Wharton Research Data Service (WRDS)

Detailed audit information on over 1,500 accounting firms and 20,000 publicly registered companies. Covers auditor engagements, changes, fees, opinions, benefit plan options, director & officer changes, disclosure controls, internal controls, late filers, and restatements.
• Accounting + Oversight
• Audit + Compliance
• Corporate + Legal

Provides accounting data for bank-holding companies, commercial banks, savings banks, and savings and loans institutions.
• Bank Regulatory
• Legacy Bank Regulatory

Beta Suite is a powerful web-based tool allowing researchers to calculate stocks’ loading on various risk factors in a timely way.

This dataset contains standardized data for blockholders for 1,913 companies. 1996-2001. The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data. The data cleaning procedure is explained in detail by Jennifer Dlugosz, Rudiger Fahlenbrach, Paul A. Gompers, and Andrew Metrick in their study "Large Blocks of Stocks: Prevalance, Size, and Measurement".

Bond Returns by WRDS allows researchers to easily and effectively access cleaned datasets of corporate bond transactions, sourced from TRACE Standard and TRACE Enhanced datasets, along with a separate dataset for monthly price, return coupon, and yield information for all corporate bonds traded since July 2002.
• WRDS Bond Returns
• WRDS Clean Standard Trace File
• WRDS Clean Trace Enhanced File

Daily levels of CBOE (Chicago Board Options Exchange) volatility index (VIX), available for all WRDS users
• CBOE Indexes

Compustat Global provides detailed fundamental data for major companies trading on international exchanges. Use to find detailed fundamental data for companies trading on all of the major United States and Canadian exchanges.
• North America
• Global
• Bank
• Historical Segments
• Other Compustat: Annual North American Updates/Marginal Tax Rates

Wide range of databases that have been contributed to WRDS by various academic researchers and faculty

Center for Research in Security Prices, LLC (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets.
Annual Update
• CRSP: Stock / Security Files
• Stock Version 2(CIZ)
• Stock/Events
• CRSP: Index History – Intraday
Quarterly Update
• Index History – Intraday

Includes Daily Extract with Time Window, Exchange Code Search, Returns + Decile Assignments, Stock, Portfolio and Index Returns, Translate to PERMCO/PERMNO

Direct Marketing Educational Foundation contains customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses. Corporate names are anonymous and customer names and addresses have been removed, but the business type is indicated. ZIP codes have been retained (if possible) to provide a potential link to Census ZIP level demographics.
• Multi-Division Catalog
• Reproduction Catalog
• Mon-Profit Organization
• Specialty Catelog

Using this flexible web-based tool, enter a list of security identifiers (Ticker or PERMNO), and pre-set parameters such as Risk-Free Rate and Degree of Risk Aversion. The tool then incorporates the customized inputs and calculates the corresponding Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio as well as Minimum Variance Portfolio based on your stock selection.

Implemented after the previous global financial crisis to increase market transparency, this data encompasses all significant short positions reported by institutional investors under the EU236 Rule. Coverage: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Luxembourg, Netherlands, Norway, Poland, Spain, Sweden, UK.

The event studies are widely used by empirical researchers in finance, economics, accounting, law, and other business disciplines to analyze the market reaction to firm-specific and market-wide events using either returns or volume around the time when the event occurred.
• International Event Study (Compustat Global)
• US Daily Event Study

Eventus 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.

Resources for the following industries include: Political, Regulatory, Real Estate, City, Finance, Geography and Climate, Legal, Technology, Healthcare. A curated and inexhaustive list of external data outside of WRDS. WRDS does not support data from any of these sources but offers this list as a helpful resource for researchers.
• City: cities open data depositories
• Finance: CorpWatch/IRS/FINRA/World Bank/FDIC/IMF/FRED/Census
• Geography & Climate Data: NOAA, HRSL data
• Healthcare (CMMS, IPUMS, Dartmouth Atlas, IHME Global Health
• Legal: ICIJ Offshore Leaks, PatentsView, OpenPolicing
• Other: Chronicle of Philanthropy, Data.gov, IMDB,ICPSR, Kaggle, ProPublica
• Political: FEC, Obama visitor logs, USASpending.gov, Financial Disclosure Reports, ProPublica’s Congress
• Real Estate: Zillow
• Regulatory: CFPB, FHFA, Form 5500 filings, OSHA, EPA, FDA, Form 990 e-filings, Pipeline & Hazardous Materials
• Technology: AWS Public Dataset, InstaCart Open Dataset, Stanford SNAP, Google BigQuery Public Database, IoT inspector
• Transportation: NYC Taxi/Limo Commission Data

