- WRDS Harvard Subscriptions
- WRDS Finding Historic Financials
- Demo
- WRDS Finding a Time Series of Stock Prices in CRSP
- WRDS Introduction to Compustat
- WRDS Finding a Time Series of Financial Data in Compustat
- WRDS Insider Data from Thomson Financial/Spectrum
- WRDS Institutional Holdings Data from Thomson Financial/Spectrum
- WRDS Introduction to CRSP Stock Price Data
- WRDS Locating Historical S&P 500 Constituents
WRDS
WRDS Harvard Subscriptions
To see a list of all databases that WRDS offers see:
http://wrds.wharton.upenn.edu/demo/databaselist.shtml
| Title | Description | Coverage |
|---|---|---|
| Bank Regulatory | The Bank Regulatory Database contains five databases for regulated depository financial institutions. These databases provide 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 filled for supervising purposes. | Varies - most data 1976-2007 |
| Blockholders | This dataset contains standardized data for blockholders for 1,913 companies. | 1996-2001 |
| CBOE Indexes | The 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. | 1986-2007 |
| COMPUSTAT Bank | Financial, statistical and market information on the largest and most important banks in the U.S. Contains a wide range of fundamental and technical data with 20 years and 48 quarters of history. | 1950-Current Year |
| COMPUSTAT Emerging Markets Database (EMDB) | As of January 2003, EMDB tracked 53 stock markets in Asia, Latin America, Eastern Europe, Africa and the Middle East, providing daily, weekly, monthly, quarterly, and yearly data on more than 2,200 stocks by company, industry, country, region, and more. Using a selected sample of stocks in each market, EMDB calculates indices of stock market performance designed to serve as benchmarks consistent across national boundaries. EMDB is unique in offering these analyses from the perspectives of both local investors and foreign investors. | |
| Stock ID Daily Stock Daily Index Monthly Stock Monthly Global Indices Monthly Investable Indices Monthly Market |
Varies - most data 1975-2007 | |
| COMPUSTAT Executive Compensation | Standard and Poor's Execucomp provides executive compensation data collected directly from each company's annual proxy (DEF14A SEC form). Detailed information on salary, bonus, options and stock awards, non-equity incentive plans, pensions and other compensation items are available. | 1992-2008 |
| COMPUSTAT Global | Compustat Global provides financial and market data covering publicly traded companies in more than 80 countries, representing over 90% of the world's market capitalization, including coverage of over 96% of European market capitalization and 88% of Asian market capitalization. Hundreds of data items, ratios and concepts and up to 12 years of annual history is included. Compustat Global consists of four distinct files: Industrial/Commercial; Financial Services; Issue; and Currency. The Currency File contains month-end and average translation rate items and cross-rate tables for designated currencies. The Compustat Global Financial Service file covers financial companies and contains data for Income Statement, Balance Sheet, Flow of Funds, and supplemental data items. The Compustat Global Industrial/Commercial contains data for Income Statement, Balance Sheet, Flow of Funds, and supplemental data items. The Compustat Global Issues file contains stock market related items, including monthly prices, dividends, shares traded, issued capital, and earnings per share. |
|
| Global Fundamentals Annual Global Fundamentals Quarterly Global Security Daily |
1989-2008 | |
| COMPUSTAT North America | Compustat North America is a database of U.S. and Canadian fundamental and market information on more than 30,000 active and inactive publicly held companies. It provides thousands of Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items. It also contains information on indices, industry segments, banks, market prices, dividends, and earnings. | |
| Quarterly Updates Financial Statements Fundamentals Annual Fundamentals Quarterly Security Monthly Index Constituents Index Prices Index Fundamentals Pension Industry Specific Ratings Annual Updates Fundamentals Annual Fundamentals Quarterly Security Monthly Index Constituents Index Prices Index Fundamentals Pension Industry Specific Ratings |
Varies most data 1950-Current Year | |
| COMPUSTAT Other databases |
Segments Index Fundamentals Audit Fees Preliminary History Unrestated Quarterly Point in Time Filings |
1979-2008 1900-Current Year 2000-2007 1987-Current Year 1987-2008 1980-2008 1990-2008 |
| CRSP | The Center for Research in Security Prices (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX, and Nasdaq stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolios, treasury bond and risk-free rates, and mutual fund databases. | |
| CRSP/Compustat Merged- Annual Update Version CRSP/Compustat Merged - Quarterly Update Version |
Varies - most data 1925-2008 | |
| Daily U.S. Treasury Bonds Monthly U.S. Treasury Bonds |
1925-2031 | |
| Daily U.S. Stocks - Annual Update Version Daily US Stocks - Quarterly Update Version Monthly U.S. Stocks - Annual Update Version Monthly U.S. Stocks - Quarterly Update Version |
1925-2008 | |
| Indices: NYSE, AMEX, NASDAQ, and S&P - Annual Update Version Indices NYSE, AMEX, NASDAQ and S&P - Quarterly Update Version |
1925-2008 | |
| Mutual Funds - U.S. and Intl. | Varies- most data 1961-2009 | |
| CRSP/Ziman Real Estate- Includes all REITs that have traded on the NYSE, AMEX and NASDAQ exchanges since 1980. Provides firm-specific information and indices essential to analyses involving this asset class. | 1980-2008 | |
| CSMAR | The China Stock Market & Accounting Research Database offers data on the China stock markets and the financial statements of China's listed companies. Financial Statements (Quarterly, interim, and annual) Stock Market Trading (Daily and monthly, return, shares outstanding) Closed-end Fund and Open-end Fund (NAV, fund holders) | 1990-2008 |
| CUSIP Master Files | The CUSIP Service Bureau, which is operated by Standard & Poor's for the American Bankers Association, exists for the primary purpose of uniquely identifying issuers and issues of financial instruments within a standard framework, and disseminating this data to the financial marketplace via various media. The CUSIP Master Files provide CUSIP numbers, standardized descriptions and additional data attributes for over 5 million corporate, municipal and government securities offered in North America.
