Databases in WRDS
|Included with WRDS subscription||Descriptions|
|Bank Regulatory||The Bank Regulatory 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 filled 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.|
|CBOE||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 measures the market's expectation of 30-day volatility. The 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.|
|DMEF||Direct Marketing Educational Foundation: 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), The Dow Jones Industrial (DJI), The Dow Jones Transportation (DJT), The Dow Jones Utility (DJU), the Dow 10, and The Dow 5.|
|Fama French||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, as proxy for value, the ratio of book equity to market equity (BE/ME). Returns from these portfolios are used to construct the Fama-French Factors.|
|FDIC||The Federal Deposit Insurance Corporation 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.|
|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 Coincident State Indexes from the Federal Reserve Bank of Philadelphia.|
|IRI||Information Resources, Inc. (IRI) is the leader in providing point-of-sale information from more than 11,300 grocery stores, as well as some 7,500 drug stores. Please contact firstname.lastname@example.org for access information.|
|OTC||Access 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 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|
|Philadelphia Stock Exchange||The 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.|
|RepRisk||Environmental, social and governance (ESG) issues – environmental, child labor, etc. – can translate into reputational, compliance and financial risks. With increasing global awareness, there is an unprecedented need for the integration of ESG risk analysis and metrics into all aspects of business. Conduct due diligence related to Know-Your-Client procedures and lending, compliance risk, etc.|
|SEC Disclosure of 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.|
|TRACE||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.|
Additional access available to universities holding current licenses to databases from the following data providers:
|Additional Subscription Databases||Descriptions|
|Bureau van Dijk||Bureau van Dijk Electronic Publishing provides an extensive suite of financial databases, including over 20+ million European private and public companies contained in the AMADEUS database.
BANKSCOPE is a database containing financial information on over 30,000 banks worldwide. Up to 16 years of detailed information are available for European banks, North American banks, all Japanese commercial and sogo banks, and over 4,100 other major banks.
ISIS is a comprehensive database of detailed reports on public and private insurance companies around the world. ISIS contains information on 11,700 companies on 150 different countries. Each company report typically contains the following: income statements and balance sheets, ratios, shareholder, and subsidiaries.
OSIRIS is a database containing financial information on globally listed public companies, including banks and insurance firms on 80,000 companies from over 190 countries.
|comScore||The comScore panelist-level database captures detailed browsing and buying behavior by one hundred thousand Internet users across the United States.|
|CRSP||The Center for Research in Security Prices maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NADSAQ stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolio, treasury bond and risk-free rates, and mutual funds, and real estate data.
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.
Unique Historical Indices Databases serve as benchmarks for the investment community, and as a foundation for academic research. Created according to clear, unbiased and systematic processes, these indexes undergo rigorous procedures to promote data accuracy, timeliness and consistency. Each CRSP index is offered as a series that contains decile subsets for market analysis.
CRSP Indices database contains five groups of CRSP indices: the CRSP Stock File Indices, the CRSP Cap-Based Portfolios, the CRSP Indices for the S&P 500 Universe, the CRSP Treasury and Inflation (CTI) Indices, and the CRSP Select Treasury Indices.
CRSP US Index History, generated by the investable CRSP Indexes, provides additional market data for scholarly research. The introductory time series provides the base for future product expansion, including additional index data as well as index holdings, Intraday, and end-of-day security data. - See more at: http://www.whartonwrds.com/archive-pages/our-datasets/crsp/#sthash.7HkKAhGW.dpufCRSP U.S. Intraday Index History, generated by the investable CRSP Indexes, provides additional market data for scholarly research. The introductory time series provides the base for future product expansion, including additional index data as well as index holdings, Intraday, and end-of-day security data.
generated by the investable CRSP Indexes, provides additional market data for scholarly research. The introductory time series provides the base for future product expansion, including additional index data as well as index holdings, Intraday, and end-of-day security data - See more at: http://www.whartonwrds.com/archive-pages/our-datasets/crsp/#sthash.7HkKAhGW.dpufCRSP US Treasury and Inflation Series contain returns and index levels on the US Government Bond Fixed Term Index Series, and the Risk Free Rates File. The US Treasury database begins in 1925 for month-end data and in 1961 for daily data. Over 1.6 million end-of-day price observations for 3,350 US Treasury bills, notes, and bonds and over 101,500 prices for 5,300 month-end issues are included in the databases.
