Research Data Services
Research Data Services Available to Faculty via WRDS. To obtain an account, click here.
AuditAnalytics provides detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies. Know auditing details and fees paid for specific services. Create reports by auditor, fees, location, and industry.
- 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 comes from the required regulatory forms filed for supervising purposes. Please see the Federal Reserve Bank of Chicago website for more information.
The Commercial Bank Database, from the Federal Reserve Bank of Chicago (FRB Chicago), contains data of all banks filing the Report of Condition and Income (named “Call Report”) that are regulated by the Federal Reserve System, Federal Deposit Insurance Corporation (FDIC), and the Comptroller of the Currency. These reports include balance sheet, income statements, risk-based capital measures and off-balance sheet data. The Commercial Bank Database has data available quarterly from 1976. The time range is broader than the RIS database (described below). It includes basically commercial banks and savings banks. It does not have data from savings institutions (e.g. S&L associations) that file the Thrift Financial Report (TFR) with the Office of Thrift Supervision (OTS).
The Bank Holding Companies Database, from the FRB Chicago, collects financial data from bank holding companies included in the FRY-9 reports. The bank holding companies may include parent, blank and nonblank entities. These reports contain balance sheet, income information, risk-based capital measures and additional supporting schedules. The FR Y-9 filing initiated in 1978, but this Database has data available quarterly from 1986.
The FDIC/OTS Deposit Database collects deposit data on each office of every FDIC-insured bank and savings association. Data are collected annually (as of June 30) and are available from 1994. The FDIC takes data from all FDIC-insured commercial banks, savings banks and U.S. branches of foreign banks. The OTS collects deposit data from all savings associations.
The Merger Description Database from the FRB Chicago provides acquisition/merger data and other useful records about circumstances under which a financial institution ceased to exist. It provides information about the survivor and non-survivor entity, dates and merging codes from 1986.
The Research Information System (RIS) Database, from the Federal Deposit Insurance Corporation (FDIC), contains financial data and history of all entities filing the Call Report and some savings institutions filing the OTS Thrift Financial Report (TFR). These reports include balance sheet, income statements and off-balance sheet data. The entities that file these reports include commercial banks, savings banks, or savings and loans (The Federal Deposit Insurance Corporation Database). This data was collected from 1984 to 1998 and contains structure data, financial time series data, complex derived integers data, ratio data and merger history data. Different from the Commercial Bank Database, it contains data for S&L institutions and derived data.
The Blockholders 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. 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: Prevalance, Size, and Measurement".
- 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 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. Since then, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.
- Center for Research in Security Prices (CRSP)
The CRSP® US Stock Database provides a unique research source characterized by its unmatched breadth, depth, and completeness. It includes CRSP's unique permanent identifiers allowing for clean and accurate backtesting, time-series and event studies, measurement of performance, accurate benchmarking, and securities analysis.
CRSP’s unique historical Indices Databases serve as benchmarks for the investment community, and as a foundation for academic research. Created according to clear, unbiased and systematic processes, these indexes undergo rigorous procedures to promote data accuracy, timeliness and consistency. Each CRSP index is offered as a series that contains decile subsets for market analysis.
The CRSP Indices database contains five groups of CRSP indices: the CRSP Stock File Indices, the CRSP Cap-Based Portfolios, the CRSP Indices for the S&P 500 Universe, the CRSP Treasury and Inflation (CTI) Indices, and the CRSP Select Treasury Indices.
The CRSP US Treasury and Inflation Series contain returns and index levels on the US Government Bond Fixed Term Index Series, and the Risk Free Rates File. The US Treasury database begins in 1925 for month-end data and in 1961 for daily data. Over 1.6 million end-of-day price observations for 3,350 US Treasury bills, notes, and bonds and over 101,500 prices for 5,300 month-end issues are included in the databases.
Mutual Funds: As the provider of the only complete database of both active and inactive mutual funds, CRSP leads the way in mutual fund research. The CRSP Survivor-Bias-Free US Mutual Fund Database serves as a foundation for research in and benchmarking for this asset class. Central to this work is the use of survivor-bias-free data to insure the accuracy of performance benchmarks, and the validity of analyses. Created according to clear, unbiased and systematic processes, this database undergoes rigorous procedures employed to promote data accuracy, timeliness and consistency.
