Dear Researchers,
I match KLD data with compustat data for the year 2003 to 2011. However, only 61% KLD firm-year observations matches (16181 observations out of 26557 observations in KLD).
What can be the possible causes?
Does KLD cover private firms?
Please see the attached document.
Thank you for your time and effort.
Sincerely,
Masud
Typically, every firm on the stock exchange is NOT in the KLD dataset. A long time ago, KLD only covered the Fortune 500, and then they expanded to Fortune 1000, and beyond. So, you will find fewer matches in the early years, and in later years more firms will match. I hope the following paper will be helpful. We used the KLD dataset in this paper and found some similar issues.
Groening, Christopher and Mittal, Vikas and Zhang, Yan, Cross-Validation of Customer and Employee Signals and Firm Valuation (April 25, 2015). Journal of Marketing Research, Forthcoming.
Available at SSRN: http://ssrn.com/abstract=2623204
http://ssrn.com/abstract=2623204
Dear Prof. Vikas Mittal,
Thank you so much for kind cooperation. As I am going through your paper, I feel I can have a better understanding of KLD data.
Sincerely,
Masud
Hi, Md, how did you actually match your data in KLD to compustat, I mean what's the key variable you used? I'm currently working on this and found out that match on "ticker" won't give a good result , say I have a matched sample of 130 firms matched by "ticker" , but i found that 29 of them have different firm names even with same ticker in KLD and compstat. can you kindly tell me how you did the match? thanks a lot.
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