Wharton Research Data Services (WRDS) provides access to important datasets in the fields of finance, accounting, banking, economics, management, marketing and public policy. WRDS is available to any who are affiliated with IU through the Bloomington campus, although first time users will need to register for an account using the link on the WRDS site. The following is a list of datasets that are currently available:
Audit Analytics
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, and industry. We subscribe to the following datasets within Audit Analytics:
Audit and Compliance:
Auditors, Current Auditors, Auditor Changes
Audit Fees, Audit Fees with Restatements
Audit Opinions, Revised Audit Opinions
Benefit Plan Opinions
Non-reliance Restatements
Sox 302 Disclosure Controls
Sox 404 Internal Controls
Accelerated Filer
Director and Officer Changes
Non-timely Filer Information and Analysis
Corporate and Legal:
Legal Case and Legal Parties
Mergers and Acquisitions
IPO
Bankruptcy Notification
Comment Letter,Comment Letter Conversations, Comment Threading
Transfer Agents
Tax Footnotes
Shareholder Activism
Form D, Form D Most Recent Report
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. We subscribe to the following datasets within Bank Regulatory:
Bank Holding Companies
FDIC/OTS Deposits
Merger Information
Commercial Banks:
Balance Sheet Data,Income Statement,Off-Balance Sheet Items
Risk-Based Capital
RCFD Series, RCFN Series, RCON Series, RIAD Series
Other Variables
Beta Suite by WRDS
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 flexibly in mind, capable of handling monthly, weekly and daily rolling regression on common set of market risk factors.
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.
Bureau van Dijk Orbis
Orbis has information on around 300 million private and public companies from more than 200 countries and territories, among them, more than 99% are private companies. In Orbis, users get up to 10 years of history of company information. For longer history, users will need to contact BvD for the access to Orbis Historical data, which go back 15 to 20 years in history. BvD's contact information is listed under WRDS web -> Support -> Vendor Support & Contact -> BvD.
Financials for Industrial Companies
Financials for Banks
Financials for Insurance Companies
Interim Financials for Industrial Companies
Interim Financials for Banks
All Current Shareholders First Level
All Subsidiaries First Level
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 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.
COMPUSTAT - Capital IQ from Standard & Poor's
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. We subscribe to the following datasets within COMPUSTAT:
COMPUSTAT :
North America - Daily
Global - Daily
Bank - Daily
Historical Segments - Daily
Snapshot - Monthly Updates
Execucomp - Monthly Updates
Other COMPUSTAT:
North America - Annual Updates
Marginal Tax Rates
Legacy COMPUSTAT:
Legacy - North America FTP
Legacy - Global FTP
Tools:
Complete Financial Statements (XLS)
CUSIP Converter
Data and Ratios (XLS)
Financial Statements - Daily Updated (HTML)
Contributed Data
Databases in this section have been contributed to WRDS by various academic researchers and faculty. Note that some databases in this section may require a separate subscription in order to access the data; if so, this will be indicated on the query page.
Characteristic Returns
China Factors
Compustat - Marginal Tax Rates Database
DealScan Lender Link Tables
Forced CEO Turnover
GGL Measures of Common Ownership
Guillen-Capron Shareholder Protections Index
Long-term Investor Value Appropriation (LIVA)
MFLINKS
Peters and Taylor Total Q
Roberts Dealscan-Compustat Linking Database
Shale Well Data
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 Nasdaq stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolio, treasury bond and risk-free rates, and mutual fund databases. We subscribe to the following datasets within CRSP:
Annual Update:
Stock / Security Files
Stock / Events
Stock / Portfolio Assignments
Index / Stock File Indexes
Index / Cap-Based Portfolios
Index / S&P 500 Indexes
Index / Treasury and Inflation
Index / CRSP Select Series
CRSP/ Compustat Merged
Treasuries
Treasury / Daily (Legacy)
Treasury / Monthly (Legacy)
Tools
Quarterly Update:
Mutual Funds
Tools
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. We subscribe to the following datasets within DMEF:
Multi-Division Catalog
Non-Profit Organization
Reproduction Catalog
Specialty Catalog
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. Dow Jones Indexes is the source of Dow Jones information and the provider of this data. We subscribe to the following data sets within Dow Jones:
Dow Jones Daily
Dow Jones Monthly
Efficient Frontier by WRDS
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.
