Wharton Research Data Service (WRDS)
WRDS (pronounced "words") is a data subscription service that is provided by The Wharton School, University of Pennsylvania. It offers historical financial, accounting, banking, economics, management, and marketing data through a single web-based interface. It is ideal for large research projects covering many companies and securities.
How can I access WRDS?
- Eligible members within the Western community can request an account. WRDS is only available to current Western Master's and PhD students, staff, and faculty members.
- If you already have an account you can access the database through the member login page.
What does WRDS include?
The following data sets are available to Western researchers:
| Dataset Title | Description |
|---|---|
| Bank Regulatory |
Includes accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. Provides raw cell report data from the FFIEC and bank holding company financials and structure data from the NIC on an ongoing basis. |
| Blockholders |
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. This database was created as part of a research paper and will not be updated. |
| Cboe Options |
Daily levels of Cboe's volatility index (VIX). |
| Compustat - Capital IQ |
S&P Global Market Intelligence Data available through WRDS. Compustat provides standardized North American and global financial statement and market data for over 80,000 active and inactive publicly traded companies. |
| CRSP (Centre 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. Provides stock indices, beta-based and cap-based portfolios, treasury bond and risk-free rates, mutual funds, and real estate data. |
| DMEF Academic Data (Direct Marketing Educational Foundation) |
Contains customer buying history for about 100,000 customers of nationally known catalogue and on-profit database marketing businesses. Corporate names are anonymous and customer names and addresses have been removed, but the business type is indicated. |
| Environmental Suite |
The Environmental Suite measures pollutants rather than relative scores. It focuses on environmental compliance by reporting on inspections, violations, and enforcement actions by the US Environmental Protection Agency. The data is based in part on the EPA's ECHO program, which covers over one million facilities nationwide. |
| Eventus |
Performs event studies using data read directly from CRSP stock databases or pre-extracted from any source. 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. |
| Fama-French Portfolios and Factors |
The original factors on market risk, company size, and style (growth vs. Value), along with later extensions. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns. The Fama-French data source is Kenneth French's website at Dartmouth. |
| Federal Reserve Board Reports |
Provide selected interest rates and foreign exchange rates data from Federal Reserve Board's H10, G5, H15, and other releases. |
| Historical SPDJI |
Closing prices and returns for the Dow Jones Industrial Average and other Dow Jones Indices. |
| OptionMetrics | Provides data on U.S. options and their underlying securities, including historical price, implied volatility, and sensitivity information. |
| OTC Markets |
Access comprehensive, timely, and accurate data available on the ten thousand securities that trade on the OTCQX, OTCQB, and OTC Pink marketplaces. |
| Philadelphia Stock Exchange (PHLX) |
The Philadelphia Stock Exchange founded in 1790 is the oldest organized stock exchange in the nation. United Currency Options Market offers choice of expiration date, strike price, etc. and any combination of 10 currencies available. This data is no longer updated. |
| RepRisk |
Identify and assess ESG risk incidents in a systematic way and analyze company conduct around the world. |
| SEC Order Execution |
Provides SEC-mandated Disclosure of Order Execution statistics. Electronic disclosure of basic information concerning their quality of executions on a stock-by-stock basis. Data is available through 2005 and is no longer updated |
| TRACE |
FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It reports price and other details of bond transactions in several categories.
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