Mutual Funds: As the provider of the only complete database of both active and inactive mutual funds, CRSP leads the way in mutual fund research. The CRSP Survivor-Bias-Free US Mutual Fund Database serves as a foundation for research in and benchmarking for this asset class. Central to this work is the use of survivor-bias-free data to insure the accuracy of performance benchmarks, and the validity of analyses. Created according to clear, unbiased and systematic processes, this database undergoes rigorous procedures employed to promote data accuracy, timeliness and consistency.
The CRSP Survivor-Bias-Free US Mutual Fund Database was initially developed by Mark M. Carhart of Goldman Sachs Asset Management for his 1995 dissertation (Chicago GSB) entitled, “Survivor Bias and Persistence in Mutual Fund Performance”, to fill a need for lacking survivor-bias-free data coverage.
CRSP/COMPUSTAT Merged Database allows for concurrent database access to CRSP’s stock data and Compustat’s fundamental data. The CRSP Link accurately maps complex, many-to-many relationships over time between CRSP’s unique permanent identifiers (PERMNO and PERMCO), and Compustat’s unique permanent identifier (GVKEY). This link permits the seamless time series examination of CRSP and of Compustat companies and securities side by side, regardless of CUSIP or ticker changes. CRSPLink is a product and is trademarked by CRSP.
CRSP/Ziman Real Estate Data Series represents a collaborative effort between the Richard S. Ziman Center for Real Estate at the UCLA Anderson School of Management and The Center for Research in Security Prices at the University of Chicago. The REIT data series is a unique research resource whose development merges CRSP experience in academic-quality financial database and indices creation with the Ziman Center’s expertise in markets and the collection of real estate data.
|CSMAR||The CSMAR Database System encompasses data on the China stock market and the financial statements of China's listed companies. There are several databases: Trading, Financial Statement, Trade and Quote, Mutual Fund, IPO, Event Dates.
|CUSIP||Provides CUSIP numbers, standardized descriptions and additional data attributes for over 5 million corporate, municipal and government securities offered in North America.|
|Eventus||Eventus Software performs event studies that compute abnormal returns for specific corporate actions or events using data directly from the CRSP stock database.|
FactSet Fundamentals is a comprehensive global database, providing users with a firm foundation for financial analysis. In April 2008, FactSet won the right to purchase a copy of the Thomson Worldscope Database. As of May 2010, FactSet Fundamentals has been solely collected by FactSet. When first acquired from Thomson, Fundamentals data had over 43,000 companies and history back to 1980. FactSet has added over 2,000 new dually listed securities and adding nearly 9,700 new securities to the database on a net basis
FactSet Revere uncovers the complex network of companies in the world economy, allowing one to better understand the risk factors that affect a company's performance. Included: Industry Classification, Supply Chain Relationships, and Georgraphic Revenue Exposure.
|Global Insight||Global Insight/DRI databases provide data on national income accounts, balance of payments, foreign debt, exchange rates, money supply and employment - among other national level categories. They provide data on the IMF series and the OCDE series as well.|
MI Ratings offers access to annual corporate governance datasets from 2001 through 2012. The datasets provide proxy data captured through June 30th of each year on over 3,000 US companies and contain approximately 225 unique data points. The data is easily accessible from the WRDS platform, or, if you’d prefer, can be delivered directly by us - See more at: http://whartonwrds.com/archive-pages/our-datasets/the-corporate-library/#sthash.Pk99sfCB.dpuf
GMI Ratings offers access to annual corporate governance datasets from 2001 through 2012. The datasets provide proxy data captured through June 30th of each year on over 3,000 US companies and contain approximately 225 unique data points.
