Wharton Research Data Service (WRDS)

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.

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.

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.

S&P Capital IQ'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.

S&P Capital IQ's Compustat Global
S&P Capital IQ's 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. S&P Capital IQ's 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.

Also includes:

• Bank
• Historical Segments
• Customer Segments
• Compustat Quarterly Updates
• Execucomp
• Marginal Tax Rates

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

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.

Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalogue and non-profit database marketing businesses are available through DMEF to approved academic researchers for use within academic situations. 

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.

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 web site at Dartmouth.

The Federal Reserve Bank Reports in WRDS contain three databases collected from Federal Reserve Banks: two of them come from Reports published from the Federal Reserve Board, and the other comes from the Federal Reserve Bank of Philadelphia.

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. Data for the Total Return Indexes is available after 1987.

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.

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.

MSCI ESG KLD STATS (STATS) is an annual data set of positive and negative environmental, social, and governance (ESG) performance indicators applied to a universe of publicly traded companies. The MSCI ESG KLD STATS data set was initiated in 1991, and is one of the longest continuous ESG data time series available.

The most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces.

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.

The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options, and 100 currency pairs. On the equity floor, PHLX’s PACE (Philadelphia Automated Communication and Execution) system was one of the first automated equity trading systems on any exchange.

Environmental, Social, and Governance (ESG) and reputational risk data on thousands of public companies from all sectors and countries. Coverage is from 2007 onwards.

Data is available on WRDS through 2005, and is no longer updated.

OptionMetrics provides historical options data for use in empirical research and econometrics studies.  

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.