Faculty Research Databases: Wharton Research Data Services (WRDS)
Wharton Research Data Services (WRDS) is a web-based business data research service from The Wharton School at the University of Pennsylvania. Developed in 1993 to support faculty research at Wharton, the service has evolved to become a common tool for research for over 290 institutions around the world.
This data service is available to A.B. Freeman School of Business current faculty and graduate students only. Use of WRDS services is for academic and non-commercial research purposes only. Accounts will be reviewed each semester.
Researchers must request an ID and password at WRDS. Please refer to the Getting Started User Guide under the Basic Help Section under the the Support Tab.
, Business Librarian, 504-865-5311
A.B. Freeman School of Business subscribes to the following WRDS datasets:
The Bank Regulatory databases provide accounting data for Bank Holding Companies, Commercial Banks, Savings Banks, and Savings and Loan Institutions. The source of the data comes from the required regulatory forms filled for supervising purposes.
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
Bureau van Dijk Electronic Publishing provides an extensive suite of financial databases. Available at this website are: (1) AMADEUS, which includes over 5,000,000 European public and private companies, (2) Bankscope, which has financial data on 13,000 banks worldwide, and (3) OSIRIS with financial data on over 38,000 globally listed companies.
The CBOE (Chicago Board Options Exchange) Volatility Index (VIX) is the key measure of market expectations of near-term volatility conveyed by S&P 500 stock index options 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 (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. Compustat Global provides data covering publicly traded companies in more than 80 countries, representing over 90% of the world's market capitalization, including coverage of over 96% of European market capitalization and 88% of Asian market capitalization.
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.
Direct Marketing Educational Foundation (DMEF)
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.
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 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.
EVENTUS software performs event studies that compute abnormal returns for specific corporate actions or events using data directly from the CRSP Stock database.
Fama-French Portfolios and 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.
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 saving 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 in WRDS contain three databases collected from Federal Reserve Banks: two of them come from reports published from the Federal Reserve Board; the other one comes from the Federal Reserve Bank of Philadelphia.
-Foreign Exchange Rates (H.10 Report)
-Interest Rates (H.15 Report)
-FRB-Philadelphia State Indexes
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.
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.
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.
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 Thomson Reuters Mutual Fund Ownership data (formerly known as the CDA S12 data). 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.
Penn World Tables
The Penn World Tables provide 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, Pen World Table Conversion 6.1, Center for International Comparisons at the University of Pennsylvania, October 2002.
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.
Risk Metrics (through ISS Governance Services) is a leader in corporate governance data. They deliver to WRDS two datasets identified as Risk Metrics Group Historical Governance and Historical Directors Data.
SEC-mandated Disclosure of Order Execution Statistics
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 through 2005; no longer published.
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.
The Thomson Reuters database covers mutual funds holdings (CDA/Spectrum s12) and 13f Institutional Holdings (CDA/Spectrum s34). The Insider Filings database contains transaction and holdings information filed with the SEC.
Thomson Reuters also provides DealScan. DealScan provides extensive and reliable data on the global commercial loan market and detailed terms and conditions on over 200,000 loan transactions. These transactions finance M&A activity, working capital needs and other general corporate purposes for loan participants world-wide. DealScan sources include regulatory filings, bank submissions and journalist contributions.
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.