We might be able to go City -> FIPS place code -> MSA?
Cities and their FIPS codes (which don't perfectly correspond) are available from https://www.census.gov/geo/reference/codes/place.html
The Census claims to provide city to MSA here: https://www.census.gov/geo/maps-data/data/ua_rel_download.html
However, there is only CBSA!
==COMPUSTAT Data==