Wharton Research Data Services - WRDS

[Data Axle] Infogroup US Historical Business Data: Annual, geo-coded records of United States businesses and other organizations from 1997-2020. Records include company information such as contact information, industry description, annual revenues, number of employees, and year established. Each annual file consists of a snapshot of InfoGroup's data as of the last day of each year, creating a time series of data. 

Datastream (Thomson/Refinitiv): Historical, global coverage of equities, stock markets, commodities, futures, currencies, options, bond markets, company financials, and economic data. Information is updated daily. Historical equity data is available from 1973, though coverage varies from country to country. Sources include national governments, OECD, EIU, IMF, Worldscope, and Morgan Stanley Capital (MSCI). Financial data from Worldscope for non-US companies is also available.

• Commodities Data
• Economics Data
• Equities Data
• Futures Data

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. Data coverage: 1970s through the 1990s.

• Multi-Division Catalog
• Non-Profit Organization: Data cover 10/86 through 6/95
• Reproduction Catalog: Data cover 12/71 through 6/92.
• Specialty Catalog

Dow Jones: Dow Jones averages and Dow Jones Total Return Indexes. 

Efficient Frontier by WRDS: Risk analysis information searchable by company.

Event Study by WRDS: Analyze market reaction to firm specific and market-wide events.

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.

Farma French & Liquidity Factors: 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.

Federal Judicial Center:  Contains data on all federal, civil, criminal, bankruptcy, and appellate court case information reported by the courts to the Administrative Office of the U.S. Courts. Coverage: mid-1969 through present. Includes the following...

Federal Reserve Bank: Foreign exchange rates and interest rates.

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).

I/B/E/S from Thomson Reuters: It is an historical earnings estimate database containing analyst estimates for more than 20 forecast measures - including EPS (earnings per share), revenue, price targets, EBITDA and pre-tax profits - available on both consensus and detailed levels. Includes the following...

• IBES Academic
• IBES Guidance

Infogroup US Historical Business Data (Data Axle): Annual, geo-coded records of United States businesses and other organizations from 1997-2020. Records include company information such as contact information, industry description, annual revenues, number of employees, and year established. Each annual file consists of a snapshot of InfoGroup's data as of the last day of each year, creating a time series of data. 

Institutional Shareholder Services (ISS): Historical Directors data, Shareholder Proposals S&P 1500. Includes the following...

• Directors
• Governance

Intraday Indicators by WRDS: Contains daily stock market indicators obtained from NYSE TAQ data. SEC offers Market Information Data and Analytics System (MIDAS) to promote better understanding of the U.S. equity markets and market structure. Includes the following dataset only...

• WRDS SEC MIDAS

IRI Marketing Fact Book: Coverage 1983 - 1997 contains data on grocery store purchases from a representative sample of static qualifying U.S. panelist households to help make intelligent inferences for strategic planning and decision making. These purchases are continuously tracked across all UPC-coded brand-items in all categories.

Linking Suite by WRDS: allows our users to easily download link table between various heavily used databases on WRDS platform: Please note that access depends upon an existing subscription.

• Bond CRSP Link  allows users to directly link fixed income data at the individual bond level to the equity data from the CRSP database.
• BoardEx CRSP Compustat Link provides the link of Boardex companies with CRSP-Compustat universe
• CRSP Compustat Link by CUSIP SAS code allows users to link CRSP PERMNO with COMPUSTAT GVKEY by CUSIP    
• FactSet CRSP Link links Factset’s security id as well as entity id with CRSP identifiers
• IBES CRSP Link provides the historical matching of IBES TICKER with CRSP PERMNO.
• Option Metrics CRSP Link provides the link between OptionMetrics SECID and CRSP PERMNO
• TAQ CRSP Link provides the link between TAQ SYMBOL and CRSP PERMNO
• TR Insiders - Boardex Link provides the link between TR Insider PERSONID and Boardex DIRECTORID.
• Compustat Customer Segment Company Names - GVKEY Link provides the missing link between abreviated Customer Segment (Supply Chain) Company Names to GVKEY. 
• Federal Judicial Center Litigation Compustat-CIK Link provide the link among Docket Numbers, Case keys, GVKEYs and CIKs. Link is provided for Bankruptcy, Civil and Criminal data.

