CRSP and Compustat data are commonly linked to match CRSP event and market data history with Compustat fundamental and supplemental data. Because of different identification conventions, universes, available historical information, and conventions unique to each organization, linking is not a straightforward process. Through using the CRSP Link®, a data array which contains a history of links using CRSP and Compustat identifiers, subscribers may accurately combine CRSP and Compustat data into a single source of clean, reliable data.

Compustat Xpressfeed provides new security level data requiring adjustments to the linking process between CRSP and Compustat databases. Previously, Compustat included one security per record. Now all securities are available with a new identifier, IID, which can be used along with GVKEY to permanently identify all securities tracked by Compustat, and marker items that identify the security that Compustat considers Primary.

CRSP provides two views of the data through the CRSP Link. While the standard form is the native data and linking information that is organized by Compustat GVKEY, CRSP provides tools to use the link to build CRSP-centric records linked by PERMNO.

Identifiers used by the link:


Compustat’s permanent company identifier.

IID Compustat’s permanent issue identifier. An identifying relationship exists between IID and GVKEY. Both must be accessed as a pair to properly identify a Compustat security. One GVKEY can have multiple IIDs.

Because Compustat company data ranges can extend earlier than security ranges, there may be some time periods with no identified IID for a GVKEY. In these cases, CRSP assigns a dummy IID ending in “X” as a placeholder in the link. This range may or may not be associated with a CRSP PERMNO, but there is no Compustat security data found during the range when no IID is assigned.

PRIMISS Compustat provides a primary marker indicating which security is considered primary for a company at a given time.
PERMCO CRSP’s permanent company identifier.
PERMNO CRSP’s permanent issue identifier. One PERMNO belongs to only one PERMCO. One PERMCO can have one or more PERMNOs.

The Linking Process

Prior to the introduction of Xpressfeed, Compustat included only one security per record. The links between CRSP and Compustat were between CRSP PERMNO and Compustat GVKEY. Because PERMNO is a security identifier and GVKEY is a company identifier, the linking could be a many to one relationship. More than one PERMNO may be linked to a single GVKEY.

CRSP addressed the security links in phases. The initial phase addressed security links for issues after mid-April in 2007, for that was when the first Compustat security-level information was available. In this phase, links prior to this time were maintained by using the old CST link information as a foundation onto which updates and refinements were applied.

The primary goal of the second phase of building the security links was to remove the April 2007 starting limitation to the security-based links and move to a full security link history. Once the full security history was built, it would be used to generate company –based historical linking broken down into primary issue ranges and indicators.

This process is laborious and demanding of CRSP researchers and programmers. The new links are reflected beginning with the release of the 200806 annual (CMX200806) and the 200810 monthly and quarterly (CMX200810) release.