The gold standard in academic research, The CRSP/COMPUSTAT Merged Database allows for concurrent database access to CRSP's stock data and Compustat's fundamental data. The CRSP Link accurately maps complex, many-to-many relationships over time between CRSP's unique permanent identifiers (PERMNO and PERMCO), and Compustat’s unique permanent identifier (GVKEY). This link permits the seamless time series examination of CRSP and of Compustat companies and securities side by side, regardless of CUSIP or ticker changes. CRSPLink is a product and is trademarked by CRSP.
The CRSP/Ziman Real Estate Data Series represents a collaborative effort between the Richard S. Ziman Center for Real Estate at the UCLA Anderson School of Management and The Center for Research in Security Prices at the University of Chicago. The REIT data series is a unique research resource whose development merges CRSP experience in academic-quality financial database and indices creation with the Ziman Center's expertise in markets and the collection of real estate data.
- Compustat from Standard & Poor's
Compustat North America is a database of U.S. and Canadian fundamental and market information on active and inactive publicly held companies. It provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items.
Compustat North America files are available in both annual and quarterly formats. The industrial annual formats offer both historical and restated data. The industrial quarterly formats offer restated data as reported by the company. The restated data allows analysts to compare current and prior years' results on a comparable basis and determine financial trends and growth rates. For most companies, annual history is available back to 1950 and quarterly history back to 1962 with monthly market history back to 1962.
Compustat North America files also contain information on aggregates, industry segments, banks, market prices, dividends, and earnings. For more detailed information on the Compustat files, consult the Compustat User's Guide.
Compustat Global is a database of non-U.S. and non-Canadian fundamental and market information on more than 33,900 active and inactive publicly held companies with annual data history from 1987. Compustat Global is a database of non-U.S.data is unique in that it is normalized to provide comparability across a wide variety of global accounting standards and practices. Accounting standards vary considerably among countries, making accurate comparisons of as-reported data somewhat difficult. Rather than adopt one country’s set of accounting principles as the standard for collecting data from all countries, we have created consistent sets of financial data items for the Global database by examining financial statements from a variety of countries and identifying items that are widely reported by companies, regardless of their geographic location, business activity or accounting practices. Within these uniform data sets, we normalize the data to local accounting principles, disclosure methods and data item definitions. As a result, you can make more meaningful comparisons among industries and countries.
The Emerging Markets Data Base (EMDB) serves as a vital statistical resource for the international financial community. With information collected since 1975, EMDB was the first database to track emerging stock markets. EMDB has since earned recognition as the world!/s premier source for reliable and comprehensive information and statistics on stock markets in developing countries. As of January 2003, EMDB tracked 53 stock markets in Asia, Latin America, Eastern Europe, Africa and the Middle East, providing daily, weekly, monthly, quarterly, and yearly data on more than 2,200 stocks by company, industry, country, region, and more. Using a selected sample of stocks in each market, EMDB calculates indices of stock market performance designed to serve as benchmarks consistent across national boundaries. EMDB is unique in offering these analyses from the perspectives of both local investors and foreign investors.
- Conference Board's Business & Economics Portfolio
Research Insights & Top-Line Indicators with the Conference Board's Business & Economics Portfolio. It includes essential economic data coupled with superior business management research and insights from the world’s most widely-quoted source of management and economic research.
- Corporate Library
GMI Ratings is the leading independent provider of global corporate governance and ESG ratings for companies worldwide. Ratings are built on extensive research and modeling that incorporates a broad spectrum of Environmental, Social and Governance (ESG) metrics as well as incorporating accounting transparency issues, to support the goal of identifying companies at risk. GMI Ratings is a signatory to the United Nations-backed Principles for Responsible Investment Initiative (PRI), a network committed to incorporating ESG research into the investment process.
- CUSIP Master File
The CUSIP Service Bureau, which is operated by Standard & Poor's for the American Bankers Association, exists for the primary purpose of uniquely identifying issuers and issues of financial instruments within a standard framework, and disseminating this data to the financial marketplace via various media. 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.
- 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.
- Dow Jones Averages & Total Return Indexes
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 Dow Jones Industrial Average, the best known U.S. stock index, and the Dow Jones Transportation Average, the oldest U.S. stock index were created by Charles Henry Dow, co-founder of Dow Jones & Company, and maintained and reviewed by the editors of The Wall Street Journal. Dow Jones Indexes is the source of Dow Jones information and the provider of this data.
- 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. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, 1993). The Fama-French data source is Kenneth French’s website at Dartmouth.
- Federal Deposit Insurance Corporation (FDIC)
The Federal Deposit Insurance Corporation (FDIC) datasets contains historical financial data for 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.
