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  • How to fill in the missing data, after merging daily dataset with quarterly dataset?

    Dear Statalists,

    Good day,

    I tried to merge CRSP daily stock dataset with quarterly Compustat fundemental.

    merge m:1 permno eadate using com

    The question is only the obvations that has the date at the end of each quarter have full data for all variables, all the other dates have missing data, so how could I fill in the data of the other dates based on the record of the previous quarter?

    Here are the samples

    CRSP:

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input double permno long eadate double(shrcd exchcd prc ret shrout)
    10001 14612 11 3   8.5625   .007352941203862429 2450
    10001 14613 11 3   8.4375  -.014598540030419827 2450
    10001 14614 11 3   8.5625   .014814814552664757 2450
    10001 14615 11 3      8.5  -.007299270015209913 2450
    10001 14616 11 3   8.4375  -.007352941203862429 2450
    10001 14619 11 3   8.4375                     0 2450
    10001 14620 11 3 -8.46875   .003703703638166189 2450
    10001 14621 11 3    8.375  -.011070110835134983 2450
    10001 14622 11 3    8.125   -.02985074557363987 2450
    10001 14623 11 3    8.375    .03076923079788685 2450
    10001 14627 11 3    8.375                     0 2450
    10001 14628 11 3        8   -.04477611929178238 2450
    10001 14629 11 3        8                     0 2450
    10001 14630 11 3    8.125               .015625 2450
    10001 14633 11 3  8.34375   .026923077180981636 2450
    10001 14634 11 3        8  -.041198503226041794 2450
    10001 14635 11 3     8.25                .03125 2450
    10001 14636 11 3        8   -.03030303120613098 2450
    10001 14637 11 3    8.375               .046875 2450
    10001 14640 11 3    8.125   -.02985074557363987 2450
    10001 14641 11 3    8.375    .03076923079788685 2450
    10001 14642 11 3    -8.25  -.014925372786819935 2450
    10001 14643 11 3    -8.25                     0 2450
    10001 14644 11 3    8.125   -.01515151560306549 2450
    10001 14647 11 3    8.125                     0 2450
    10001 14648 11 3   8.3125   .023076923564076424 2450
    10001 14649 11 3   8.1875  -.015037594363093376 2450
    10001 14650 11 3    8.125  -.007633587811142206 2450
    10001 14651 11 3    -8.25   .015384615398943424 2450
    10001 14654 11 3    8.125   -.01515151560306549 2450
    10001 14655 11 3    8.125                     0 2450
    10001 14656 11 3    8.125                     0 2450
    10001 14657 11 3 -8.21875   .011538461782038212 2450
    10001 14658 11 3    8.125  -.011406844481825829 2450
    10001 14662 11 3    8.125                     0 2450
    10001 14663 11 3    8.125                     0 2450
    10001 14664 11 3    8.125                     0 2450
    10001 14665 11 3 -8.15625   .003846153849735856 2450
    10001 14668 11 3   8.1875  .0038314175326377153 2450
    10001 14669 11 3     8.25   .007633587811142206 2450
    10001 14670 11 3     8.25                     0 2450
    10001 14671 11 3     8.25                     0 2450
    10001 14672 11 3    8.125   -.01515151560306549 2450
    10001 14675 11 3    8.125                     0 2450
    10001 14676 11 3  -8.1875   .007692307699471712 2450
    10001 14677 11 3    7.875  -.038167938590049744 2450
    10001 14678 11 3    7.625    -.0317460335791111 2450
    10001 14679 11 3  -7.9375    .04098360612988472 2450
    10001 14682 11 3   7.8125  -.015748031437397003 2450
    10001 14683 11 3    7.875    .00800000037997961 2450
    10001 14684 11 3     7.75 -.0006349209579639137 2450
    10001 14685 11 3     7.75                     0 2450
    10001 14686 11 3     8.25    .06451612710952759 2450
    10001 14689 11 3     7.75   -.06060606241226196 2450
    10001 14690 11 3  -8.0625    .04032257944345474 2450
    10001 14691 11 3  -8.0625                     0 2450
    10001 14692 11 3    7.875  -.023255813866853714 2450
    10001 14693 11 3       -8    .01587301678955555 2450
    10001 14696 11 3        8                     0 2450
    10001 14697 11 3    7.875              -.015625 2450
    10001 14698 11 3    7.875                     0 2450
    10001 14699 11 3        8    .01587301678955555 2450
    10001 14700 11 3       -8                     0 2464
    10001 14703 11 3        8                     0 2464
    10001 14704 11 3    8.125               .015625 2464
    10001 14705 11 3        8  -.015384615398943424 2464
    10001 14706 11 3       -8                     0 2464
    10001 14707 11 3    8.125               .015625 2464
    10001 14710 11 3    8.125                     0 2464
    10001 14711 11 3 -8.03125  -.011538461782038212 2464
    10001 14712 11 3    7.875  -.019455252215266228 2464
    10001 14713 11 3    8.125     .0317460335791111 2464
    10001 14714 11 3    7.875   -.03076923079788685 2464
    10001 14717 11 3    8.125     .0317460335791111 2464
    10001 14718 11 3    7.875   -.03076923079788685 2464
    10001 14719 11 3       -8    .01587301678955555 2464
    10001 14720 11 3    8.125               .015625 2464
    10001 14724 11 3    8.125                     0 2464
    10001 14725 11 3    7.875   -.03076923079788685 2464
    10001 14726 11 3     8.25     .0476190485060215 2464
    10001 14727 11 3     8.25                     0 2464
    10001 14728 11 3 -8.09375  -.018939394503831863 2464
    10001 14731 11 3     8.25   .019305018708109856 2464
    10001 14732 11 3   -8.125   -.01515151560306549 2464
    10001 14733 11 3  -8.0625  -.007692307699471712 2464
    10001 14734 11 3     8.25   .023255813866853714 2464
    10001 14735 11 3     8.25                     0 2464
    10001 14738 11 3     8.25                     0 2464
    10001 14739 11 3        8   -.03030303120613098 2464
    10001 14740 11 3        8                     0 2464
    10001 14741 11 3    8.125               .015625 2464
    10001 14742 11 3       -8  -.015384615398943424 2464
    10001 14745 11 3     7.75               -.03125 2464
    10001 14746 11 3  -8.0625    .04032257944345474 2464
    10001 14747 11 3  -8.0625                     0 2464
    10001 14748 11 3  -8.0625                     0 2464
    10001 14749 11 3        8  -.007751937955617905 2464
    10001 14752 11 3  -8.0625              .0078125 2464
    10001 14753 11 3       -8  -.007751937955617905 2464
    10001 14754 11 3  -8.0625              .0078125 2464
    end
    format %d eadate
    Compustat:

