(only US and only AMEX or NASDAQ)
I'll show you how.
Note: it is helpful to be familar with Compustat, Compustat - CRSP merged and how they relate.
CRSP - Compustat
Open up the CRSP database.
Select " Stock / Portfolio Assignments"
Select Betas deciles
From WRDS database: Each portfolio time series is based on a portfolio type defined by CRSP and contains a history of statistics and portfolio assignments for a security. The portfolio time series can be linked to CRSP index returns data to calculate excess returns of a security against its assigned index portfolio at any time during its history.
What you can do, is retrieve a work set from another database or index constituent.
Looking up a single security: Microsoft
(unfortunately WRDS CRSP doesn't say on which Index the security is noted)
The following is very important and determines whether you get output or not.
The safest bet is, when you draw a work set from either NYSE/ AMEX or NASDAQ, to stick with that index.
Example. From CRSP / COMPUSTAT merged.
Set Time period to investigate.
Search entire database.
Be certain to download Stock Exchange Code, as you have filter you output on that very code.
Stock exchange code, e.g. Nasdaq (see also over view codes in Compustat manual or internet or here
Stock Exchange code for NYSE / AMEX is 11
NASDAQ is 14
Note: this can result in very large output set of which you'll have to dismiss the majority of data since you are only interested in securities from NASDAQ or NYSE/ AMEX
Example exchange codes in output
As for output size: this output set contained 13.000 plus rows
After using auto filter (data, use funnel symbol) filtering on exchange code 11 and removing duplicates (use company identifiers like CUSIP, CIK GVKEY or PERMNO, PERMCO)
10.000 plus unique securities remain.
Large output sets!
In this example I made a single file of the Permno and uploaded them into
Stock / Portfolio Assignments > Beta deciles
Output example (download as TAB delimited TXT and open with wizard int Excel)
Note: after downloading and opening a match has to be made between initial download of the filtered set and this output.
Another method is to download the Index constituent form either these indexes.
In Compustat North America the number of downloadable index constituents is imited.
i.e. NASDAQ 100
Look here
! NYSE AMEX not among them !
Be sure to download PERMNO and / or PERMCO
I tried both and came up with either no results or regular output.
Some helpful links
Adjusting company identifiers
Finabase: Finding historical beta in Datasream
Financial databases and research blog
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