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. Know who is auditing whom and how much they are paying for what services. Create reports by auditor, fees, location, industry and more. Services subscribed to include: Accounting + Oversight, Audit + Compliance, Corporate + Legal

Provides accounting data for bank-holding companies, commercial banks, savings banks, and savings and loans institutions. The source of the data is the required regulatory forms filed for supervising purposes. Coverage: 1976-

Beta Suite is a powerful web-based tool allowing 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 a common set of market risk factors.

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. Additionally, Bond Returns by WRDS includes a unique and essential mapping table that links all bond and equity issues for every firm and at each point, time using the information in TRACE and CRSP databases.

CBOE (Chicago Board Options Exchange) Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The New VIX still measures the market’s expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility “skew” by using a wider range of strike prices rather than just at-the-money series.

Compustat Global provides detailed fundamental data for major companies trading on international exchanges. Special files are available that contain financial services data, currency translations, and market data. Annual data date back to 1987.

Use to find detailed fundamental data for companies trading on all of the major United States and Canadian exchanges. Special files are available that contain bank specific data. There is also industry specific data for airlines, gaming, homebuilding, health care facilities, lodging, managed health care (HMOs), mining, oil & gas, retail, semiconductors, and utilities. Coverage goes back to 1950. The COB subscribes to Marginal Tax Rates and North American Annual Updates.

CRSP10 is a variation of its research-quality stock database that holds 10 years of monthly history for active and inactive securities.

US Stock Database provides a unique research source characterized by its unmatched breadth, depth, and completeness. It includes CRSP’s unique permanent identifiers allowing for clean and accurate backtesting, time-series and event studies, measurement of performance, accurate benchmarking, and securities analysis. The CRSP US Stock Database contains end-of-day and month-end prices on all listed NYSE, Amex, and NASDAQ common stocks along with basic market indices, and includes the most comprehensive distribution information available, with the most accurate total return calculations.

Index History - Intraday index data on market capitalization, value/growth, and sector index families for investable CRSP indexes. Price and total return data available at both End-of-Day and Second-by-Second frequency. Databases in this section are updated in February, May, August, and November. Update schedules should not be confused with end-of-day, end-of-month, or end-of-quarter data such as stock prices.

Additional CRSP files provide stock indices, beta-based and cap-based portfolios, treasury bond and risk-free rates, mutual funds, and real estate data. Daily Stock File, Daily Stock Market Indexes, Delisting Information, Distribution, Monthly Stock File, Monthly Stock Market Indexes, Names, Share Outstanding, Stock Header Information

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

The China Stock Market & Accounting Research (CSMAR) Database offers data on the China stock markets and the financial statements of China’s listed companies.

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.

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. FSU subscribes to International Event Study (Compustat Global): Upload your own events and U.S. Daily Event Study: Upload your own events

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.

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.

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.

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)

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. Covers Dow Jones Index Daily and Monthly

I/B/E/S, the Institutional Brokers' Estimate System, is a database from Refinitiv. It is historical earnings estimate database containing analyst estimates for more than 20 forecast measures - including EPS (earnings per share), revenue, price targets, EBITDA and pre-tax profits - available on both consensus and detailed levels, covering both U.S. and international companies. The database also includes buy-hold-sell recommendations. In 2000, I/B/E/S data was integrated with Thomson Reuter's First Call and in 2012, First Call was discontinued. I/B/E/S Guidance includes company-issued guidance data from more than 6,000 North American companies and 2,000 global companies.

I/B/E/S Guidance is a related, but separate, product from Refinitiv that includes management's predictions about their own company (as opposed to the opinions of 3rd party analysts). It includes information previously available in the Company Issued Guidance (CIG) file in base I/B/E/S and information from the defunct First Call database.

ISS provides data on directors, shareholder proposals, and voting results for S&P 1500 companies. Our subscription does not cover voting results. Data on directors includes a range of variables related to individual board directors (e.g., name, age, tenure, gender, committee memberships, independence classification, primary employer and title, number of other public company boards serving on, shares owned, etc.). Directors’ data collection began in 1996 and is updated annually. Shareholder proposal data (governance and social responsibility) provides data on classic takeover defense and other corporate governance provisions, including: classified boards, cumulative voting, golden parachutes, poison pills, state takeover laws. Data is available from 1997.

Intraday Indicators by WRDS (IID) contains daily stock market indicators obtained from NYSE TAQ data. At daily frequency, it provides per-stock variables such as Volume, Returns, and a variety of others.

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

Linking Suite by WRDS allows users to easily download link tables between various heavily used databases on the WRDS platform. We have access to: Bond CRSP Link, Dealscan Worldscope Link, FactSet CRSP Link, IBES CRSP Link, Option Metrics CRSP Link, TAQ CRSP Link, Worldscope Datastream Link

The mission of the Macro Finance Society is to advance and disseminate high-quality research in Macro-Finance, which is a broad area at the intersection of financial economics and macroeconomics. The research conducted at The Society emphasizes microeconomic foundations via (dynamic) structural modeling while being grounded in the data. Members of The Society consist of both financial economists and macroeconomists, who share the common goal of advancing and disseminating high-quality research in Macro-Finance. For more information, please see https://macrofinancesociety.org/

Markit Securities Finance Analytics covers Bonds and Equities, as well as, Institutional Bonds and Equities.

Mergent Fixed Income Securities Database (FISD) for academia is a comprehensive database of publicly offered U.S. bonds. Research market trends, deal structures, issuer capital structures, and other areas of fixed income debt research.

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.

OptionMetrics contains historical prices of options and their associated underlying instruments, calculated implied volatilities, and option sensitivities. Contains data on all US exchange- listed and NASDAQ equities and market indices, as well as all US listed index and equity options, we have access to Ivy DB US data.

Option and equity level indicators derived from underlying option pricing data.

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.

The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 188 countries for some or all of the years 1950-2004. The homogenization of national accounts to a common numeraire allows valid comparisons of income among countries. Data comes from Alan Heston, Robert Summers, and Bettina Aten, Penn World Table Version 6.1, Center for International Comparisons at the University of Pennsylvania, October 2002.

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

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

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.

Firm’s R&D productivity. Created by Anne Marie Knott (Washington U. in St. Louis)

SEC-mandated Disclosure of Order Execution Statistics. 2001-2005. 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. Data is parsed from exhibits attached to a variety of filing types (10-K, 10-Q, etc.), but relies primarily on Exhibit 21. Parsing was built on additions and modifications to the Corpwatch API, in order to allow for a broader scope of filings as well as the integration of existing WRDS SEC data.

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.

Insider Filing Data Files are designed to capture all insider activity as reported on SEC forms 3, 4, 5, and 144.

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.

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.

TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities. TRACE covers corporate bonds, US government agency bonds, securitized products including asset-backed securities and mortgage-backed securities, as well as, corporate bonds and securitized products falling under Rule 144a.

US Patents by WRDS provides easier access to 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 to 2019.

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