Q. WRDS: databases subscribed

Dataset name

Content 

Bank Regulatory

• Provides accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions.

Beta Suite by WRDS

• A powerful web-based tool allowing researchers to calculate stocks’ loading on various risk factors in a timely way. The tool is designed with flexibility in mind, capable of handling monthly, weekly, and daily rolling regression on a common set of market risk factors.

Blockholders

• Free database of large-block shareholders created by researchers in 2004.
• The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data.
• 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: Prevalence, Size, and Measurement".

CBOE Options

• 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 New VIX still measures the market’s expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New 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

• North America & Global - Standardised US and global financial statement and market data on active and inactive public companies
• Bank - Granular regulatory financial data for 16,000+ operating and 29,000+ global historical holding companies, banks, and credit unions
• Historical Segments - Information for over 23,000 North American companies since 1976
• Snapshot - The world’s first complete North American backtesting database, you can extend the scope of your historical analysis and backtesting models with annual and quarterly data, preliminary source updates, and final source updates. The database allows you to conduct research on a large population of North American companies, seek uncharted sources of alpha, and develop the extra edge you desire to get ahead of your competitors.

Contributed Data at WRDS

• A number of datasets contributed by researchers

CRSP (Annual and quarterly updates)

• The Center for Research in Security Prices, LLC (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-based and cap-based portfolios, treasury bond and risk-free rates, mutual funds, and real estate data.

DMEF Academic data

• Direct Marketing Educational Foundation contains customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses.

Efficient Frontier by WRDS

• Using this flexible web-based tool, enter a list of security identifiers (Ticker or PERMNO), and pre-set parameters such as Risk-Free Rate and Degree of Risk Aversion.
• The tool then incorporates the customized inputs and calculates the corresponding Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio as well as Minimum Variance Portfolio based on your stock selection.

European Short Data by WRDS

• Implemented after the previous global financial crisis to increase market transparency, this data encompasses all significant short positions reported by institutional investors under the EU236 Rule.

Coverage: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Luxembourg, Netherlands, Norway, Poland, Spain, Sweden, UK.

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 the 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 assessing the damages.

External Data Sources

• A curated and inexhaustive list of external data outside of WRDS. WRDS does not support data from any of these sources, but offers this list as a helpful resource for researchers.
• Resources for the following industries include: Political, Regulatory, Real Estate, City, Finance, Geography and Climate, Legal, Technology, Healthcare

Execucomp

(via COMPUSTAT)

• Executive compensation data collected directly from each company’s annual proxy (DEF14A SEC form)

Fama French Portfolios & 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, as proxy for value, the ratio of book equity to market equity (BE/ME). Returns from these portfolios are used to construct the Fama-French Factors.
• The Fama-French five-factor model was introduced in 2014 and has been used in many finance research projects. The five-factor model captures not only size and value effects but also profitability and investment pattern effects in average stock returns.

Federal Judicial Center

• WRDS has partnered with the Federal Judicial Center’s (FJC) to provide a litigation database and linking for all federal Appeals, Bankruptcy, Criminal, and Civil suits.

• WRDS-developed linking tables for FJC include bankruptcy, civil, and criminal.
• Access tradeoffs between civil and criminal litigation pursued against firms, U.S. administrative agency appeals, and criminal justice issues including trial lengths, appeals, and penalties.
• Coverage: mid-1969 through the present.

Federal Reserve Board Reports (currently not updated)

• Foreign Exchange Rates (Federal Reserve Board’s H.10 Report)
• Interest Rates (Federal Reserve Board’s H.15 Report)

Financial Ratios Suite by WRDS

• 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.

Historical SPDJI

• Closing prices and returns for the Dow Jones Industrial Average and other Dow Jones Indices

Institutional (13f) Holdings – S34 (via LSEG)

• The primary source for the institutional holdings data is the 13f form that investment companies and professional money managers are required to file with the SEC on a quarterly basis. 
  In WRDS find it under LSEG.

IRI Marketing Fact Book (1983-1997)

• The IRI dataset contains point-of-sale information from more than US 11,300 grocery and 7,500 drug stores. Note: this is a closed file covering period 1983-1997

Linking Queries by WRDS

• These Linking Queries allow our users to easily download link tables between various heavily used databases on the WRDS platform. In addition to these linking queries, WRDS provides a Company Database Linking Matrix containing additional linking information as well as sample code.

LSEG FTSE Rusell

• Coverage of US Russell indexes. Includes returns, weights, and constituents
• Monthly Index Holdings: Index constituents for Russell Indexes.
  Monthly Contributions to Return: Analysis of each sector and industry contributing to the overall return of a Russell Index.
  Monthly Historical Sector Weights: Sector weight history

Macro Finance Society

• The Macro Finance Society curates a list of datasets from several influential papers broadly in the area of macro-finance. We will continue to maintain and expand on our collection, and our goal is to help facilitate the dissemination of high-quality datasets for the profession.

MSRB

• Study historical municipal securities price trends, trade frequency and other characteristics of municipal bond transactions.
• 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 comprehensive, timely and accurate data available on the 10K securities that trade on the OTCQX, OTCQB and OTC Pink Marketplaces

Pastor- Stambaugh and Other Liquidity Factors

• Featuring Pastor-Stambaugh, China, and Sadka Factors

Peters and Taylor Total Q

• An improved Tobin’s q - replacement cost of intangible capital - by Ryan Peters (Tulane) and Lucian A. Taylor (Wharton)

Philadelphia Stock Exchange

• United Currency Options Market offers choice of expiration date, strike price, etc and any combination of 10 currencies available.

Public Data by WRDS

• Data 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.

RepRisk

• ESG and reputational risk data on 195,000+ public & private companies from all sectors and countries.
• Risk metrics and underlying scores to assess and benchmark the risk exposure and business conduct of companies.
• 28 ESG Issues and 73 ESG “hot topics” mapped to all companies.
• +15 years of data history, with a daily point-in-time series

Research Quotient

• Firm’s R&D productivity. Created by Anne Marie Knott (Washington U. in St. Louis)
• Free to Academic institutions with current subscription to S&P Capital IQ Compustat
• 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.

SEC MIDAS 

(Via: Intraday Indicators by WRDS)

• Offers Market Information Data and Analytics System (MIDAS) to promote a better understanding of the U.S. equity markets and market structure. WRDS SEC MIDAS contains the Individual Security Metrics published by SEC MIDAS. The Individual Security Metrics provides market trading metrics for over 8,300 securities (stocks and exchange-traded portfolios).

SEC Order Execution

• Electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis.

Subsidiary Data by WRDS

• Subsidiary Data by WRDS contains parent company and subsidiary relationships for companies filing with the SEC between 1995 and 2019.

TRACE

• All broker-dealers who are FINRA member firms have an obligation to report transactions in TRACE-eligible securities FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It was formed in the summer of 2007 from the NYSE and the NASD.
• There are several categories of securities in TRACE:

• BTDS: corporate bonds (U.S. dollar-denominated, investment grade and high yield).
• ATDS: US government agency bonds.
• SPDS: securitized products including asset-backed securities and mortgage-backed securities. WRDS separates SPDS by Sub-Product Type into SPDS-ABS, SPDS-CMO, SPDS-MBS, SPDS-TBA.
• BTDS144A: corporate bonds falling under Rule 144a of the Securities Act of 1933.
• SPDS144A: securitized products falling under Rule 144a of the Securities Act of 1933.

US Patents by WRDS

• The WRDS US Patents (Beta) Patents provides patent-level data directly parsed from USPTO's XML files. The current version covers data range between the years 2011 and 2019. 

World Indices by WRDS

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