The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns. (see “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, 1993)

The Federal Judicial Center's (FJC) Integrated Database contains data on all federal, civil, criminal, bankruptcy, and appellate court case information reported by the courts to the Administrative Office of the U.S. Courts. Coverage: mid-1969 through the present. Includes WRDS-developed linking tables for FJC include bankruptcy, civil, and criminal.
• Litigation
• WRDS Linking Tables (bankruptcy, civil, and criminal)

Foreign Exchange Rates (Federal Reserve Board’s H.10 Report) containing Foreign Exchange rates for over 30 world currencies and trade-weighted indices. Interest Rates (Federal Reserve Board’s H.15 Report) release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments. All rates are reported in annual terms. Daily figures are for Business days and Monthly figures are averages of Business days unless otherwise noted. Note: the Federal Reserve has changed the way they deliver the data.
• Foreign Exchange Rates
• Interest Rates

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, and etc). Also included: Financial Ratios (with IBES subscription)
• Financial Ratios
• Financial Ratios (with IBES subscription)

S&P Dow Jones Indices is a division of S&P Global (NYSE: SPGI), which provides essential intelligence for individuals, companies, and governments to make decisions with confidence.
• Dow Jones Index Daily
• Dow Jones Index Monthly

I/B/E/S International Inc. created their Academic Research Program over 30 years ago to provide both summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations. In 2000, I/B/E/S was integrated with Thomson Reuters / First Call, and in 2012 First Call was discontinued.
• IBES Academic
• IBES Guidance

Intraday Indicators by WRDS (IID) contains daily stock market indicators calculated using NYSE TAQ data. At daily frequency, the WRDS IID provides per-stock variables such as liquidity spreads, intraday volatility, Kyle's Lambda, and summaries such as market open to close, volumes and returns, etc.

Access point-of-sale information for more than 11,000 grocery stores and 7,500 drug stores. This database was offered to WRDS as a 1-time delivery, with no future updates.

Access extensive Executive Compensation performance metrics, goals, and payout structure.

Shareholder Proposal: Access proposals that came to a vote as well as those that were withdrawn by the proponent or allowed to be omitted from the proxy by the SEC; Access lead filer of the proposal, the meeting date, and outcome. Voting Results: Analyze vote results at the company and proposal level and identify trends in corporate governance

Access Environmental, Social & Governance Data (ESG) to Enrich Research.
• Directors US (Universe of S&P 1500 companies —range of variables related to individual board directors)
• Governance (Provides data on classic takeover defense and other corporate governance provisions)
• Incentive Lab (Executive Compensation performance metrics, goals, and payout structure)
• Incentive Lab – Europe
• Shareholder Proposal S&P 1500

These Linking Queries allow our users to easily download link tables between various heavily used databases on the WRDS platform. In addition to these linking queries, WRDS provides a Company Database Linking Matrix containing additional linking information as well as sample code.
• Bond CRSP Link
• FactSet CRSP Link
• IBES CRSP Link
• TAQ CRSP Link

The Macro Finance Society curates a list of datasets from several influential papers broadly in the area of macro-finance. We will continue to maintain and expand on our collection, and our goal is to help facilitate the dissemination of high-quality datasets for the profession. We welcome data submissions. Please refer to the society website for details.
• Cay Data
• Commodity Trade and Currency Returns
• Q-Factors
• Uncertainty

IHS Markit is a leading, global financial information services company with over 15,000 employees. The company provides independent data, valuations and trade processing across all asset classes in order to enhance transparency, reduce risk and improve operational efficiency. Its client base includes the most significant institutional participants in the financial marketplace.
• Markit Securities Finance Analytics – Bonds
• Markit Securities Finance Analytics – Equities
• Markit Securities Finance Institutional – Bonds
• Markit Securities Finance Institutional - Equities

Mergent Fixed Income Securities Database (FISD) for academia provides details on debt issues and the issuers, as well as transactions by insurance companies.
• Bond Issuers
• Bond Issues
• Bond Ratings
• Bond Redemption
• Time Sales Data

Study historical municipal securities price trends, trade frequency and other characteristics of municipal bond transactions. The trades represent transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities, including states, counties, cities and special tax districts.

Access comprehensive, timely and accurate data available on the ten thousand securities that trade on the OTCQX, OTCQB and OTC Pink Marketplaces.

OTC Corporate Bond Transaction Data. Access the most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces. Key security reference data includes Security Type, Security Class, Security Status and Number of Market Participants.