ETF Global
Exchange-traded funds — pursue return, manage risk, utilize investment analysis, and generate investment ideas on 2,100 products and $3.4 Trillion U.S. listed ETF assets. We subscribe to the following datasets within ETF Global:
Industry
Analytics
Constituents
Fund Flow
Event Study by WRDS
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 event occurred. We subscribe to the following data sets in Event Study:
US Daily Event Study: Upload your own events
International Event Study(Compustat Global): Upload your own events
International Global Study: Upload your own events
Intraday Second-by-Second Event Study: Upload your own events
Intraday Second-by-Second Event Study: Events from RavenPack
Long Run Event Study: Upload your own events
Event Study by WRDS(Sample Data):
US Daily Event Study: Events from Capital IQ (Sample Data)
International Event Study (Global Insight): Events from Capital IQ (Sample Data)
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. We subscribe to the following datasets within Eventus:
Basic Event Study:
Daily
Monthly
Daily - with Fama French
Monthly - with Fama French
Volume Event Study:
Volume Event Study - Daily
Volume Event Study - Monthly
Cross-Sectional Analysis:
Cross-Sectional - Daily
Cross-Sectional - Monthly
Event Parameters Approach:
Event Parameters Approach
Eventus Alternative:
Calendar-time - Daily
Calendar-time - Monthly
Calendar-time with Fama French - Daily
Calendar-time with Fama French - Monthly
Ibbotson RATS - Daily
Ibbotson RATS - Monthly
Ibbotson RATS with Fama French - Daily
Ibbotson RATS with Fama French - Monthly
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, 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. We subscribe to the following datasets within Fama-French & Liquidity Factors:
Fama-French Portfolios:
Factors - Daily Frequency
Factors - Monthly Frequency
2x3 Research Portfolios
5x5 Research Portfolios
Research Portfolios: Charts
Liquidity Factors:
Pastor-Stambaugh
Sadka
China Factors
Federal Judicial Center
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 present. We subscribe to the following datasets within Federal Judicial Center:
Litigation:
Appeals
Bankruptcy
Civil
Criminal
WRDS Linking:
FJC Compustat-CIK Link: Bankruptcy
FJC Compustat-CIK Link: Civil
FJC Compustat-CIK Link: Criminal
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. We subscribe to the following datasets within Federal Reserve Bank Reports:
Foreign Exchange Rates:
Charts
Data
Interest Rates:
Charts
Data
Financial Ratios Suite by WRDS
WRDS Financial Ratio is a latest addition to the WRDS analytics platform. It’s 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). Researchers can easily obtain both firm-level and industry-level ratios through point-and-click on the web query. This product can be used by researchers as a convenient tool to obtain firm-level and/or industry-level ratios as characteristics for controls in empirical research. We subscribe to the following datasets within Financial Ratios Suite by WRDS:
Financial Ratios Industry Level
Financial Ratios Firm Level
IBES from Thomson Reuters
The Institutional Brokers Estimates System provides consensus and detail forecasts from security analysts, including earnings per share, revenue, cash flow, long-term growth projections and stock recommendations. We subscribe to the following datasets within IBES Reuters:
IBES Academic:
Detail History
Summary History
Unadjusted Detail
Unadjusted Summary
Recommendations
Information
IHS Global Insight
IHS Global Insight offers the most comprehensive economic coverage of countries, regions and industries available from any source --complimented by 225+ analysts, covering 120+ industries and 200 countries. We subscribe to the following datasets within IHS Global Insight:
IHS Global Insight All Data Banks:
Series Attributes
Series Data
Insitutional Shareholder Services (ISS)
ISS’ special focus and commitment to meeting the needs of academics involves several key governance datasets, proprietary analytics, and expertise to help uncover risks and understand the key issues in the areas of board, audit, compensation, shareholder rights, and more. We subscribe to the following datasets within ISS:
Incentive Lab:
Company Data by Fiscal Year
Participant Data by Fiscal Year
Summary Compensation Table
Grants of Plan-Based Awards Table
Absolute Performance Goals Data
Relative Performance Goals Data
Peer Data for Relative Performance Goals
Accelerated Performance Goals Data
Peer Data for Accelerated Performance Goals
Outstanding Equity at Fiscal Year-End Table
Stock - Outstanding Equity at Fiscal Year-End Table
Option Exercises and Stock Vested Table
Director Annual Compensation Table
Beneficial Ownership Data
BlockHolder Ownership Data
Peer Data for Benchmark Compensation Comparisons
Holding Requirements/Stock Ownership Guidelines Data
Compensation Consultant Data
Incentive Lab - Europe:
Company Data by Fiscal Year
Participant Data by Fiscal Year
Summary Compensation Table
Grants of Plan-Based Awards Table
Absolute Performance Goals Data
Relative Performance Goals Data
Peer Data for Relative Performance Goals
Peer Data for Benchmark Compensation Comparisons
Holding Requirements/Stock Ownership Guidelines Data
Compensation Consultant Data
Directors:
Directors
Directors Legacy
Governance:
Governance
Governance Legacy
Intraday Indicators by WRDS
The WRDS Intraday Database contains daily stock market indicators obtained from NYSE TAQ data. WRDS SEC MIDAS contains the Individual Security Metrics published by SEC MIDAS. The Individual Security Metrics provides market trading metrics for over 8,300 securities (stocks and exchange-traded portfolios). We subscribe to the following data sets within Intraday Indicators by WRDS :
Intraday Indicators by WRDS
Millisecond Intraday Indicators by WRDS
WRDS SEC MIDAS
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. We subscribe to the following datasets within IRI:
Marketing Fact Book
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. We subscribe to the following datasets within ISSM:
Consolidated Quotes
Consolidated Trades
Linking Suite by WRDS
The WRDS Linking Suite allows users to easily download link table between various heavily used databases on WRDS platform. We subscribe to the following data sets within Linking Suite:
Compustat CRSP Link
Supply Chain with IDs (Compustat Segment)
IBES CRSP Link
TAQ CRSP Link
Daily TAQ CRSP Link
Bond CRSP Link
BoardEx CRSP Compustat Link
FJC Compustat-CIK Link: Bankruptcy
FJC Compustat-CIK Link: Civil
FJC Compustat-CIK Link: Criminal
Macro Finance Society
The Macro Finance Society curates a list of datasets from several influential papers broadly in the area of macro finance. We subscribe to the following data sets within Macro Finance Society:
Commodity Trade and Currency Returns
Q Factors
Uncertainty
Cay Data
Roberts Dealscan-Compustat Linking Database
Mergent FISD
Mergent Fixed Income Securities Database (FISD) for academia is a comprehensive database of publicly offered U.S. bonds. FISD contains issue details on over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items.
Bond Issuers
Bond Issues
Bond Ratings
Bond Redemption
Time Sales Data
MFLINKS
Mutual Funds Links (MFLINKS) tables provides 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. We subscribe to the following datasets within Mutual Fund Links:
CRSP_FUNDNO - WFICN
FUNDNO - WFICN
MSCI (formerly KLD and GMI)
This corporate governance historical dataset (formerly GMI Ratings) is updated annually and contains approximately 225 unique data points organized into four primary categoriesfor approximately 3,000 US companies:
- Companies
- Directors
- CEO Compensation
- Takeover defenses
We subscribe to the following datasets in MSCI:
MSCI ESG KLD STATS
MSCI GMI Ratings
MSRB - Municipal Securities Rulemaking Board
As the primary regulator of the $3.7 trillion municipal security market, the 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. We subscribe to the following datasets within MSRB:
Municipal Securities Transaction Data
OTC Markets
OTC Markets Group provides trade information and analysis for 10,000 U.S. and global securities traded over-the-counter. We subscribe to the following datasets within OTC Markets:
End-of-Day Pricing
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. We subscribe to the following datasets within Penn World Tables:
Penn World Tables 7.1:
Data
Charts
National Accounts:
Data
Charts
Peters and Taylor Total Q
Extract data on firms’ “Total q” ratio and the replacement cost of firms’ intangible capital. Total q is an improved Tobin’s q proxy that includes intangible capital in the denominator, i.e., in the replacement cost of firms’ capital.
PHLX
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. We subscribe to the following datasets within PHLX:
Currency Options
Implied Volatility
Public Data
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. We subscribe to the following datasets within Public Data:
WRDS SEC MIDAS
Bureau of Economic Analysis:
Annual Data
Quarterly Data
Bureau of Labor Statistics:
BLS Time Series Data
NYC Yellow Taxi Trips
NYC Yellow Taxi Trips 2014
NYC Yellow Taxi Trips 2015
Healthcare:
HCUP Diagnoses
HCUP Procedures
MEPS Expenditures by Healthcare Service
MEPS Insurance National Tables
MEPS Expenditures by Medical Condition
MEPS Top Prescribed Drugs
MEPS Expenditures per Event by Health Care Service
MEPS Expenditures per Event by Length of Hospital Stay
MEPS Top Therapeutic Drug Classes
RavenPack News Analytics
RavenPack analyzes the unstructured content from thousands of publications to extract information on named entities and financially relevant events in the public eye. We subscribe to the following datasets within RavenPack News Analytics:
Global Macro:
Full Edition
Dow Jones Edition
PR Edition
Web Edition
Equities:
Full Edition
Dow Jones Edition
PR Edition
Web Edition
Mapping Files:
Entity Mapping File
Source List
Taxonomy File
Research Quotient
Research Quotient = 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.
SEC Disclosure of Order Execution
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.
