WRDS Datasets

Wharton Research Data Services (WRDS) provides access to important datasets in the fields of finance, accounting, banking, economics, management, marketing and public policy.  Access to WRDS is administered by the Kelley School of Business, see here.   A list of  Indiana University's datasets:


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.cblock    Audit Analytics Company Block
     audit.cur    Current Auditors, Auditor Changes, Audit Fees, Audit Fees with Restatements
     audit.legal   Audit Legal Case and Legal Parties
     audit.nonr    Audit Non-reliance Restatements
     audit.rop    Audit Opinions
     audit.soxc   Sox 302 and 404 Controls

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.all

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. We subscribe to the following datasets within Blockholders:
     block.all

Bureau van Dijk
Bureau van Dijk Electronic Publishing provides an extensive suite of financial databases.  Available at this web site: (1) AMADEUS, which includes over 5,000,000 European private and public companies.  We subscribe to the following datasets within Bureau van Dijk: 
     bvd.ama.t200k    Amadeus, Top "200,000" Companies (about 270,000)

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. We subscribe to the following datasets within CBOE Indexes: 
     cboe.all

COMPUSTAT Global & EMDB
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.  S&P's EMDB covers 53 markets and more than 2,200 stocks in developing countries. We subscribe to the following datasets within COMPUSTAT Global & EMDB:
     comp.global

COMPUSTAT North America
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 North America:
     comp.backdata   Company Financials Backdata (Base Product: Industrial, Segments +)
     comp.bank    Bank
     comp.execucomp     Executive Compensation
     comp.full     Company Financials, Price, Dividends, Earnings--Active Equities Segments
     comp.segbackdata   Segments Backdata
     comp.segresearchbackdata    Segments Backdata -- Inactive Companies (research file)
     compq.all    Compustat Full -- Quarterly Update Version

ComScore
The comScore panelist-level database captures detailed browsing and buying behavior by one hundred thousand Internet users across the United States. 

Corporate Library
The Corporate Library is an independent investment research firm providing corporate governance data, analysis & risk assessment tools. It provides one complete online solution for analyzing, modeling and assessing governance, compensation and performance practices.

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:
     crsp.ccmerged    CRSP/Compustat Merged
     crsp.dailystocks    Daily Stocks
     crsp.indices  Indices    NYSE, AMEX, NASDAQ & S&P
     crsp.monthlybonds     Monthly Bonds
     crsp.monthlystocks     Monthly Stocks
     crsp.mutualfunds    Mutual Funds

    
CUSIP Master File
We subscribe to the following datasets within CUSIP:
     cusip.all

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. We subscribe to the following datasets within DMEF:
     dmef.all 

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. We subscribe to the following datasets within Dow Jones:
     djones.all 

EVENTUS
Eventus Software performs event studies that compute abnormal returns for specific corporate actions or events using data directly from the CRSP stock database. We subscribe to the following datasets within EVENTUS:
     evts.all

Fama French, Momentum, and Liquidity
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, Momentum, and Liquidity:
     ff.all

FDIC
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 savings institutions filing the OTS Thrift Financial Report (TFR). These entities include commercial banks, savings banks, or savings and loans.  We subscribe to the following datasets within FDIC:
     fdic.all

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:
     frb.all

First Call
The First Call Historical Database, or FCHD, is a history of First Call's Real Time Earnings Estimates. FCHD sets a new standard for quality and timeliness of historic earnings forecast data. We subscribe to the following datasets within First Call:
     fc.all

Global Insight
Global Insight databases provide data on national income accounts, balance of payments, foreign debt, exchange rates, money supply and employment - among other national level categories. As well, they provide data on the IMF series and the OECD series.  We subscribe to the following datasets within Global Insight:
     ginsight.basicannual    Basic Economics -- Annual Time Series
     ginsight.basicmonthly    Basic Economics -- Monthly Time Series
     ginsight.basicquarterly    Basic Economics -- Quarterly Time Series
     ginsight.global    International data series, Indices, IMF, OCDE+

GOVPX
ICAP Information Services (IIS) is the market data division within interdealer broker ICAP. All the GovPX branded services are still distributed thru ICAP Information Services in real-time, End-of-Day and historical format.

GSIOnline
(1) The Mergers and Acquisitions (M&A) Database from GSIOnline covers change in control transactions, as well as, significant acquisitions or sale of assets, equity, subsidiaries or business divisions. (2) The Registrations & Prospectus (R&P) Database from GSIOnline covers registration statements (and associated Prospectus if any) by companies making offerings of securities to the public.

I/B/E/S
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 I/B/E/S:
     ibes.all

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: 
     iri.all

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:
     issm.nasd1990  NASDAQ trades and quotes for 1990
     issm.nasd1991  NASDAQ trades and quotes for 1991 
     issm.nasd1992  NASDAQ trades and quotes for 1992
     issm.nyam1990  NYSE/AMEX trades and quotes for 1990
     issm.nyam1991  NYSE/AMEX trades and quotes for 1991
     issm.nyam1992  NYSE/AMEX trades and quotes for 1992

NYSE TAQ
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.  We subscribe to the following datasets within NYSE TAQ:  
     taq.1993  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1993
     taq.1994  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1994
     taq.1995  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1995
     taq.1996  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1996
     taq.1997  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1997
     taq.1998  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1998
     taq.1999  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 1999
     taq.2000  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2000
     taq.2001  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2001
     taq.2002  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2002
     taq.2003  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2003
     taq.2004  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2004
     taq.2005  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2005
     taq.2006  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2006
     taq.2007  Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2007
     taq.regsho2005  NYSE Short Sales 2005
     taq.regsho2006  NYSE Short Sales 2006
     taq.regsho2007  NYSE Short Sales 2007

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, October 2002.  We subscribe to the following datasets within Penn World Tables:
     pwt.all

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:
     phlx.all

RiskMetrics (formerly IRRC)
RiskMetrics (through ISS Governance Services) is a leader in corporate governance data. They deliver to WRDS two datasets identified as RiskMetrics Group Historical Governance and Historical Directors data.
     risk.directors
     risk.governance


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. We subscribe to the following datasets within SEC Disclosure of Order Execution:
     doe.all

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
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:
     trace.all