- Federal Reserve Bank Reports
Interest Rates (Federal Reserve Board’s H.15 Report). The WRDS RATES database is based upon the Federal Reserve Board’s H.15 release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments. All rates are reported in annual terms. Daily figures are for Business days and Monthly figures are averages of Business days unless otherwise noted.
FRB-Philadelphia State Indexes. A set of coincident indexes for the 50 states has been developed at the Federal Reserve Bank of Philadelphia, based on a national coincident index methodology developed by James Stock and Mark Watson. For details and documentation on the development of the state indexes, see Theodore Crone, “Consistent Economic Indexes for the 50 States” Federal Reserve Bank of Philadelphia, Working Paper 02-7, May 2002.
- Financial Times Database
The Financial Times Database is a content-rich resource that has many instruction support tools. It provides up-to-date daily coverage for international business, finance, economic and political news, comment and analysis.
- First Call Historical Database from Thomson Reuters
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.
- I/B/E/S from Thomson Reuters
I/B/E/S International Inc. created their Academic Research Program over 30 years ago to provide both summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations. In 2000, I/B/E/S was integrated with Thomson Reuters / First Call. For more information, see http://www.firstcall.com
First Call proudly supports research endeavors in the academic community. Hundreds of articles that use I/B/E/S and First Call data have been published in the Journal of Finance, Journal of Accounting Research, Journal of Portfolio Management, Journal of Investing, Financial Analysts Journal, and many others. Today, many academic projects focus on the applications and effects of earnings expectations data, with increasing attention being paid to other forecast measures, such as revenue, price targets and cash flow. The importance of research in this dynamic field is confirmed by the current roster of 1700 academics from 450 universities in 32 countries, who rely on First Call data and services to validate their unique investment theories and observations.
- Institutional Shareholder Services (ISS) Risk Metrics
ISS, founded in 1985 as Institutional Shareholder Services Inc., is the world's leading provider of proxy advisory and corporate governance solutions to financial market participants. ISS' services include objective proxy research and analysis, end-to-end proxy voting and distribution solutions, turnkey securities class-action claims management, and reliable governance data and modeling tools. More than 1,700 clients rely on ISS' expertise to help them make informed corporate governance decisions. ISS is located in financial centers worldwide and is a subsidiary of MSCI Inc., a leading provider of investment decision support tools to investors globally.
- Mergent--Fixed Income Securities Database
FISD contains issue details on over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items. FISD provides details on debt issues and the issuers, as well as transactions by insurance companies. It is used to research market trends, deal structures, issuer capital structures and other areas of fixed income debt research.
- OTC Corporate Bond Transaction Data
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.
TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. Bringing transparency to the corporate bond market, it helps create a level playing field for all market participants by providing comprehensive, real-time access to corporate bond price information.
Introduced in July of 2002, 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.
- 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 (CICUP).
- Philadelphia Stock Exchange (PHLX)
The Philadelphia Stock Exchange 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.
- 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.
- Thomson Reuters
Thomson Reuters is a global provider of data, analysis and information tools offering the most comprehensive range of indispensable, market-leading services and customizable solutions to help clients make better decisions, be more productive and achieve superior financial results. For information on Thomson Reuters products, please contact their Sales or Support staff.
Thomson-Reuters Mutual Fund Holdings database provides security holding information for all registered mutual funds that report their holdings with the SEC, plus 3,000 global funds. Reported securities include all NYSE/AMEX/NASDAQ, Toronto, and Montreal common stocks. This database is formerly known as CDA/Spectrum, and is often referred to as Spectrum 1 2 for ownership information by registered Investment Companies or Domestic Mutual Funds.
Thomson-Reuters Institutional Holdings (13F) Database provides Institutional Common Stock Holdings and Transactions, as reported on Form 13F filed with the SEC. This database is formerly known as CDA/Spectrum 3 4 database, and contains ownership information by institutional managers with $100 million or more in Assets Under Management (Section 13(f) Securities). See SEC's Form 13f FAQs for more information.
The Insider Filing Data Feed (IFDF) is designed to capture all U.S. insider activity as reported on Forms 3, 4, 5, and 144 in line-by-line detail. In addition, a unique cleansing process is used by Thomson Reuters that adds value by making systematic interpretations on the accuracy of as-reported data and inserts "cleansed" fields for comparison. A cleanse code is also included to denote the overall level of confidence in each record. Additionally, the Insider Filing Data Feed includes performance calculations revealing which insiders' prior trades have been most predictive of subsequent stock returns.