Resource for Pastor-Stambaugh, China, and Sadka liquidity factors.

Pastor-Stambaugh liquidity factor is a model that measures the impact of liquidity risk on asset returns. Liquidity risk is the difficulty of selling an asset quickly without affecting its price. It's an extension of the Fama-French three-factor model.

An improved Tobin’s q - replacement cost of intangible capital - by Ryan Peters (Tulane) and Lucian A. Taylor (Wharton)

A modified version of the traditional Tobin's Q ratio, developed by researchers Peters and Taylor, which incorporates the value of a company's intangible capital, providing a more comprehensive measure of a firm's investment opportunities by including both physical and intangible assets in the calculation, essentially capturing a "total" picture of a company's capital stock.

WRDS was given a one-time data set on currency options and implied volatility from PHLX covering 1993-1997. No additional updates are expected.

The Philadelphia Stock Exchange founded in 1790 is the oldest organized stock exchange in the nation. As one of North America’s primary marketplaces for the trading of stocks, equity options, index options and currency options, the PHLX continues to be a market leader in the development and introduction of innovative new products and services. United Currency Options Market offers choice of expiration date, strike price, etc and any combination of 10 currencies available. This data is no longer updated.

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 databases are organized into content areas.

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 databases are organized into content areas.
• Macro Economics
• Healthcare (HCUP, MEPS)
• Bureau of Labor Statistics-BLS
• Bureau of Economic Analysis

Firm’s R&D productivity. Created by Anne Marie Knott (Washington U. in St. Louis); Free to Academic institutions with current subscription to S&P Capital IQ Compustat

Electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis. On November 15, 2000, the SEC adopted new rules aimed at improving public disclosure of order execution and routing practices. As a result of Rule 11Ac1-5, market centers that trade national market system securities must make monthly, electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis, including how market orders of various sizes are executed relative to the public quotes and information about effective spreads - the spreads actually paid by investors whose orders are routed to a particular market center. In addition, market centers must disclose the extent to which they provide executions at prices better than the public quotes to investors using limit orders. Data is available on WRDS through 2005, and is no longer updated.

Subsidiary Data by WRDS contains parent company and subsidiary relationships for companies filing with the SEC between 1995 and 2019.

Refinitiv, an LSEG (London Stock Exchange Group) business, is powering participants across the global financial marketplace by providing information, insights, and technology that enable customers to execute critical investing, trading and risk decisions with confidence.
(See also Refinitiv Workspace)
• Datastream is a global financial dataset that contains current and historical time series data on stocks, indices, bonds, funds, futures, options, interest rates, commodities, currencies, and economic indicators.
• Thomson/Refinitiv – Insiders Data (via WRDS)
Insider Filing Data Files are designed to capture all insider activity as reported on SEC forms 3, 4, 5, and 144.
• Thomson/Refinitiv – Institutional (13f) Holdings - S34 (via WRDS)
The primary source for the institutional holdings data is the 13f form that investment companies and professional money managers are required to file with the SEC on a quarterly basis.
• Thomson/Refinitiv – WRDS TR Tools (via WRDS)
This WRDS tool allows you to tap into the 13F filings by institutional investors, accessing metrics commonly used in academic literature, including overall ownership by institutions, concentration of institutional ownership, and number of block ownerships.
• Worldscope
Contains detailed financial statement data and profile data on public companies globally. Using primary source documents and news clippings, Worldscope data analysts extract the data to global templates that are specific to industry groups.
o Datastream Stock Daily with Worldscope Fundamentals Annual
o Worldscope Fundamentals Annual with Datastream Stock Daily

FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It reports prices and other details of bond transactions in several categories. WRDS purchases licenses to TRACE on behalf of our subscribers, so TRACE is free for all academics.
• TRACE Enhanced
Trace Enhanced contains the historical reproduction of all transactional data reported to TRACE. TRACE Enhanced includes information previously not disseminated to the public, such as buy/sell indicators and counterparty (dealer or customer) information. FINRA makes historical data available 6 months after the transaction date and publishes the information quarterly.

In line with the recent trend in increased usage of patent data in finance and accounting research, WRDS US Patents provides easier access to the patent data. Patent-level data is directly parsed from USPTO's XML files. Researchers can use this database together with the patent valuation data contributed by Kogan et al.
The current version covers the years from 2011-2019. When WRDS US Patents is officially released, the data will be updated to cover a longer period of time, and will continue to be automatically updated.

Country total return indices (with dividends). 40+ countries. Daily and monthly frequencies.