TAQ (NYSE Trade and Quote)
The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), the Nasdaq National Market System (NMS), and all other U.S. equity exchanges. We subscribe to the following data sets within TAQ:
Trade and Quote:
Consolidated Quotes
Consolidated Trades
Reg SHO (NYSE Short Sales)
TAQ Tools
Millisecond Trade and Quote:
Consolidated Quotes
Consolidated Trades
TAQ Millisecond Tools
Thomson Reuters
We subscribe to the following datasets in the Thomson Reuters suite:
Mutual Fund Holdings - (s12)
s12 Master File
Type 1: Fund Characteristics
Type 2: Stock Characteristics
Type 3: Stock Holdings
Type 4: Change in Holdings
Institutional (13f) Holdings - s34
S34 Master File
Type 1: Manager
Type 2: Stock Characteristics
Type 3: Stock Holdings
Type 4: Change in Holdings
Insiders Data
Amendmenst Concordance
Average Returns
Form 144
Rule 10b5
Table 1
Table 2
WRDS-Reuters DealScan
Company
Facility
Package
Current Facility Pricing
Lenders
Roberts Dealscan-Compustat Linking Database
DealScan Lender Link Tables
WRDS TR Tools
WRDS Thomson Stock Ownership
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. We subscribe to the following datasets within TRACE:
OTC Corporate Bond and Agency Debt Bond Transaction Data
Bond Trades (BTDS)
Bond Trades (ATDS)
Bond Trades (BTDS 144A)
Bond Trades (SPDS - TBA)
Bond Trades (SPDS - ABS)
Bond Trades (SPDS - CMO)
Bond Trades (SPDS - MBS)
Bond Trades (SPDS 144A - ABS)
Bond Trades (SPDS 144A - CMO)
Daily Trade Summary (BTDS)
Daily Trade Summary (ATDS)
Daily Trade Summary (BTDS-144A)
Daily Trade Summary (SPDS -TBA)
Daily Trade Summary (SPDS-ABS)
Daily Trade Summary (SPDS-CMO)
Daily Trade Summary (Securitized Products-MBS)
Daily Trade Summary (SPDS 144A - ABS)
Daily Trade Summary (SPDS 144A - CMO)
Master File - Corporate and Agency Debt
Master File - ABS
Master File - CMO
Master File - MBS
Master File - T
Trace Enhanced
Bond Trades
World Indices by WRDS
Country total return indices (with dividends). 40+ countries. Daily and monthly frequencies. We subscribe to the following datasets within World Indices by WRDS:
Daily WRDS World Indices
Monthly WRDS World Indices
WRDS World Index Constituents
WRDS Bond Returns
The WRDS Bond Database 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. The chart illustrates the comprehensive database coverage of all traded corporate bond issues over time. We Subscribe to the following datasets within WRDS Bond Returns:
WRDS Bond Returns
Bond CRSP Link
WRDS Factors
WRDS Factors provides researchers a centralized platform aggregating the commonly used equity signals for the U.S. market. Test the historical performance of common asset pricing signals using:.Over 100 different quant signals; or upload your own customized quant signal file. We Subscribe to the following datasets within WRDS Factors:
WRDS Factors (Backtester)
WRDS Factors (Backtester) with User Signals
WRDS SEC Analytics Suite
Search through the contents of millions of SEC filings. Access Readability and Sentiment scores and Linking Tables. We Subscribe to the following datasets within WRDS SEC Analytics Suite:
WRDS SEC Filings Index Data
SEC Filings Index
SEC Filings on WRDS
WRDS SEC Filings Queries
Readability and Sentiment
SEC Filings Search
List of Filings Exhibits
List of 8K Items
WRDS SEC Linking Tables
Historical Company Names
CIK-CUSIP Link Table
GVKEY-CIK Link Table
WRDS SEC 13F Holdings Data
WRDS SEC Analytics Suite - 13F Holdings Data
WRDS SEC Analytics Suite - 13F Summary Data
WRDS SEC Text Analysis
WRDS Bag of Words
WRDS Thomson Reuters Institutional (13f) Holdings - Stock Ownership Summary
A WRDS tool to aggregate Thomson-Reuters Institutional Ownership data at the security level. This tool uses Thomson-Reuters S34 data. We subscribe to the following datasets within WRDS Thomson Reuters Institutional (13f) Holdings - Stock Ownership Summary:
WRDS Thomson Reuters Stock Ownership
WRDS Insiders Data
Develop tailored datasets from all SEC filings, parsing millions of regulatory reports. WRDS SEC Analytics Suite with SEC Readability and Sentiment data is positioned for broad business usage – from due diligence and forensic accounting to disclosure research and investment management. We subscribe to the following datasets within WRDS Insiders Data:
Filing Data
Reporting Owners
Derivatives
Non-Derivatives
Footnotes
Location: