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 be need to register for an account using the link on the WRDS site. There is also a dedicated terminal in the Business/SPEA Information Commons. 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
     Bankruptcy Notification
     Comment Letter,Comment Letter Conversations, Comment Threading
     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

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 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 Monthly Updates:
     North America
     Historical Segments

     COMPUSTAT Quarterly Updates:

     Other COMPUSTAT:
     North America - Annual Updates
     Marginal Tax Rates

     Legacy COMPUSTAT:
     Legacy - North America FTP
     Legacy - Global FTP

     Complete Financial Statements (XLS)
     CUSIP Converter
     Data and Ratios (XLS)
     Financial Statements - Monthly Updated (HTML)

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
     Treasury / Daily (Legacy)
     Treasury / Monthly (Legacy)

     Quarterly Update:
     Mutual Funds

CUSIP Master File
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.

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
Covers the Dow Jones Averages and the Dow Jones Total Return Indexes. The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite, as well as The Dow Jones Industrial, The Dow Jones Transportation, The Dow Jones Utility, the The Dow 10, and The Dow 5. The Total Return Indexes account for reinvested dividends, and, like all Dow Jones Total Market Indexes, cover 95% of the underlying market. 

Efficient Frontier by WRDS

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. Some examples include: earnings announcements, M&As, new capital issues, and announcements of macroeconomic variables (unemployment or trade deficit), measure impact on the value of a firm resulting from a change in the regulatory environment, or to assess the damages. We subscribe to the following datasets within Event Study by WRDS:

   U.S. Daily Event Study: Upload your own events
   International Event Study (Compustat Global): Upload your own events
   International Event Study (Global Insight): Upload your own events
   Intraday Second-by-Second Event Study: Upload your own events
   Intraday Second-by-Second Event Study: Events from RavenPack

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 - 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

   Eventus Alternative:
   Calendar-time - Daily
   Calendar-time with Fama French - Daily
   Calendar-time - Monthly
   Calendar-time with Fama French - Monthly
   Ibbotson RATS - Daily
   Ibbotson RATS with Fama French - Daily
   Ibbotson RATS - Monthly
   Ibbotson RATS with Fama French - Monthly

Fama French Portfolios and Liquidity Factors
Web queries for the Fama-French factors and portfolios, momentum factors, as well as Pastor-Stambaugh Liquidity Factors.  We subscribe to the following datasets within Fama French Portfolios and Liquidity Factors:

   Fama French Portfolios:
   Factors - Daily Frequency
   Factors - Monthly Frequency
   2x3 Research Portfolios
   5x5 Research Porfolios
   Research Portfolios: Charts

   Liquidity Factors:
   Pastor Stambaugh

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:

   Interest Rates:

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

The Registrations & Prospectus Database from GSIOnline covers registration statements (and associated Prospectus if any) by companies making offerings of securities to the public. We subscribe to the following datasets within GSIOnline:

   IPO Demo:

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

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:

   Directors Legacy

   Governance Legacy

Intraday Indicators by WRDS
The WRDS Intraday Database contains daily stock market indicators obtained from NYSE TAQ data. At daily frequency, it provides, per stock, variables such as : 

  • Volume (before opening, during trading hours and after closing),
  • Returns during market hours,
  • Lee-Ready buy/sell trade volume,
  • Variance ratios,
  • Lambda (price impact coefficient).
  • Spreads,
  • Intraday volatility,
  • Value weighted average price, etc.

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

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

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:


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: 

  1. Companies
  2. Directors
  3. CEO Compensation
  4. Takeover defenses 

We subscribe to the following datasets in MSCI:

     Social Ratings (full)

     MSCI GMI Ratings:
     CEO New Disclosures
     Takeover Defenses

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:

   National Accounts:

Peters and Taylor Total Q
Extract data on firms’ “Total q” ratio and the replacement cost of firms’ intangible capital.
• Total q = improved Tobin’s q proxy that includes intangible capital in the denominator
• Compustat firms, 1950 – 2015

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:

   NYC Yellow Taxi Trips 2014
   NYC Yellow Taxi Trips 2015

   Bureau of Economic Analysis:
   Annual Data
   Quarterly Data

   Bureau of Labor Statistics:
   BLS Time Series Data

   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:

   Full Edition
   Dow Jones Edition
   PR Edition
   Web Edition

   Global Macro:
   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.

SAS Visual Analytics
SAS Visual Analytics provides a complete platform for analytics visualization, enabling you to identify patterns and relationships in data that weren’t initially evident. Interactive, self-service business intelligence and reporting capabilities are combined with out-of-the-box advanced analytics.

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.

Thomson Financial


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.  We subscribe to the following datasets within Thomson Financial: 
     tfn.13f  Institutional Managers (13f) Holdings
     tfn.insiderdata  Insiders Filing Data
     tfn.mutualfunds  Mutual Funds Holdings


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: