Skip to main content

WRDS (Wharton Research Data Services)

Brown University LibGuide for Financial Datasets

Social Sciences Data Librarian

Bruce Boucek's picture
Bruce Boucek
Contact:
Bruce provides consultations and class sessions on social science research, data acquisition, analysis, visualization, and mapping.
SCHEDULE A CONSULTATION

Rockefeller Library, Rm 103
10 Prospect St., Providence, RI 02912
Office Location
(401) 863-7978
Website

Attribution

Parts of this Library Guide were adapted from Karen Sluzenski's Library Guide for WRDS at Dartmouth Library

Available Datasets

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 comes from the required regulatory forms filed for supervising purposes. 

 

Blockholders

 

This dataset contains standardized data for blockholders of 1,913 companies. The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data. Blockholders' data is reported by firm for the period 1996-2001. 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".

 

Bureau van Dijk

 

Bureau van Dijk is widely recognized as a specialist provider of both public and hard to reach private company information within the academic community.

  • Orbis – Flagship product, information on over 220 million public and private companies worldwide
  • Amadeus - European public and private company information
  • BankFocus - Detailed information on 38,000 banks (28,000 US and 10,000 Non-US)
  • Osiris - Listed and major unlisted/delisted companies globally

 

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. The Vix Index was introduced in 1993 by Professor Robert E. Whaley of Duke University in his paper "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives 1 (Fall 1993), pp. 71-84. Since then, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.

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 - Capital IQ

 

Standard & Poor's COMPUSTAT is a database of financial, statistical, and marketing information. COMPUSTAT provides the annual and quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items on most publicly held companies. COMPUSTAT files also contain information on aggregates, industry segments, banks, market prices, dividends, and earnings.

 

Contributed Data

 

Databases in this section have been contributed to WRDS by various academic researchers and faculty.  Available databases  include Characteristic Returns, Compustat - Marginal Tax Rates Database, Guillen-Capron Shareholder Protections Index, MFLINKS, Peters and Taylor Total Q, Research Quotient, and Roberts Dealscan-Compustat Linking Database.

 

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-based and cap-based portfolios, treasury bond and risk-free rates, mutual funds, and real estate data.

 

DMEF Academic Data

 

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 DMEF to approved academic researchers for use within academic situations.

 

Dow Jones

 

The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite (DJA), as well as The Dow Jones Industrial (DJI), The Dow Jones Transportation (DJT), The Dow Jones Utility (DJU), The Dow 10, and The Dow 5. The Dow Jones Industrial Average, the best known U.S. stock index, and the Dow Jones Transportation Average, the oldest U.S. stock index were created by Charles Henry Dow, co-founder of Dow Jones & Company, and maintained and reviewed by the editors of The Wall Street Journal. Dow Jones Indexes is the source of Dow Jones information and the provider of this data.

The Dow Jones Total Return Indexes are introduced by Dow Jones Indexes as part of the Dow Jones Total Market Index Series. The Total Return Indexes account for reinvested dividends. Data for the Total Return Indexes is available after 1987.

 

Fama French & Liquidity 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. 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).

 

Federal Reserve Bank

 

The Federal Reserve Bank Reports in WRDS contain two databases collected from Federal Reserve Banks:

Foreign Exchange Rates (Federal Reserve Board’s H.10 Report). The WRDS FX database is based upon the Federal Reserve Board’s H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices. WRDS carries all of these FX rates in currency units per U.S. dollar (e.g. yen/$ and a few are also available in “inverted form” (e.g. $/pound).

Interest Rates (Federal Reserve Board’s H.15 Report). The WRDS RATES database is based upon the Federal Reserve Board’s H.15 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.

 

IBES

 

The Institutional Brokers Estimates System (IBES) from Thomas Reuters provides consensus and detail forecasts from security analysts, including earnings per share, revenue, cash flow, long-term growth projections and stock recommendations.