CUSIP numbers and standardized descriptions are used by virtually all sectors of the financial industry, and are critical for the accurate and efficient clearance and settlement of securities and other financial instruments as well as back-office processing. The CUSIP number consists of nine characters: a base number of six characters known as the issuer number, (the 4th, 5th and/or 6th position may be alpha or numeric) and a two character suffix (either numeric or alphabetic or both) known as the issue number. The ninth character is a check digit. |
|
| The Corporate Library | The Corporate Library offers annual historical data captures for each proxy year beginning in 2001. Information includes:
Corporate Board Structure and Independence Director Positions and Committee Assignments Executive Compensation Director Compensation Audit Fees Corporate Ownership Takeover Defenses The Corporate Library is a source of comprehensive objective corporate governance, compensation, and critical company information. It contains information on over 4,000 U.S. companies and over 40,000 corporate executives and directors. |
|
| Eventus | 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. | Dependent upon data input |
| DMEF | Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses are available through Direct Marketing Educational Foundation to approved academic researchers for use within academic situations.
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. |
|
| Dow Jones | Dow Jones Industrial, Transportation, and Utility Averages | 1896-2008 |
| Fama French Momentum and Liquidity | Fama-French Research Portfolios and Factors. 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. | 1926-2009 (daily 1963-2009) |
| Federal Deposit Insurance Corporation (FDIC) | FDIC Call Reports - The Federal Deposit Insurance Corporation (FDIC) dataset contains financial data and history of all entities filing the Report of Condition and Income (Call Report) and some savings institutions filing the OTS Thrift Financial Report (TFR). These entities include commercial banks, savings banks, or savings and loans. | 1984-1998 |
| Federal Reserve Bank Reports | The 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 state composite indexes from the Federal Reserve Bank of Philadelphia. | Varies 1919-2009, 1971-2009 |
| FirstCall Historical Database | FCHD contains earnings information dating as far back as 1990, on over 9,700 securities, including:
8,500 U.S. Securities 1,000 Canadian Securities 180 ADR's Thomson Reuters reports that effective December 1, 2008, First Call historical data will no longer be updated or revised. New monthly historical cuts will continue to be appended. |
|
| Global Insight/DRI | Global Insight/DRI databases provide national and sectoral-level information and market indices information | Varies, see below |
| DRI Basic Economics - Annual Time Series | 1925-2008 | |
| DRI Basic Economics - Monthly Time Series | 1946-2008 | |
| DRI Basic Economics - Quarterly Time Series | 1901-2008 | |
| I/B/E/S | IBES Forecasts, Recommendations and Actuals - Individual and Summary: The Institutional Brokers Estimates System (IBES) provides consensus and detailed forecasts from security analysts, including earnings per share, revenue, cash flow, long-term growth projections, and stock recommendations. | Varies - most data 1974-2009 |
| IRI | The IRI Marketing Fact Book contains data on grocery store purchases from a representative sample of static qualifying U.S. panelist households to help make intelligent inferences for strategic planning and decision making. These purchases are continuously tracked across all UPC-coded brand-items in all categories. | 1983-1997 |
| ISSM | The Institute for the Study of Security Markets (ISSM) database contains tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992. Each year of data is divided into two files, one for trades and one for quotes. | 1983-1992 |
| MFLINK | The 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. | |
| NYSE TAQ | The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and Small Cap issues. | 1993-2008 |
| OptionMetrics | OptionMetrics's IvyDB is a comprehensive source of historical price and implied volatility data for the U.S. equity and index options markets. | 1996-September 2008 |
| Penn World Tables | Penn World Tables from the Univ. of Pennsylvania provide national income accounts-type variables converted to international prices. | 1950-2004 |
| Philadelphia Stock Exchange (PHLX) | Currency Options and Implied Volatility: The Philadelphia Stock Exchange's United Currency Options Market (UCOM) offers choice of expiration date, strike (exercise) price, premium payment, and any combination of ten currencies currently available for a total of 100 possible currency pairs. | 1983-1998 |
| RiskMetrics (formerly IRRC) | RiskMetrics (through ISS Governance Services) is a leader in corporate governance data. They deliver to WRDS four datasets identified as: RiskMetrics Group Historical Governance, Historical Directors data, Voting Results data, and Shareholder Proposal data. | Varies - most data 1990-2008 |
| SEC Disclosure of Order Execution | SEC-mandated Disclosure of Order Execution Statistics | 2001-2005 |
| 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. | ||
| Thomson Reuters Ownership Data | The Thomson Financial Ownership databases cover Mutual Funds Holdings (CDA/Spectrum s12) and 13f Institutional Holdings (CDA/Spectrum s34). The Insiders Filings database contains transaction and holdings information filed with the SEC. | Varies - see below |
| Mutual Funds (s12)
- s12type1 Fund Characteristics - s12type2 Stock Characteristics - s12type3 Holdings - s12type4 Change in Holdings |
1980-2008 | |
| Institutional (s34)
- s34type1 Institutional Manager Characteristics - s34type2 Stock Characteristics - s34type3 Stock Holdings - s34type4 Changes in Stock Holdings |
1980-2008 | |
| Insiders | 1986-2009 |