WRDS: Wharton Research Data Services

a brief introduction to the datasets in WRDS provided by the Walton College of Business.

WRDS Products and Vendors

  • Beta Suite
  • Bond Returns
  • Efficient Frontier
  • European Short Data
  • Event Study
  • Factors
  • Financial Ratios Suite
  • Intraday Indicators
  • Linking Queries
  • Subsidiary Data
  • US Patents
  • World Indices

Business Librarian

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Anna Clymer
she/her
Contact:
MULN 422
(479) 575-4810

Using the Datasets

If you are new to WRDS, dive into Wharton provided eLearning videos to discover all the abilities of the Wharton Research Data Services (WRDS).

Third Party Datasets

AuditAnalytics: detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies. Know who is auditing whom and how much they are paying for what services. Create reports by auditor, fees, location, industry and more...

Bank Regulatory: contains five databases for regulated deposited financial institutions. These databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loan institutions. The source of the data comes from the required regulatory forms filed for supervising purposes.

Blockholders: contains standardized data for Blockholders of 1,913 companies. The data was cleaned of 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.

BoardEX: Access educational background, prior employment, and connections of directors and executives. Analyze the proportion of politically connected directors, using CEO-level controls such as age, gender, and experience. Extract executive stock option holdings.

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. VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.

Compustat - Capital IQ: S&P Global Market Intelligence, formerly S&P Capital IQ and SNL Financial, is a division of S&P Global (NYSE:SPGI). The firm is a leading provider of financial and industry data, research, news and analytics to investment professionals, government agencies, corporations, and universities worldwide. 

CRSP: 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.

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. 

ETF Global: Exchange-traded funds — pursue return, manage risk, utilize investment analysis, and generate investment ideas on over 1900 U.S. listed products.

Eventus: performs event studies using data read directly from CRSP stock databases or pre-extracted from any source. 

FactSet: FactSet provides financial data and market intelligence on securities, companies, and industries.

Fama-French Research Portfolios and Factors: constructed from the intersections of two portfolios formed size, as measured by market equity, and three portfolios using the ratio of book equity to market equity as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors.

The Federal Judicial Center's (FJC) Integrated Database: Contains data on all federal, civil, criminal, bankruptcy, and appellate court case information reported by the courts to the Administrative Office of the U.S. Courts. Coverage: mid-1969 through the present.

Historical SPDJI: More assets are invested in products based on our indices than products based on indices from any other provider in the world. Since Charles Dow invented the first index in 1884, S&P DJI has been innovating and developing indices across the spectrum of asset classes helping to define the way investors measure and trade the markets.

IBES International Inc: provides 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 integrated with Thomson Financial/First Call. First Call supports research endeavors in the academic community. Academic Global Summary History WRDS (IBES Estimates). 

Information Resources, Inc. (IRI): is a leading sales and marketing research partner in the expanding global consumer goods industry. They provide their clients with superior consumer insight and market intelligence by leveraging their competitive advantages in robust data, industry-leading research and analytic techniques, innovative Web delivery technology, and quality client service. The IRI datasets cover the 1983-1997 Marketing Fact book.

ISS: Institutional Shareholder Services: Access Historical Governance, Historical Directors data, Voting Results data, Voting Analytics with N-PX data, Incentive Lab data, and Shareholder Proposal data.

Macro Finance Society: Curates a list of datasets from several influential papers broadly in the area of macro-finance. We will continue to maintain and expand on our collection, and our goal is to help facilitate the dissemination of high-quality datasets for the profession. We welcome data submissions. Please refer to the society website for details.  

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.

MSRB - Municipal Securities Transaction Data:  The MSRB collects and makes publicly available through its Electronic Municipal Market Access (EMMA). The trades represent transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities, including states, counties, cities and special tax districts.

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.

OTC Markets:  provides access on the 10K securities that trade on the OTCQX, OTCQB and OTC Pink Marketplaces.

Pastor-Stambaugh and Other Liquidity Factors: Featuring Pastor-Stambaugh, China, and Sadka Factors.

Peters and Taylor Total Q: An improved Tobin’s q - replacement cost of intangible capital - by Ryan Peters (Tulane) and Lucian A. Taylor (Wharton)

The Philadelphia Stock Exchange (PHLX): The PHLX trades more than 2,800 stocks, 740 equity options and 100 currency pairs.

Public Data: Public data on WRDS comes 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.

RavenPack; RavenPack News Analytics: Analyze unstructured content from thousands of publications to extract information on named entities with sentiment, and financially-relevant events.

Research Quotient: Firm’s R&D productivity. Created by Anne Marie Knott (Washington U. in St. Louis)

SEC Order Execution: 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 11 Actt1-5, 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. 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/Refinitiv: an LSEG (London Stock Exchange Group) business, is one of the world’s largest providers of financial markets data and infrastructure. Refinitiv is powering participants across the global financial marketplace by providing information, insights, and technology that enable customers to execute critical investing, trading and risk decisions with confidence. 

TRACE: Trade Reporting and Compliance Engine: is FINRA's over-the-counter corporate bond market real-time 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.

**Plus some additional sample and trial products.