 

MFLINKS

 

The MFLINKS tables provide a reliable means to link CRSP Mutual Fund (MFDB) data that covers mutual fund performance, expenses, and related information to equity holdings data in the Thomson Reuters Mutual Fund Ownership data (formerly known as the CDA S12 data). Using MFLINKS allows a researcher to gather detail on holdings either for particular funds or fund families and groups of funds at specific points in time.

 

Morningstar CISDM

 

Morningstar CISDM Database provides subscribers with qualitative and quantitative information for more than 6,000 hedge funds, funds of funds and CTAs since 1994. The revised new database is a highly valued research tool across the hedge fund and CTA fields.

 

MSRB

 

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

 

OTC Markets

 

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

 

Penn World Tables

 

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

 

Peters and Taylor Total Q

 

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

 

PHLX

 

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.

The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options and 100 currency pairs. On the equity floor, PHLX’s PACE (Philadelphia Automated Communication and Execution) system was one of the first automated equity trading systems on any exchange.

The PHLX’s Semiconductor Sector (SOX) Index Option has become one of the most actively traded sector index options offered by any exchange and serves as a widely quoted benchmark of the high-tech industry. Additionally, the Oil Service Sector (OSX) is the industry’s most successful new sector index option. Furthermore, the PHLX’s Gold/Silver Sector (XAU), KBW Bank Sector (BKX) and Utility Sector (UTY) are established in a highly competitive environment of other indices as leading industry indicators.

In perhaps one of the most important innovations since listed currency options themselves, the PHLX has created a unique market structure for the trading of currency options. Titled the United Currency Options Market (UCOM), it provides unprecedented flexibility and the availability of both standardized and customized currency options. Customized currency options offer 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.

 

Public

 

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.  Our growing collection currently includes:

  • Macro Economics
    • BEA - Bureau of Economic Analysis. WRDS publishes the top series on GDP, Consumer Spending, and other national accounts.
    • BLS - Bureau of Labor Statistics. WRDS publishes the top series from each of the main surveys, including the CPI, PPI, CES, and others.
  • Healthcare
    • HCUP - Healthcare Cost and Utilization Project. WRDS publishes data from the National Inpatient Sample.  It examines individuals as patients, covering information about procedures and diagnoses during hospital inpatient stays and emergency department visits.
    • MEPS - Medical Expenditure Panel Survey. WRDS publishes selected Household tables which examine individuals as consumers, covering insurance coverage, and the use and cost of health services.  WRDS also publishes Insurance tables, covering employers in the private sector and state and local governments on the health insurance coverage offered to their employees.

 

RavenPack News Analytics

 

RavenPack News Analytics (RPNA) provides real-time structured sentiment, relevance and novelty data for entities and events detected in the unstructured text published by reputable content sources. Publishers include Dow Jones Newswires, the Wall Street Journal and over 19,000 other traditional and social media sites. RavenPack News Analytics is used to enhance returns or improve efficiency by quantitative & algorithmic traders, automated market-makers, portfolio managers, risk managers and surveillance analysts. Over 16 years of millisecond time-stamped data is available for backtesting.

 

Research Quotient

 

Analyze and measure the effectiveness of a firm's R&D with Research Quotient (RQ) = percentage increase in revenue from a 1% increase in 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. Works with Compustat.

 

SEC Order Execution

 

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.

 

Thomson Reuters

 

Thomson Reuters is a global provider of data, analysis and information tools offering the most comprehensive range of indispensable, market-leading services and customizable solutions to help clients make better decisions, be more productive and achieve superior financial results. Available datasets include Worldscope, Ownership, and WRDS-Reuters DealScan.

 

TRACE

 

FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It was formed in the summer of 2007 from the NYSE and the NASD.

TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. Bringing transparency to the corporate bond market, it helps create a level playing field for all market participants by providing comprehensive, real-time access to corporate bond price information.

Introduced in July of 2002, 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.

The TRACE Historical Time and Sales data is available through WRDS. The information collected and disseminated for all publicly traded corporate bonds by TRACE includes the time of execution, price, yield, and volume.