Includes the following...

Macro Finance Society: curates a list of datasets from several influential papers broadly in the area of macro finance. For more information, please see https://macrofinancesociety.org/

Mutual Fund Links (MFLINKS): The MFLINKS tables provide a reliable means to link 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).

• CRSP-FUNDNO-WFICN
• FUNDNO-WFICN

MSCI (formerly KLD and GMI): annual data set of positive and negative environmental, social, and governance (ESG) performance indicators applied to a universe of publicly traded companies.

• MSCI GMI Ratings

MSRB - Municipal Securities Rulemaking Board: Contains municipal securities transaction data.

OptionMetrics: is the premier provider of historical options data for use in empirical research and econometric studies. Includes the following...

• Ivy DB US

Option Suite by WRDS: Option and equity level indicators derived from underlying option pricing data. Includes the following...

• US Stock Level Output
• US Option Level Output

OTC Markets: closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces.Includes the following...

• End-of-Day Pricing

Penn World Tables: provides national income accounts-type of variables converted to international prices. 

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 (PHLX): includes Currency Options and Implied Volatility.

Public Data: publicly available data from a variety of sources, such as the Bureau of Economic Analysis, Bureau of Labor Statistics, and select Healthcare data. 

Research Quotient: Analyze and measure the effectiveness of a firm's R&D.

SEC Order Execution: On November 15, 2000, the SEC adopted new rules aimed at improving public disclosure of order execution and routing practices. Data is available on WRDS through 2005, and is no longer updated.

Subsidiary Data by WRDS: WRDS Company Subsidiary database contains parent company and subsidiary relationships for companies filing with the SEC between 1995 and 2019.  Data is parsed from exhibits attached to a variety of filing types (10-K, 10-Q, etc.), but relies primarily on Exhibit 21. 

Thomson/Refinitiv: Contains mutual fund, 13f holding and global commercial loan market information. Includes the following...

• Mutual Fund Holdings - (s12)
• Institutional (13f) Holdings - s34
• Worldscope
• Datasteam

TRACE (OTC Corporate Bond and Agency Debt Bond Transaction Data): comprehensive, real-time access to corporate bond price information.

Venture Capital by WRDS: Accessible through the WRDS SEC Suite, adds data on venture capital and other private issuance. WRDS Venture Capital consists of 6 datasets (Form D, Form D relationships, Form C, Form 1-A, 1-Z, and 1-K), each covering a different facet of private capital raises in the United States.

World Indices by WRDS: Country total return indices (with dividends). 40+ countries. Daily and monthly frequencies.

Worldscope (Thomson/Refinitiv): Contains detailed financial statement data and profile data on public companies globally. Using primary source documents and news clippings, Worldscope data analysts extract the data to global templates that are specific to industry groups.

WRDS Bond Returns: The WRDS Bond Database is a novel and unique corporate bond database compiled by WRDS Researchers using the best standards in recent fixed income research.

WRDS European Short Data: 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.

WRDS Factors: See below...

• Backtester Basic – contains 103 signals that were created using common databases: CRSP Stocks, Compustat, and CRSP's CCM product. 
• Backtester Plus – contains the entire list of 134 signals that use additional databases including IBES, OptionMetrics, Thomson Reuters, and WRDS SEC Analytics. Users can upload a .txt file that contains the time series of customized signal values and test the signal performance.
• Backtester with User Signals -  users can upload a .txt file that contains the time series of customized signal values and test the signal performance.

WRDS Insiders: Data is parsed directly from SEC forms 3, 4, and 5, and includes the following...

• Filing Data
• Reporting Owners
• Derivatives
• Non-Derivatives
• Footnotes

WRDS US Patents: 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. 

WRDS SEC Analytics Suite: search though the contents of millions of SEC filings. Access Readability and Sentiment scores and Linking Tables. Includes the following...

• WRDS SEC Filings Index Data
• WRDS SEC Filings Queries
• WRDS SEC Linking Tables
• WRDS SEC 13F Holdings Data
• WRDS SEC Text Analysis

WRDS Thomson Reuters Institutional (13f) Holdings - Stock Ownership Summary: Data on stock ownership by institutions, other major holders and insiders.