|GOVPX||The GovPX Treasury Benchmark prices are for all active and off-the-run Treasury issues. Data includes high, low, open, work-ups, volume, and more.|
|GSIOnline||The Mergers and Acquisitions (M&A) Database from GSIOnline covers change in control transactions, as well as, significant acquisitions or sale of assets, equity, subsidiaries or business divisions.|
|Hedge Fund Research (HFR)||
The most comprehensive resource available for hedge fund investors includes fund-level detail on historical performance and assets, as well as firm characteristics on both the broadest and most influential hedge fund managers.
|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.|
|IVES AuditAnalytics and OIA||Access detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies. Know who is auditing whom and how much they are paying for what services. Create reports by auditor, fees, location, industry.|
|KLD||KLD Research & Analytics, Inc. (KLD) is the leading authority on social research for institutional investors. To meet the needs of social investors, KLD provides research, benchmarks, compliance, and consulting services analogous to those provided by financial research service firms. KLD has been providing research products and services to the financial services market since 1988. Featuring the largest corporate social research staff in the world, KLD produces high-quality consistent research that institutions have come to rely on.|
|Markit||Gain insight into the market of security lending — valuable tool for understanding market efficiency and limits to arbitrage with Securities Finance Data. Global credit default swap indices covering loans, corporate,municipal and sovereign debt across Europe, Asia, North America and Emerging Markets are provided by Credit Indices. Since the early days of credit derivatives, Markit has been the leading
provider of CDS data for price discovery, risk and valuations, offering streaming, snapped, or end-of-day price updates. Markit collects and analyzes millions of data points daily to produce one independent and reliable data point for each credit. Markit RED is the central source of CDS reference data; enabling counterparties to rapidly agree on transactions and to have confidence in the integrity of the underlying reference data. For pricing and subscription information, please contact Stephen King, email@example.com
|Mergent FISD/NAIC||The Fixed Income Securities Database for academia is considered the most comprehensive collection of publicly-offered U.S. Corporate bond data.|
|MFLinks||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. Please contact firstname.lastname@example.org for additional information.|
Tracking qualitative and quantitative information for more than 5000 hedge funds, funds of funds and CTAs since 1994, the Morningstar CISDM Database is highly recognized as a research tool by academics in their studies and in articles related to the hedge fund and CTA industries.
|NASTRAQ||The NASDAQ Trade And Quote database provides intraday trades and quotes for all NASDAQ stocks.|
|NYSE TAQ||The Trade and Quote 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. Both Monthly TAQ (whole-second level) and Daily TAQ (millisecond level) are available for access through WRDS.|
|OptionMetrics||OptionMetrics' IvyDB is a comprehensive source of historical price and implied volatility data for the US equity and index options markets.|
|PACAP||PACAP Databases contain extensive company information from 8 Pacific Rim countries (Hong Kong, Indonesia, Japan, Korea, Malaysia, Singapore, Thailand, Taiwan). Data items include daily security prices and returns, capital distributions, financial statements, market indices and returns, and economic statistics.|
|Riskmetrics/ISS||Riskmetrics provides independent research and data covering Corporate Governance, proxy voting and corporate responsibility issues.
Riskmetrics’ Directors Dataset details the structure and practices of boards of directors for around 1,500 of the largest companies publicly traded in the U.S.
|S&P Capital IQ||
COMPUSTAT (from Standard & Poor's) provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items on more than 24,000 publicly held companies. The COMPUSTAT databases on WRDS include Industrial, Full Coverage, Research; Prices, Dividends & Earnings; Segments; Bank; Canadian; Global Vantage; and EXECUCOMP.
S&P Capital IQ’s Compustat North America is a database of U.S. and Canadian fundamental and market information on active and inactive publicly held companies. It provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data item.
S&P Capital IQ’s Compustat Global is a database of non-U.S. and non-Canadian fundamental and market information on more than 33,900 active and inactive publicly held companies with annual data history from 1987. Compustat Global is a database of non-U.S.data is unique in that it is normalized to provide comparability across a wide variety of global accounting standards and practices.
S&P Capital IQ’s Compustat Snapshot extends the scope of historical analysis and backtesting models with annual and quarterly data, preliminary source updates and final source updates. The database provides historically reported preliminary and final data known for annual and quarterly, while retaining original values and all succeeding changes. These data identify and manage changes at the data element level, and tracks all changes on a daily basis, for all of S&P Capital IQ’s Compustat accounting and identifying information. WRDS enables users to extract any quarterly or annual snapshot of the data, at any point-in-time frequency, in a very easy and intuitive interface.
S&P Capital IQ’s Emerging Markets Data Base (EMDB) serves as a vital statistical resource for the international financial community. With information collected since 1975, EMDB was the first database to track emerging stock markets. EMDB has since earned recognition as the world’s premier source for reliable and comprehensive information and statistics on stock markets in developing countries. 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.
S&P Capital IQ’s Credit Ratings on Xpressfeed: Tap into one of the industry’s largest databases of current and historical credit ratings to enhance your research and analysis. Extract large amounts of data across companies and different periodicities.
S&P Capital IQ’s Capital Structure provides extensive debt capital structure for over 60,000 global public and private companies and equity capital structure data on over80,000 active and inactive companies worldwide.
S&P Capital IQ’s Key Developments provide structured summaries of material news and events that may affect the market value of securities. It monitors over 100 Key Development types including executive changes, M&A rumors, changes in corporate guidance, delayed filings, SEC inquiries, and many more. Each Key Development item includes announced date, entered date, modified date, headline, situation summary, type, source, company role, and other identifiers.
S&P Capital IQ’s People Intelligence covers over 4.5 million professionals and over 2.4 million people including private and public company executives, board members, and investment professionals, globally. Each professional in the S&P Capital IQ database has a distinct profile that can include contact details, biography, education, job functions and titles, board memberships, compensation, insider activity, and options holdings.
The Thomson Reuters 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. DealScan contains information on the global commercial loan market.
|WRDS Quant Alpha||Developed by a team of Ph.D. researchers at WRDS, Quant Alpha is specifically designed to provide a robust integration between cutting-edge academic research and practical fundamental and quantitative equity trading. Quant Alpha provides a valuable tool for investors testing new sources of alpha. Leveraging the power of the academic research community, Quant Alpha is the next level of analysis for testing new strategies|
|WRDS SEC Analytics Suite||
The WRDS SEC Analytics Suite simplifies research by allowing you to quickly and easily develop tailored datasets from all SEC filings, parsing millions of regulatory reports based on your custom criteria. WRDS SEC Analytics Suite is positioned for broad business usage from due diligence and forensic accounting to disclosure research and investment management. Through our robust web interface, the WRDS SEC Analytics Suite provides effortless retrieval and export customized subsets of the most common filing reports. Advanced data-mining is supported within our programming interface – with supplied sample programs that can be easily modified allowing you to parse and extract any entity that reported to the SEC’s EDGAR database since 1994.
|Zack's Investment Research||
Zacks Investment Research, based in Chicago, Ill., has been a leading provider of research, market data, and quantitative models to institutional investment management firms in the US and Canada for over 30 years. Recognized for quality, consistency and reliability, Zacks provides institutional and individual investors with the analytical tools and financial information necessary to the success of their investment process. Founded in 1978, Zacks' early contribution to investment analysis was the discovery that earnings per share estimate revisions are the most powerful force affecting stock prices. This discovery is built into the Zacks Rank proprietary methodology for predicting stock price performance. The Zacks Rank has produced average annual returns in excess of 28% since 1988. The premier source of analysts' earnings forecasts, today Zacks produces data feeds for estimates, ratings, earnings report data, fundamental data, and institutional holdings for US and Canadian traded equities, as well as investment research reports and research software tools for investors.