Merge Mutual Fund Holdings quarterly data with monthly CRSP stocks data

[Jessica Guo]

I have a difficult merging task to do, and I would like your help on this.

So I have two data sets:

1. Mutual Fund Holdings quarterly data; (master dataset)
I need three variables to uniquely identify each observation in the data: wficn cusip yrqt;
wficn: Wharton Financial Institution Center Number (WFICN), which is a unique and permanent fund portfolio identifier.
cusip: The holdings are identified by CUSIP
yrqt: such as 1998q1, 1998q2, etc..

for each quarter, there are many funds, each of which has many stock holdings.

2. CRSP monthly stocks data-unbalanced panel data (using dataset)

cusip: stock identifier
yrm: time/date variable, such as 1998m1, 1998m2...1998m12, etc....


TASK: merge these two datasets

What I really want (the ideal merge result) is:

assume the equity holdings for fund i is the same between 1998q1, and 1998q2; that is assume the fund portfolio i holds the same set of equities in month 1998 April, May as in 1998 June. What can I do about the first dataset to achieve this ?


What I actually compromise is to convert the 2nd dataset to quarterly level;
then use m:1 merge using cusip yrqt as the key.

[Clyde Schechter]

Duplicate post. Answered at original.