustat, there are two possible linkprim "P" and "C". FF3 code above uses "P" only if there are both linkprims. 

(3) A company might change its fiscal-year end so that FF3 code above keep the latest obs for a company within a calendar year. 

I do not know how Crsp-Compustat-Merged Data deal with above issues so that I do not know the standard way to filter the data so that I would have gvkey-fyear as unique identifier for me in the resulting panel data. 

Thank you very much in advance!

Best Regards,

Bo Li, 

Arizona State University