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Accounting & Finance Research Guide: WRDS

Wharton Research Data Services (WRDS)

Wharton Research Data Services (WRDS) is a research platform and business intelligence tool for over 50,000 corporate, academic, government and nonprofit users at 400+ institutions in 30+ countries. WRDS provides the user with one location to access over 250 terabytes of data including Accounting, Banking, Economics, ESG, Finance, Healthcare, Insurance, Marketing, and Statistics. Read more more about WRDS

 

Datasets

AuditAnalytics

Detailed audit information on over 1,500 accounting firms and 20,000 publicly registered companies. Covers auditor engagements, changes, fees, opinions, benefit plan options, director & officer changes, disclosure controls, internal controls, late filers, and restatements. Know who is auditing whom and how much they are paying for what services. Create reports by auditor, fees, location, industry and more.

Bank Regulatory

The 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 is the required regulatory forms filled for supervising purposes. Date range varies, most data 1976-

Beta Suite by WRDS

Blockholders

This dataset contains standardized data for blockholders for 1,913 companies. 1996-2001

CBOE Indexes

The CBOE (Chicago Board Options Exchange) Volatility Index 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. Coverage: 1996-previous year

Compustat - Capital IQ

Use to find detailed fundamental data for companies trading on all of the major United States and Canadian exchanges. Coverage goes back to 1950. Special files are available that contain bank specific data. There is also industry specific data for airlines, gaming, homebuilding, health care facilities, lodging, managed health care (HMOs), mining, oil & gas, retail, semiconductors, and utilities.

CRSP

he 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. Coverage -- monthly: 1925-; daily: 1962- depending on exchange traded. Also includes U.S. market indices, treasuries, and mutual funds, and a merged database with S&P's Compustat data.

CUSIP

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. Corporate names are anonymous and customer names and addresses have been removed, but the business type is indicated. ZIP codes have been retained (if possible) to provide a potential link to Census ZIP level demographics. 1993-1995

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 Total Return Indexes account for reinvested dividends. Data for the Total Return Index and is available after 1987

Efficient Frontier by WRDS

Event Study by WRDS

Lets you create visualizations, extract data and analysis, and retrieve underlying codes.

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 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. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns.

Federal Reserve Bank

Foreign Exchange Rates (Federal Reserve Board’s H.10 Report), Interest Rates (Federal Reserve Board’s H.15 Report), and FRB-Philadelphia State Indexes.

MSRB

As the primary regulator of the 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.

OTC Markets

Access the most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces. Key security reference data includes Security Type, Security Class, Security Status and Number of Market Participants.

Penn World Table

The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 188 countries for some or all of the years 1950-2004.

Peters and Taylor Total Q

Extract data on firms’ “Total q” ratio and the replacement cost of firms’ intangible capital. Researchers must currently have access to Compustat. • Total q = improved Tobin’s q proxy that includes intangible capital in the denominator • Compustat firms, 1950 – 2015

PHLX

Philadelphia Stock Exchange (PHLX) founded in 1790 is the oldest organized stock exchange in the nation. As one of North America’s primary marketplaces for the trading of stocks, equity options, index options and currency options, the PHLX continues to be a market leader in the development and introduction of innovative new products and services. The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options and 100 currency pairs.

Public

Research Quotient

Free to all WRDS academic institutions with a current S&P Capital IQ Compustat subscription Analyze and measure the effectiveness of a firm’s R&D

SAS Visual Analytics

Through innovative analytics, SAS® enables researchers to make better decisions faster — WRDS is SAS® powered. WRDS and SAS share the commitment to delivering valuable solutions and improving our researchers’ experience.

SEC Order Execution

SEC-mandated Disclosure of Order Execution Statistics. 2001-2005.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.

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.

World Indices by WRDS

Zacks

Zacks Investment Research, based in Chicago, IL., has been a leading provider of research, market data and quantitative models to institutional investment management firms in the U.S. 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.

WRDS Tutorials & Tools

Once logged into the University of Akron subscription you will be able to access all available WRDS support and training videos and guides. Be sure to view the SAS tools available under the Analytics tab, as well as the variety of E-Learning tools under the Support-Tutorial Course Materials tab.

Technical Support

You may contact WRDS technical and research specialists via e-mail at wrds-support@wharton.upenn.edu . They are available to assist you with difficulties pertaining to database access, data queries, and programming in SAS, FORTRAN, or C. When requesting assistance with a particular program, please copy the program into the body of your e-mail for a quicker response. This is helpful for detecting any errors in your program.