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WRDS: Wharton Research Data Services: Available Datasets

WRDS, provided by the WSU College of Business, is a gateway to financial, accounting, banking, economics, management, and marketing data accessible through a single web-based interface from the Wharton School of the University of Pennsylvania.

Datasets

The following datasets, provided by the WSU College of Business, are available via WRDS:

Audit Analytics provides detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies; 2004 - present.

Bank Regulatory provides accounting data for Bank Holding Companies, Commercial Banks, Savings Banks, and Savings and Loans Institutions; coverage varies, most data 1976 -.

Beta Suite is a web based tool that allows researchers to calculate stocks' loading on various risk factors in a timely way.  The tool is designed with flexibility in mind, capable of handling monthly, weekly, and daily rolling regression on common set of market risk factors.

Blockholders contains standardized data for blockholders of 1,913 companies, reported by firm for 1996-2001.

BoardEx is a business development and sales tool used globally by investment banks, wealth managers, professional services firms and corporations.  BoardEx applications give the researcher the capability to analyze current and historical linkages between companies, individuals, not-for-profit organizations, and other private associations.

Calcbench enables researchers to conduct financial statement analysis, financial accounting and auditing using SEC (Security and Exchange Commission) XBRL data.  Analyze financial data for 9,000+ public companies with an interactive data platform.  Understand competitor financials, identify potential risks to firms, analyze trends across industry sectors.

CBOE Index (Chicago Board Options Exchange) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices; 1986 - previous year.

COMPUSTAT from Standard & Poor's provides a number of databases covering fundamentals in the U.S. and globally, executive compensation, ratings and more; coverage varies, most data 1950 - present.

CRSP (Center for Research in Security Prices), at the Graduate School of Business at the University of Chicago, maintains the most comprehensive data files on the market; 1925 - present.

DMEF (Direct Marketing Educational Foundation) Academic Data contains four individual datasets, each containing customer buying history for about 10,000 customers of nationally known catalog and non-profit database marketing businesses; 1993 - 1995.

Dow Jones Averages covers the Dow Jones Averages and the Dow Jones Total Return Indexes; 1896 - 2007.

Efficient Frontier is an applications that helps researchers visualize and understand diversification, risk/return trade-off, and risk tolerance in the portfolio creation process.

Event Study provides instant visualization of the effect of events on stock returns - U.S. and global.  Enables the researcher to extract detailed, back-end data for analysis, retrieve the behind-the-scenes set of codes, and access in-depth documentation on methodology used.

Eventus software performs event studies using data read directly from CRSP stock databases or pre-extracted from any source.  The Eventus system includes utility programs to convert calendar dates to CRSP trading day numbers, convert CUSIP identifiers to CRSP permanent identification numbers, and extract event study cumulative or compounded abnormal returns for cross-sectional analysis.

FactSet provides global financial market data, company information, equity, fixed income data, etc.

Fama-French Factors & Liquidity provides access to the Fama-French three-factor model to describe stock returns, as well as to Pastor-Stambaugh Liquidity Returns; 1926 - 2009, daily 1963 to current year.

Federal Reserve Bank reports contains three databases collected from Federal Reserve Banks.  Two of them (Foreign Exchanges and Interest Rates) come from reports published for the Federal Reserve Board (H. 10 and H. 15 reports).  The other one contains the Coincident State Indexes from the Federal Reserve Bank of Philadelphia; varies, 1919 to current year, 1971 to current year.

Financial Ratios Suite is a web based engine that delivers over 70 pre-calculated financial ratios for all U.S. companies across eight different categories (Valuation, Liquidity, Profitability, etc.).  Researchers can use this product as a convenient tool to obtain firm-level and/or industry-level ratios as characteristics for controls in empirical research.

IBES is a global database of analysts' forecast earnings per share, cash flow per share, dividends per share, and net profits per share.  Includes IBES Historical Detail and Current Detail.

Institutional Shareholder Services (ISS), formerly RiskMetrics, delivers data for the new methodology to WRDS in four datasets identified as Historical Governance, Historical Directors data, Voting Results data, and Shareholder Proposal data.

MSCI, formerly KLD and GMI, dataset in WRDS gives users the ability to research and analyze the social, environmental, and sustainability markers of the top 400 corporations in the U.S.  These markers cover Community, Corporate Governance, Diversity, Employee Relations, Environment, Human-Rights, Product, and include negatives such as Alcohol, Firearms, Gambling, Military Nuclear Power, and Tobacco. 

MSRB: Municipal Securities Rulemaking Board, as the primary regulator of the $3.7 trillion municipal security market, collects and makes trades publicly available through the Electronic Municipal Market Access (EMMA) website.

Mutual Fund Links, MFLINKS, tables provide a reliable means to join CRSP Mutual Fund (MFDB) data that covers mutual fund performance, expenses, and related information to equity holdings data in the TFN/CDA S12 datasets.  Using MFLINKS allows a researcher to gather detail on holdings for either particular funds or fund families and groups of funds at specific points in time.

OTC Markets provides the most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces.

Penn World Tables provides national income accounts-type of variables converted to international prices.  The homogenization of national accounts to a common numeraire allows valid comparisons of income among countries; 1950 - 2010.

Peters and Taylor Total Q is an improved Tobin's q - replacement cost of intangible capital - by Ryan Peters (Tulane) and Lucian A. Taylor (Wharton).

PHLX: Philadelphia Stock Exchange's United Currency Options Market (UCOM) offers choice of expiration date, strike (exercise) price, premium payment and any combination of 10 currencies currently available for a total of 100 possible currency pairs; 1983 - 1997.

Public Data on WRDS comes from a variety of sources in the public domain.  WRDS converts the data into a consistent format and updates it on a regular basis.  The collection currently includes macroeconomic data from the U.S. Bureau of Economic Analysis and the U.S. Bureau of Labor Statistics and healthcare data from the Healthcare Cost and Utilization Project and the Medical Expenditure Panel Survey.

Research Quotient (RQ) equals the percentage increase in revenue from a 1% increase in Research & Development (R&D).  RQ is the output elasticity of R&D. RQ offers a universal, uniform, and reliable measure of a firm's R&D productivity.

SEC Order Execution database enables users to track activity at market centers that trade national market system securities.  These centers must make monthly, electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis; 2001 - 2005.

Thomson Reuters Institutional Holdings (13F) database, formerly known as CDA/Spectrum s34 database, contains ownership information by institutional managers with $100 million or more in Assets Under Management (Section 13(f) Securities); 1980 to current year.

Thomson Reuters Insiders Data is designed to capture all U.S. insider activity as reported on Forms 3, 4, 5, and 144 in line-by-line detail.  It also includes performance calculations revealing which insiders' prior trades have been most predictive of subsequent stock returns; 1986 to current year.

TRACE OTC Corporate Bond Data (Trade Reporting and Compliance Engine) is FINRA's (Financial Industry Regulatory Authority) over-the-counter (OTC) corporate bond market real-time price dissemination service.  TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt -  providing access to information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.  The information collected and disseminated includes the time of execution, bond price, yield, and volume.

World Indices provides country total return indices (with dividends).  40+ countries.  Daily and monthly frequencies.

WRDS SEC Analytics Suite simplifies research by allowing the user to quickly and easily develop tailored datasets from all SEC filings, parsing millions of regulatory reports based on your custom criteria.  It is positioned for broad business usage from due diligence and forensic accounting to disclosure research and investment management.

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