GeoPandas drops .prj file

Question

I'm trying to create a df through a GeoJSON url, merge it with a df created out of a SQL query, and create a shapefile/GeoJSON from the output. The output has everything put the .prj file (in the instance of a shapefile output). I've tried to set the CRS later in the code but it doesn't stay. I've discovered at some point in the merge, it drops the CRS.

import geopandas as gpd
import pyodbc
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt

pd.set_option('display.max_rows', 500)
pd.set_option('display.max_columns', 500)
pd.set_option('display.width', 1000)

url = 'http is private just for this example.geojson'
df = gpd.read_file(url)
df = df.rename(columns={'MAINADDRESS': 'Address'})

cnxn = pyodbc.connect( xxxx)

sql = sql query
sql1 = 2nd sql query

df1 = pd.read_sql(sql, cnxn)
df1a = pd.read_sql(sql1, cnxn)

df4b = pd.merge(df1a, df1, on='strap')
df4c = df.merge(df4b, on='Address', how='left')
gdf = gpd.GeoDataFrame(df4c, geometry='geometry')
print(gdf.crs)
gdf.to_file('rentals.shp')
gdf.to_file('rentals.geojson', driver='GeoJSON')

The print(gdf.crs) shows 'None'.