Wharton Research Data Services (WRDS)

Wharton Research Data Services (WRDS)

Wharton Research Data Services, commonly referred to as WRDS (pronounced "Words"), is a collection of economic, finance, management and marketing databases that are delivered through a common web interface.

Access

Databases in WRDS have significant restrictions placed on their use and because of this, access is limited to Chicago Booth students and faculty and PhD students in the Department of Economics.

Faculty and PhD students can request accounts through the WRDS interface. Click on "account request"
MBA students use a shared login which is managed by Chicago Booth Computing Services. Contact the Help Desk for information.
helpdesk@ChicagoGSB.edu or 773-702-7414

Databases currently available

This list is accurate as of October, 2008. The most up to date information is available by logging in to WRDS, selecting "my.wrds" and then "My Permissions". This will also indicate which segments of a database are available. In some cases, the Chicago Booth subscription does not include everything that is available.

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.

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.

Bureau van Dijk AMADEUS

AMADEUS is a comprehensive, pan-European database containing financial information on over 6.5 million public and private companies in 41 European countries.

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.

COMPUSTAT

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.

COMPUSTAT EMDB covers 53 markets and more than 2,200 stocks in developing countries.

COMPUSTAT North America 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.

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.

CSMAR

The China Stock Market & Accounting Research Database is designed and developed by GTA Information Technology - one of major providers of China data. The CSMAR Databases offer data on the China stock markets and the financial statements of China's listed companies.

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

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.

Fama French, Momentum, and Liquidity

Web queries for the Fama-French factors and portfolios, momentum factors, as well as Pastor-Stambaugh Liquidity Factors.

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.

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.

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.

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.

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.

KLD

KLD created the Domini 400 SocialSM Index (DS 400 Index), a socially screened, capitalization-weighted index of 400 common stocks. The DS 400 is recognized as the first social investment benchmark. As well, KLD provides social ratings for all companies in the DS400.

Mergent FISD

The Fixed Income Securities Database (FISD) for academia is considered the most comprehensive collection of publicly-offered U.S. Corporate bond data.

Mutual Fund Links (MFLinks)

Mutual Funds Links (MFLINKS) tables provides a reliable means to join CRSP Mutual Fund (MFDB) data that covers mutual fund performance, expenses, and related information to equity holdings data in the TFN/CDA S12 datasets. Using MFLINKS allows a researcher to gather detail on holdings for either particular funds or fund families and groups of funds at specific points in time.

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.

OptionMetrics

Ivy DB OptionMetrics is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. Encompassing more than six years of data, Ivy DB OptionMetrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities.

PACAP

The PACAP Research Center creates, maintains, and distributes comprehensive, computerized databases which track capital markets data for eight Pacific-Basin countries on a continuous and systematic basis. PACAP Databases contain extensive information on all listed companies from each country's major stock exchange including: daily security prices and returns, capital distributions, financial statements, market indices and returns, and economic statistics.

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.

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.

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

Thomson Reuters

The Thomson Reuters 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.

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.