WRDS Datasets - Baylor University Libraries - WRDS datasets

Datasets (alphabetically)

Audit Analytics

Provides detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies. Know auditing details and fees paid for specific services. Create reports by auditor, fees, location, and industry.

AMADEUS (Bureau van Dijk)

Amadeus contains comprehensive information on around 21 million companies across Europe. You can use it to research individual companies, search for companies with specific profiles and for analysis.

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. Please see the Federal Reserve Bank of Chicago website for more information.

Beta Suite

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

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".

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.

Compustat/Capital IQ

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 items. The Compustat/ Capital IQ subscription also includes Snapshot data.

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, mutual funds, and real estate data.

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.

DMEF Academic Data

Comprised of 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.

WRDS Efficient Frontier (Beta)

Event Study by WRDS This database is hidden to public vie

A simulation model that measures the estimated impact on the value of a firm resulting from an event and provides visualization.

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. Eventus provides user control over estimation periods and cumulative return windows, a choice of raw, comparison period mean adjusted, market adjusted or market model abnormal returns. Simple statements allow the researcher to run a complete event study

Fama-French

Provides the means to construct queries for Fama-French factors and Pastor-Stambaugh Liquiduty factors.

Federal Reserve Bank Reports

The Federal Reserve Bank Reports in WRDS contain three databases collected from Federal Reserve Banks: two of them come from Reports published from the Federal Reserve Board (Foreign Exchange Rates (Federal Reserve Board’s H.10 Report) & Interest Rates (Federal Reserve Board’s H.15 Report)); the other one comes from the Federal Reserve Bank of Philadelphia (FRB-Philadelphia State Indexes).

Financial Ratios Suite by WRDS

Delivers over 70 pre-calculated financial ratios for all U.S. companies across 8 different categories(Valuation, Liquidity, Profitability, etc.). Firm-level and industry-level ratios available.

I/B/E/S

I/B/E/S International Inc. created their Academic Research Program over 30 years ago to provide both summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations.

ISS (formerly RiskMetrics)

RiskMetrics (through ISS Governance Services) is a leader in corporate governance data. RiskMetrics delivers to data for the new methodology to WRDS in four datasets identified as: RiskMetrics Group Historical Governance, Historical Directors data, Voting Results data, and Shareholder Proposal data.

Levin Associates

Levin Associates provides the most comprehensive data source devoted to Mergers and Acquisitions in Health Care.

Linking Suite by WRDS

The WRDS Linking Suite allows our users to easily download link table between various heavily used databases on WRDS platform:

Bond CRSP Link allows users to directly link fixed income data at the individual bond level to the equity data from the CRSP database.
CRSP Compustat Link by CUSIP SAS code allows users to link CRSP PERMNO with COMPUSTAT GVKEY by CUSIP
IBES CRSP Link provides the historical matching of IBES TICKER with CRSP PERMNO.
Compustat Customer Segment Company Names - GVKEY Link provides the missing link between abreviated Customer Segment (Supply Chain) Company Names to GVKEY.

MSRB

Municiple Securities Rulemaking Board data on transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities (states, counties, cities and special tax districts).

Macro Finance Society

The mission of the Macro Finance Society is to advance and disseminate high-quality research in Macro Finance, which is a broad area at the intersection of financial economics and macroeconomics. https://macrofinancesociety.org/

OTC Markets

Closing quote, trade and security reference data for securities trading on the OTCOX, 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.

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 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. PHLX offers a choice of expiration date, strike price, premium payment in combination with any of 10 currencies that are currently available.

Public

Publicly available data from the Bureau of Labor Statistics, Bureau of Economic Analysis, and Agency for Healthcare Research and Quality.

Research Quotient

For Compustat firms, estimates of the precentage increase in revenue from a 1% increase in R&D. As the output elesticity of R&D, RQ offers a universal, uniform, and reliable measure of a firm's R&D productivity.

SAS Visual Analytics

Provides a complete platform for analytics visualization, enabling users 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 so everyone can discover insights from any size and type of data, including text.

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. Data is available on WRDS through 2005, and is no longer updated.

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.

World Indices by WRDS

Country total return indices (with dividends). 40+ countries. Daily and monthly frequencies.

On Trial

The following databases are on trial and can be access through your WRDS account:

2iQ Trial

American Hospital Association Trial

BoardEx Trial

Calcbench Trial

Clarivate Analytics Trial

Compustat - Capital IQ Trial

ETF Global Trial

Eurekahedge Trial

Factset Trial

FTSE/Russell Trial

GSIOnline Trial

Hedge Fund Research (HFR) Trial

IMS – SK&A Trial

Infogroup Trial

Institutional Shareholder Services (ISS) Trial

ktMINE Trial

Levin Trial

Markit Trial

Option Metrics Trial

ProPublica Trial

RavenPack News Analytics Trial

RepRisk Trial

Sustainalytics Trial

Toyo Keizai Trial

WRDS SEC Analytics Suite Trial

Zacks Trial

Subject Guide

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Subjects: Accounting, Business, Economics, Entrepreneurship, Finance, Information Systems, Insurance, Management, Marketing, Real Estate

Baylor University Libraries - WRDS datasets: WRDS Datasets

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Datasets (alphabetically)

On Trial

Subject Guide

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