WRDS datasets

Amadeus (Large/Very Large) - ends 31 May 2023

• European company information. This product is being withdrawn from the market. We subscribe to Orbis Europe (Very Large/Large) on the web – it is not yet available on WRDS.

Audit Analytics (Audit & Compliance)

• Audit Fees, Audit Opinions, Financial Restatements, and more, Audit + Compliance collects data from a multitude of sources and normalizes it so that you can focus on new analysis

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: Prevalance, Size, and Measurement".

Bond Returns by WRDS

• Allows researchers to easily and effectively access cleaned datasets of corporate bond transactions, sourced from TRACE Standard and TRACE Enhanced datasets, along with a separate dataset for monthly price, return coupon, and yield information for all corporate bonds traded since July 2002.

• Capital Structure: Provides extensive debt capital structure for over 60,000 global public and private companies and equity capital structure data on over 80,000 active and inactive companies worldwide. We have a dedicated capital structure research team reviewing over 1,000 documents per day sourced from press releases, company websites, and global stock exchanges in addition to direct feeds from SEC, SEDAR, ASX, and RNS.  Capital IQ captures attributes of each debt component, such as security type, secured level, interest rate, maturity date, interest type, interest rate, benchmark, secured flag, convertible type, issued currency, benchmark spread, and more. Capital IQ’s equity capital structure data points include shares outstanding, authorized shares, issued shares, shares in treasury, component type, par value, and conversion factor.
• Identifiers: Company identifiers
• Key Developments: Provides summaries of material news and events that may affect the market value of securities. We monitor over 100 Key Development types including executive changes, M&A rumors, changes to corporate guidance, delayed filings, SEC inquiries, and many more. Each Key Development item includes announced date, entered date, modified date, headline, situation summary, type, source, company role, and other identifiers. Portfolio managers and researchers use Key Developments to predict the impact of discrete qualitative or quantitative events on future company performance.
• People Intelligence: Covers over 4.5 million professionals and over 2.4 million people including private and public company executives, board members, and investment professionals, globally. Each professional in the Capital IQ database has a distinct profile which can include contact details, biography, education, job functions and titles, board memberships, compensation, insider activity, and options holdings.
• Transactions: Access extensive coverage of M&A, private equity, and capital market transactions for over 355,000 deals. Benefits include: detailed analysis of all transactions and ability to follow deal lifecycles, including the status, features, conditions, buyer, seller, etc.

• 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.

• 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.

• A number of datasets contributed by researchers

• 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.

• DealScan, also known as Loan Pricing Corporation Deal Scan, is “the world pre-eminent source for extensive and reliable information on the global commercial loan market.”

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

• 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.

• 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.

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

• Global company fundamentals dataset

• Global institutional, mutual fund, stakeholder and float-related share ownership dataset

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 Reserve Bank 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.

• An historical earnings estimates dataset containing analyst estimates

• This includes management predictions about their own companies

Insiders Data (Thomson Reuters / Refinitiv)

• Insider Filing Data Files are designed to capture all insider activity as reported on SEC forms 3, 4, 5, and 144.

Institutional (13f) Holdings – S34 (Thomson Reuters / Refinitiv)

• 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.

Intraday Indicators by WRDS

• Contains daily stock market indicators obtained from NYSE TAQ data. At daily frequency, it provides per-stock variables such as Volume, Returns, and a variety of others.

IRI Marketing Fact Book (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.

LSPD (London Share Price Database)

• The London Share Price Database (LSPD) is a unique, comprehensive database of UK stock returns covering over 9,000 UK shares from 1955 to date. It is produced by LBS.

• CDS Credit Default Swaps - Markit provides high quality CDS pricing data including CDS composite and contributor level data on approximately 3,000 individual entities. Markit receives contributed CDS data from market makers from their official books and records.
• RED Entity & Obligation - Markit RED is the central source of CDS reference data; enabling counterparties to rapidly agree on transactions and to have confidence in the integrity of the underlying reference data. Markit RED CDS provides verified reference data to the credit derivatives market. Confirming CDS trades with accurate data is essential for managing risk and maintaining operational efficiency in the market.

Mergent FISD (Fixed Income Securities Database)

• Mergent Fixed Income Securities Database (FISD) for academia is a comprehensive database of publicly offered U.S. bonds. Research market trends, deal structures, issuer capital structures, and other areas of fixed income debt research.

Mutual Funds Holdings (S12) (Thomson Reuters / Refinitiv)

• The S12 mutual fund holdings database covers almost all historical domestic mutual funds, with the addition of a large collection of international funds from 2017Q4.

• OptionMetrics is a comprehensive database of historical option price, underlying security information, implied volatility, and sensitivity information for the entire US listed and equity options markets from 1996 till present.

Option Suite by WRDS

• Option and equity level indicators derived from underlying option pricing data.

OTC Markets

• Access comprehensive, timely and accurate data available on the 10K securities that trade on the OTCQX, OTCQB and OTC Pink Marketplaces

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.

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

SEC Analytics Suite by WRDS

• SEC Analytics Suite by WRDS with NEW SEC Sentiment and Readability data is positioned for broad business usage – from due diligence and forensic accounting to disclosure research and investment management.
• Simplify research—quickly and easily develop tailored datasets from all SEC filings, parsing millions of regulatory reports based on custom criteria.  The ready-to-use parsed contents and filings archives are updated daily, allowing users to quickly explore data and effectively retrieve widely-used information including; the full list of exhibits, filing size, SEC acceptance date and time, conformed period of the report, historical information on the state of incorporation and headquarters, and SIC code.
• The SEC Readability and Sentiment by WRDS database extends the SEC Analytics Suite by providing, for the first time to academic researchers, a clean set of readability and sentiment measures for every filing since 1994.

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.

TAQ (Trades & Quotes)

• NYSE Trade and Quote (TAQ) 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 SmallCap issues.
• Daily data 2003-2022
• Monthly data 2002 only

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.

Trucost

• Climate Analytics - Through company-level analysis, assess exposure to seven climate-change physical risk indicators, analyze exposure to carbon pricing risk under different future climate change scenarios and evaluate alignment with the Paris Agreement goal to limit global warming to well below 2 degrees C from pre-industrial levels.
• ESG Scores - An environmental, social and governance dataset that provides company level, dimension level, and criteria level scores based on the S&P Global Corporate Sustainability Assessment (CSA) process and publicly available sources, allowing research on impact to a company's business value drivers, including growth, profitability, capital efficiency, and risk exposure.
• Trucost Environmental - Measure environmental impact across key dimensions for over 15,000 companies to assess environmental costs, identify, and manage environmental and climate risk as well as conduct peer and portfolio analysis from a climate and environmental perspective.

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.

Worldscope

• A Refinitiv dataset containing 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.