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input str6 gvkey double permno long(comdate eadate) double(atq ceqq cshoq dlttq eps ltq revtq teqq tfvaq exchg prccq) str4 loc float(Treatment ym month year POST sue MB SIZE PF POSTPF POSTT PFT POSTPFT cSIZE lcMB cat)
    "012994" 10001 15065 15110   68.008  16.759  2.509  16.271  1.04   51.249  39.988       .       . 12      10 "USA" 0 494  3 2001 0         .045  1.497106     25.09 .9  0 0 0 0 1 6 12
    "012994" 10001 15156 15246   61.261  15.613  2.513  15.881  -.22   45.648  35.226       .       . 12    11.8 "USA" 0 497  6 2001 0  -.013559322 1.8992763   29.6534 .3  0 0 0 0 1 6 12
    "012994" 10001 15248 15293   70.507  14.903  2.518  15.856  -.17   55.604  16.808       .       . 12   11.95 "USA" 0 500  9 2001 0    .00585774 2.0190632   30.0901 .8  0 0 0 0 1 6 12
    "012994" 10001 15340 15385   70.322  15.549  2.566  15.776   .25   54.773  26.459       .       . 12   11.45 "USA" 0 503 12 2001 0   -.02532751 1.8895556   29.3807 .3  0 0 0 0 1 6 12
    "012994" 10001 15430 15475   60.603  16.551  2.571  15.776   .46   44.052  36.935       .       . 12    10.4 "USA" 0 506  3 2002 0   -.05576923 1.6155157   26.7384 .2  0 0 0 0 1 6 12
    "012994" 10001 15521 15615   56.855  16.272  2.573  15.367   .01   40.583    9.97       .       . 12    9.72 "USA" 0 509  6 2002 0    .02366255  1.536969  25.00956 .8  0 0 0 0 1 6 12
    "012994" 10001 15613 15658   57.578  14.919  2.576  15.281   -.4   42.659  10.363       .       . 12    8.75 "USA" 0 512  9 2002 0  -.026285714  1.510825     22.54 .2  0 0 0 0 1 6 12
    "012994" 10001 15705 15750   61.981  14.823  2.591  15.281   .05   47.158  22.485       .       . 12   7.351 "USA" 0 515 12 2002 0   -.02720718  1.284925  19.04644 .2  0 0 0 0 1 6 12
    "012994" 10001 15795 15840   62.339  16.267  2.593   15.28   .69   46.072  29.617       .       . 12    7.65 "USA" 0 518  3 2003 0    .03006536  1.219429  19.83645 .8  0 0 0 0 1 5 12
    "012994" 10001 15886 15978   61.341  15.298  2.595  14.834  -.67   46.043  15.433       .       . 12    6.01 "USA" 0 521  6 2003 0   -.11314476 1.0194764  15.59595 .1  0 0 0 0 1 5 12
    "012994" 10001 15978 16023   67.652  14.677  2.595  14.695  -.19   52.975  12.487       .       . 12     6.9 "USA" 0 524  9 2003 0    .03043478   1.21997   17.9055 .9  0 0 0 0 1 5 12
    "012994" 10001 16070 16118   68.046   14.99  2.595  14.689   .08   53.056  22.626       .       . 12    5.95 "USA" 0 527 12 2003 0   .005042017 1.0300367  15.44025 .7  0 0 0 0 1 5 12
    "012994" 10001 16161 16208   65.589  15.659  2.598  14.688   .23    49.93  24.447       .       . 12    7.25 "USA" 0 530  3 2004 0   -.06344827 1.2028546   18.8355 .1  0 0 0 0 1 2 11
    "012994" 10001 16252 16422   60.219  13.401  2.599  21.697  -.32   46.818  13.731       .       . 12    6.66 "USA" 0 533  6 2004 0    .05255255 1.2916454  17.30934  1  0 0 0 0 1 2 11
    "012994" 10001 16344 16422   64.973  12.279  2.599  21.697  -.43   52.694  12.039       .       . 12     6.1 "USA" 0 536  9 2004 0   -.03934426 1.2911394   15.8539 .1  0 0 0 0 1 2 11
    "012994" 10001 16436 16481   72.504  12.845  2.599  19.401   .22   59.659  23.116       .       . 12     6.9 "USA" 0 539 12 2004 0   .020289855 1.3961152   17.9331 .9  0 0 0 0 1 2 11
    "012994" 10001 16526 16569    59.56  15.234  2.625  19.333   .84   44.326  27.439       .       . 12    7.11 "USA" 0 542  3 2005 1    .08579466  1.225138  18.66375  1  1 0 0 0 1 3 11
    "012994" 10001 16617 16706   57.986  17.187  2.913  18.677   -.1   40.799  14.115       .       . 12    9.05 "USA" 0 545  6 2005 1   .024309393 1.5338715  26.36265 .9 .9 0 0 0 1 3 11
    "012994" 10001 16709 16754   60.688  16.565  2.913  18.577  -.21   44.123  10.291       .       . 12   11.51 "USA" 0 548  9 2005 1   .019113814 2.0240645  33.52863 .9 .9 0 0 0 1 3 11
    "012994" 10001 16801 16845    70.21  17.703   2.93  18.371   .38   52.507  25.414       .       . 12     9.7 "USA" 0 551 12 2005 1   .016494846  1.605434    28.421 .9 .9 0 0 0 1 3 11
    "012994" 10001 16891 16936   60.284  19.204  2.931   18.27   .56    41.08  27.575       .       . 12   10.99 "USA" 0 554  3 2006 1   -.02547771 1.6773428  32.21169 .1 .1 0 0 0 1 4 12
    "012994" 10001 16982 17072   55.976  19.165  2.934  17.605   .06   36.811  11.415       .       . 12    9.02 "USA" 0 557  6 2006 1   .017738359  1.380886  26.46468 .9 .9 0 0 0 1 4 12
    "012994" 10001 17074 17119   59.815  18.781  2.947  17.495  -.07   41.034   8.456       .       . 12      11 "USA" 0 560  9 2006 1   .012727273  1.726053    32.417 .9 .9 0 0 0 1 4 12
    "012994" 10001 17166 17210   63.558  19.803  2.959  17.318   .43   43.755  18.056       .       . 12    11.1 "USA" 0 563 12 2006 1  .0045045046  1.658582   32.8449 .7 .7 0 0 0 1 4 12
    "012994" 10001 17622 17667   57.325  31.184  4.347      13   .53   26.141  30.878       .       . 12   8.965 "USA" 0 578  3 2008 1    .06692694 1.2497067  38.97086  1  1 0 0 0 1 4 12
    "012994" 10001 17713 17805   58.377  30.649  4.348      13  -.03   27.728  17.642       .       . 12   10.75 "USA" 0 581  6 2008 1    -.0427907 1.5250416    46.741 .2 .2 0 0 0 1 4 12
    "012994" 10001 17805 17850   70.043  30.741  4.349      13   .09   39.302  13.987       .   3.854 12     8.5 "USA" 0 584  9 2008 1  -.064705886 1.2025145   36.9665 .2 .2 0 0 0 1 4 12
    "012994" 10001 17897 17987   75.819  30.082  4.297      13   .18   45.737  25.962       .   3.377 12    8.26 "USA" 0 587 12 2008 1   -.11138014 1.1798823  35.49322 .3 .3 0 0 0 1 4 12
    "012994" 10001 17987 18032   64.431  31.393    4.3      13   .46   33.038  31.334  31.393   3.158 12    8.18 "USA" 0 590  3 2009 1 -.0085574575 1.1204408    35.174 .5 .5 0 0 0 1 6 12
    "012994" 10001 18078 18123   62.249  32.423  4.301  13.031   .16   29.826  12.238  32.423   5.703 12  8.5999 "USA" 0 593  6 2009 1    .02209328 1.1408004  36.98817 .9 .9 0 0 0 1 6 12
    "012994" 10001 18170 18213   68.998  31.222  4.303      13  -.04   37.776   8.326  31.222   5.211 12  8.5999 "USA" 0 596  9 2009 1  -.015116455 1.1852338  37.00537 .3 .3 0 0 0 1 6 12
    "012994" 10001 18262 18352   78.626  35.688  4.362  13.003     1   42.938  19.556  35.688   4.411 12    10.3 "USA" 0 599 12 2009 1    .07961165 1.2589273   44.9286 .8 .8 0 0 0 1 6 12
    "012994" 10001 18352 18399  118.057  55.359  6.071  22.581   .61   62.698  34.733  55.359   3.917 12   10.17 "USA" 0 602  3 2010 1   .014749262 1.1153032  61.74207 .8 .8 0 0 0 1 5 12
    "012994" 10001 18443 18490  117.984  55.111  6.073  22.379   .08   62.873  16.656  55.111   2.083 12   10.86 "USA" 0 605  6 2010 1  -.007366483 1.1967262  65.95278 .3 .3 0 0 0 1 5 12
    "012994" 10001 18535 18581  121.364  54.251  6.074  22.161  -.01   67.113  10.902  54.251    .281 12   11.12 "USA" 0 608  9 2010 1   .002697842  1.245007  67.54288 .5 .5 0 0 0 1 5 12
    "012994" 10001 18627 18721  137.728  73.701   8.15  21.959   .24   64.027  29.209  73.701    .275 12   10.52 "USA" 0 611 12 2010 1   -.07224335 1.1633221    85.738 .1 .1 0 0 0 1 5 12
    "019049" 10002 15065 15088  589.457  72.309  8.527       6   .18  517.148       .       .       . 14      15 "USA" 0 494  3 2001 0        -.002  1.768867   127.905 .5  0 0 0 0 1 5 12
    "019049" 10002 15156 15174  585.184  73.063  8.527       6   .21  512.121       .       .       . 14    11.3 "USA" 0 497  6 2001 0 -.0008849557 1.3187947   96.3551 .5  0 0 0 0 1 5 12
    "019049" 10002 15248 15272  583.042  74.544  8.469       6   .18  508.498       .       .       . 14    9.75 "USA" 0 500  9 2001 0  -.003076923 1.1077049  82.57275 .5  0 0 0 0 1 5 12
    "019049" 10002 15340 15357  592.372  73.914   8.53       6   .16  518.458       .       .       . 14    9.89 "USA" 0 503 12 2001 0  -.007077856 1.1413494   84.3617 .4  0 0 0 0 1 5 12
    "019049" 10002 15430 15449   605.29  72.473  8.367       6    .2  532.817       .       .       . 14    9.85 "USA" 0 506  3 2002 0   .002030457 1.1371814  82.41495 .6  0 0 0 0 1 4 12
    "019049" 10002 15521 15547  645.355  79.015  8.749       6   .22   566.34       .       .       . 14   12.15 "USA" 0 509  6 2002 0  .0008230453 1.3453186 106.30035 .5  0 0 0 0 1 4 12
    "019049" 10002 15613 15631  659.138  81.399   8.74       6   .23  577.739       .       .       . 14  10.689 "USA" 0 512  9 2002 0   .004677706 1.1477028  93.42186 .6  0 0 0 0 1 4 12
    "019049" 10002 15705 15736   665.81  80.904  8.729       6   .19  584.906       .       .       . 14    11.1 "USA" 0 515 12 2002 0   .002702703 1.1976157   96.8919 .5  0 0 0 0 1 4 12
    "019049" 10002 15795 15823  688.542  81.192   8.74      14    .2   607.35       .       .       . 14    14.4 "USA" 0 518  3 2003 0            0 1.5501034   125.856 .4  0 0 0 0 1 5 12
    "019049" 10002 15886 15916  713.262  82.937   8.74      14   .21  630.325       .       .       . 14   16.12 "USA" 0 521  6 2003 0 -.0006203474 1.6987448  140.8888 .4  0 0 0 0 1 5 12
    "019049" 10002 15978 16014  681.627   81.42  8.744      14   .18  600.207       .       .       . 14    15.1 "USA" 0 524  9 2003 0  -.003311258 1.6216458  132.0344 .3  0 0 0 0 1 5 12
    "019049" 10002 16070 16113   1076.9 116.666 10.893    38.5   .13  960.234       .       .       . 14   16.02 "USA" 0 527 12 2003 0 -.0037453184  1.495773 174.50586 .3  0 0 0 0 1 5 12
    "019049" 10002 16161 16190 1075.647 119.229 10.931    48.5   .22  956.418       .       .       . 14   17.49 "USA" 0 530  3 2004 0  .0011435106 1.6034957  191.1832 .5  0 0 0 0 1 3 11
    "019049" 10002 16252 16279 1118.944 116.793 10.921    48.5   .24 1002.151       .       .       . 14   17.52 "USA" 0 533  6 2004 0  .0017123288 1.6382482  191.3359 .5  0 0 0 0 1 3 11
    "019049" 10002 16344 16371  1169.52 120.195 10.939    48.5   .26 1049.325       .       .       . 14    18.8 "USA" 0 536  9 2004 0   .004255319 1.7109963  205.6532 .7  0 0 0 0 1 3 11
    "019049" 10002 16436 16460 1191.222 122.183 10.972    58.5   .32 1069.039       .       .       . 14   24.61 "USA" 0 539 12 2004 0   .007720439 2.2099712 270.02094 .7  0 0 0 0 1 3 11
    "019049" 10002 16526 16548 1270.289 122.491  11.02    73.5   .26 1147.798       .       .       . 14   20.24 "USA" 0 542  3 2005 1  .0019762847 1.8209077  223.0448 .6 .6 0 0 0 1 6 12
    "019049" 10002 16617 16637 1320.542 126.424 11.058    93.5   .32 1194.118       .       .       . 14   19.53 "USA" 0 545  6 2005 1   .004096262 1.7082416 215.96274 .7 .7 0 0 0 1 6 12
    "019049" 10002 16709 16721 1296.277 129.385 11.077    93.5   .45 1166.892       .       .       . 14   19.28 "USA" 0 548  9 2005 1   .009854772  1.650613 213.56456 .9 .9 0 0 0 1 6 12
    "019049" 10002 16801 16821 1305.497 131.039 11.082   109.5   .33 1174.458       .       .       . 14    20.1 "USA" 0 551 12 2005 1 .00049751246  1.699862  222.7482 .5 .5 0 0 0 1 6 12
    "019049" 10002 16891 16912 1281.461 133.248 11.084  98.667   .33 1148.213       .       .       . 14   22.15 "USA" 0 554  3 2006 1   .003160271 1.8425087  245.5106 .7 .7 0 0 0 1 4 12
    "019049" 10002 16982 17003 1311.398 135.149 11.094  97.833   .35 1176.249       .       .       . 14   23.47 "USA" 0 557  6 2006 1  .0012782275  1.926586  260.3762 .6 .6 0 0 0 1 4 12
    "019049" 10002 17074 17094  1311.52  138.67 11.097      97   .31  1172.85       .       .       . 14   27.89 "USA" 0 560  9 2006 1   -.00501972 2.2318838  309.4953 .3 .3 0 0 0 1 4 12
    "019049" 10002 17166 17197 1353.406 138.523 11.105  95.521    .2 1214.883       .       .       . 14   25.52 "USA" 0 563 12 2006 1  -.005094044 2.0458667  283.3996 .3 .3 0 0 0 1 4 12
    "019049" 10002 17256 17286 1451.274 140.135 11.116  95.521   .22 1311.139       .       .       . 14   21.16 "USA" 0 566  3 2007 1  -.005198488 1.6784855 235.21455 .3 .3 0 0 0 1 5 12
    "019049" 10002 17347 17387 1388.564 139.728 11.125  75.521   .11 1248.836       .       .       . 14      21 "USA" 0 569  6 2007 1   -.01142857 1.6719985   233.625 .2 .2 0 0 0 1 5 12
    "019049" 10002 17439 17464 1331.299  141.72 11.128  75.521   .21 1189.579       .       .       . 14   15.95 "USA" 0 572  9 2007 1  -.006269592 1.2524104  177.4916 .3 .3 0 0 0 1 5 12
    "019049" 10002 17531 17570 2240.094  249.52 17.423 137.341   .01 1990.574       .       .       . 14    12.1 "USA" 0 575 12 2007 1  -.015702479  .8448954  210.8183 .3 .3 0 0 0 1 5 12
    "019049" 10002 17622 17658 2179.856 251.052 17.439  134.96   .16 1928.804       .       . 225.775 14   10.75 "USA" 0 578  3 2008 1  -.005581395  .7467347 187.46925 .4 .4 0 0 0 1 2 11
    "019049" 10002 17713 17738 2122.829 247.654 17.441 142.807    .1 1875.175       .       . 222.082 14    6.59 "USA" 0 581  6 2008 1 -.0015174507  .4640999 114.93619 .5 .5 0 0 0 1 2 11
    "019049" 10002 17805 17840 2088.888 246.492 17.453 134.473   .01 1842.396       .       . 215.126 14   13.12 "USA" 0 584  9 2008 1  -.015243903  .9289687 228.98335 .3 .3 0 0 0 1 2 11
    "019049" 10002 17897 17944 2088.177 242.303 17.455 113.398  -.21 1798.789       .       . 221.879 14   14.76 "USA" 0 587 12 2008 1   -.01490515 1.0632794  257.6358 .5 .5 0 0 0 1 2 11
    "019049" 10002 17987 18021  2185.66  234.37 17.538  93.209  -.34 1904.096       . 281.564 208.655 14    6.33 "USA" 0 590  3 2009 1   -.07898894  .4736764 111.01554 .2 .2 0 0 0 1 5 12
    "019049" 10002 18078 18112 2074.654 115.471 17.573  93.125 -6.74  1911.86       . 162.794 270.771 14    2.98 "USA" 0 593  6 2009 1    -2.295302  .4535125  52.36754 .1 .1 0 0 0 1 5 12
    "019049" 10002 18170 18199 2036.069 116.588 17.577  93.087     0 1872.027       . 164.042 304.461 14    3.57 "USA" 0 596  9 2009 1 -.0028011205  .5382191  62.74989 .5 .5 0 0 0 1 5 12
    "019049" 10002 18262 18291 1946.719 116.211 17.548  93.037   .02 1782.921       . 163.798 261.834 14    2.87 "USA" 0 599 12 2009 1    .08013938  .4333734  50.36276 .8 .8 0 0 0 1 5 12
    "019049" 10002 18352 18382 2030.095 117.125 17.544  92.992   .02 1865.248       . 164.847 284.625 14    4.85 "USA" 0 602  3 2010 1   .074226804  .7264751   85.0884  1  1 0 0 0 1 1 11
    "019049" 10002 18443 18473 2058.286 119.054 17.533   92.92   .01 1891.373       . 166.913 340.466 14     3.7 "USA" 0 605  6 2010 1    1.8243244  .5448964   64.8721  1  1 0 0 0 1 1 11
    "019049" 10002 18535 18564 2156.985  120.03 17.544  92.859     0 1988.956       . 168.029 372.972 14    3.05 "USA" 0 608  9 2010 1            0 .44579855   53.5092 .4 .4 0 0 0 1 1 11
    "019049" 10002 18627 18655 2158.148  115.79 17.515  92.804   .01 1994.218       .  163.93  425.56 14    2.67 "USA" 0 611 12 2010 1 -.0037453184 .40387815  46.76505 .3 .3 0 0 0 1 1 11
    "011907" 10012 15034 15077   21.763  16.221 20.936    .787  -.03    5.542   7.989       .       . 19       2 "USA" 0 493  2 2001 0         -.04  2.581345    41.872 .2  0 0 0 0 1 9 13
    "011907" 10012 15126 15146   19.319  16.348 20.951    .658   .01    2.971   7.453       .       . 19    1.67 "USA" 0 496  5 2001 0   -.02994012  2.140211  34.98817 .3  0 0 0 0 1 9 13
    "011907" 10012 15218 15243   19.509  16.799 20.961    .666   .02     2.71   8.201       .       . 19    2.45 "USA" 0 499  8 2001 0            0 3.0569944  51.35445 .7  0 0 0 0 1 9 13
    "011907" 10012 15309 15321   20.805  17.303 20.924    .527   .03    3.502   6.261       .       . 19    2.13 "USA" 0 502 11 2001 0  -.004694836  2.575745  44.56812 .5  0 0 0 0 1 9 13
    "011907" 10012 15399 15433   21.341  18.176 20.986    .421   .04    3.165    8.59       .       . 19     3.1 "USA" 0 505  2 2002 0   .022580646 3.5792584   65.0566 .9  0 0 0 0 1 8 13
    "011907" 10012 15491 15502   22.371  19.056 21.044    .312   .04    3.315  11.937       .       . 19    2.75 "USA" 0 508  5 2002 0    .01090909  3.036891    57.871 .8  0 0 0 0 1 8 13
    "011907" 10012 15583 15600   26.326   23.98 21.049      .2   .11    2.346  10.883       .       . 19   2.189 "USA" 0 511  8 2002 0    .04111467 1.9214454  46.07626 .9  0 0 0 0 1 8 13
    "011907" 10012 15674 15691    25.74  23.748 20.988    .135  -.01    1.992    5.42       .       . 19    1.95 "USA" 0 514 11 2002 0   -.02051282 1.7233704   40.9266 .2  0 0 0 0 1 8 13
    "011907" 10012 15764 15809   25.753  23.397 20.988    .099  -.02    2.356   6.249       .       . 19    1.33 "USA" 0 517  2 2003 0   -.04511278 1.1930606  27.91404 .2  0 0 0 0 1 6 12
    "011907" 10012 15856 15886    24.85  22.485 21.007    .074  -.04    2.365       0       .       . 19   1.411 "USA" 0 520  5 2003 0   -.05669738  1.318251 29.640877 .2  0 0 0 0 1 6 12
    "011907" 10012 15948 15978    24.92  21.413 21.032    .337  -.05    3.507       0       .       . 19    1.15 "USA" 0 523  8 2003 0   -.13913043 1.1295382   24.1868 .1  0 0 0 0 1 6 12
    "011907" 10012 16039 16062   16.619  14.221 21.777    .295  -.35    2.398    .022       .       . 19    1.88 "USA" 0 526 11 2003 0   -.18085106 2.8788946  40.94076 .1  0 0 0 0 1 6 12
    "011907" 10012 16130 16182   13.088  10.061 21.243    .254  -.21    3.027    .074       .       . 19    1.35 "USA" 0 529  2 2004 0   -.14074074 2.8504174  28.67805 .1  0 0 0 0 1 7 12
    "011907" 10012 16222 16251   12.698   9.559 23.732    .218  -.11    3.139      .4       .       . 19    .788 "USA" 0 532  5 2004 0    -.0888325  1.956357 18.700815 .1  0 0 0 0 1 7 12
    "011907" 10012 16314 16358   11.523   7.772 23.732       0  -.07    3.751    .223       .       . 19     .46 "USA" 0 535  8 2004 0   -.04347826 1.4046217  10.91672 .1  0 0 0 0 1 7 12
    "011907" 10012 16405 16449    9.771   6.844 23.732       0  -.04    2.927    .334       .       . 19     .52 "USA" 0 538 11 2004 0     .5961539 1.8031327  12.34064  1  0 0 0 0 1 7 12
    "011908" 10019 15065 15110  148.885  31.044  8.272  50.099   .04  117.841  36.606       .       . 14 2.78125 "USA" 0 494  3 2001 0   -.05393258  .7410933   23.0065 .2  0 0 0 0 1 4 12
    "011908" 10019 15156 15182  142.029  28.516  8.282  56.759  -.12  113.513  31.858       .       . 14    1.75 "USA" 0 497  6 2001 0   -.10285714  .5082585   14.4935 .1  0 0 0 0 1 4 12
    "011908" 10019 15248 15292  138.944  27.332  8.283   3.004  -.26  111.612  30.106       .       . 14    1.13 "USA" 0 500  9 2001 0   -.25663716  .3424481   9.35979 .1  0 0 0 0 1 4 12
    "011908" 10019 15340 15376  134.763  24.007  8.282   3.069  -.53  110.756  26.304       .       . 14    1.25 "USA" 0 503 12 2001 0         -.44  .4312284   10.3525 .1  0 0 0 0 1 4 12
    "011903" 10025 15006 15046  482.503  58.277  7.655 251.769   .02  424.226 156.499       .       . 14  37.625 "USA" 0 492  1 2001 0  .0045182724  4.942248 288.01938 .8  0 0 0 0 2 9 23
    "011903" 10025 15095 15138  461.299  57.889  7.741 240.021  -.55   403.41 164.534       .       . 14   52.75 "USA" 0 495  4 2001 0    -.0092891  7.053805  408.3377 .4  0 0 0 0 2 9 23
    "011903" 10025 15187 15223  436.059  59.262  7.794 229.673  -.07  376.797 157.554       .       . 14   28.28 "USA" 0 498  7 2001 0   .008132956 3.7193196  220.4143 .9  0 0 0 0 2 9 23
    "011903" 10025 15279 15344   438.04  59.897  7.794 237.634   .04  378.143 161.113       .       . 14   20.05 "USA" 0 501 10 2001 0   .003491272  2.608974  156.2697 .7  0 0 0 0 2 9 23
    end
    format %td comdate
    format %d eadate
    format %tm ym
    Thanks a lot!

  • #2
    There are duplicates in the second Compustat file, How do you deal with that.
    Code:
    . duplicates list permno eadate
    
    Duplicates in terms of permno eadate
    
      +---------------------------+
      | obs:   permno      eadate |
      |---------------------------|
      |   14    10001   17dec2004 |
      |   15    10001   17dec2004 |
      +---------------------------+
    Ho-Chuan (River) Huang
    Stata 19.0, MP(4)

    Comment


    • #3
      Even worse, the -eadate- is not overlapped at all. Please provide a "representative" sample again.
      Ho-Chuan (River) Huang
      Stata 19.0, MP(4)

      Comment


      • #4
        Along with the problems pointed out by River Huang, you erred by merging on daily dates.

        In your CSRP data you should create a quarterly date variable from your daily date variable.
        Code:
         * Example generated by -dataex-. To install: ssc install dataex
        clear
        input long eadate
        14698
        14699
        14700
        14703
        14704
        end
        format %d eadate
        generate quarter = qofd(eadate)
        format quarter %tq
        Code:
        . list, clean noobs
        
               eadate   quarter  
            29mar2000    2000q1  
            30mar2000    2000q1  
            31mar2000    2000q1  
            03apr2000    2000q2  
            04apr2000    2000q2
        You then do the same thing with the Compustat data. Having done that, you now can merge observations on their quarterly dates, and the Compustat data will match each observation in the same quarter in your CSRP data, rather than just the final observation in the quarter.

        Comment


        • #5
          Thanks both! Your ideas are really helpful! I think I already sloved this problem!

          Have a great weekend!

          Comment

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