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1、Navigating WRDS:Overview of Financial Data on WRDSCRSP, Compustat, and IBESDenys GlushkovRabih MoussawiWRDS Librarian ColloquiumWashington, D.C., June 15, 2021.AgendaWhat is WRDS?Sources of Financial DataOverview of Compustat, CRSP, and IBES DataWRDS Tools and Support: How to Get the Help You Need?H

2、ow Can Researchers Use WRDS More Efficiently?.WRDS OverviewSingle and flexible source to extract data from leading research databasesVariety of disciplines: Accounting, Finance, Economics, Banking, Insurance, Marketing, Statistics, +Standardized queries: Every database webpage has the same format: q

3、uery + variable documentation + list of manuals, overviews, & research applicationsIdeal for Data linking: e.g. CRSP (stock prices, dividends, splits), Linking CRSP and COMPUSTAT, Matching IBES and CRSP Data, + linking sample programsInternet-based platform with multiple access optionsWeb queries: c

4、ompatible with various browsers and operating systems (nothing to install)Standardized, easy-to-use, point-and-click interface, unlimited downloads ( 2GB size limit per query)Easy variable and company name searches, and other toolsFast extracts and record retrievals through TerraBytes of dataPC SAS

5、CONNECT remote librariesUNIX X-Windows and batch job capabilitiesFull-time research and technical supportOnline help (variable definitions, data sources, equations, manuals, tutorials, sample programs, FAQs), support, and 24/7 network monitoringData Overviews, Research Applications, Knowledge Base a

6、nd ForumsWRDSWe are WRDS users too.WRDS HistoryOriginally developed for Wharton needs:Centralize data management and research support Provide faculty and PhD candidates with web-based, and interactive research toolsGrown from 2 subscribers in 1997 to 250+ subscribers in 2021:All top academic and non

7、-profit research institutions We support over 18,000 faculty and other researchers accountsData increased from 60 GB to 30+ TBOriginally accounting and financial data; now includes economic, banking, insurance and marketing dataSeveral Free Data SourcesPartnerships with leading data vendors: Grown f

8、rom 2 to 40+ data providers.Data Licensing and Access with WRDSDatabases la carte Data WRDS Licensing Subscription Agreement Agreement Re-distribution agreementWRDSData Vendor WRDS Subscriber.WRDS TechnologyFlexibility to Connect and Get Data Libraries/LabsOn the roadUser PCWRDS server.WRDS Account

9、Types Web UNIX Expiration queries login* dates Faculty x x Full time Staff x xPhD Candidates x x x Master Students x x Research Assistants x x x Visitors* x x x Shared Class Accounts x x Library & IP-based x * Visitors must have formal, temporary appointment* Also allows for PC SAS CONNECT sessions.

10、Market Data CRSP, OptionMetrics, & others Prices and Returns of equities and bonds- Shares Outstanding, Volume, and Market Capitalization- Historical Data, no selection or survival biases Prices (NAVs) and Returns of REITS and Closed end funds Prices, Volumes, and Implied Volatilities of traded Opti

11、ons Bond Prices, Returns, and Ratings (S&P Ratings, FISD, Trace)Accounting Data Compustat & others BS, IS, and CF numbers from 10-K, 10-Q filings- Quarterly and Annual Freqs (observed with lags)- Financial, Accounting, and Industry Specific Data (e.g. SSS, Verified Oil Reserves) Executive Compensati

12、on Data(Analyst) Forecasts Data IBES, FirstCall, & others Analyst expectations about companies future Earnings (future EPS, g(sales), or SSS)- Valuation assessments: Recommendations, Price Target Revisions and new estimates on daily frequencyOwnership Data Thomson Reuters Ownership Data Ownership by

13、 companies insiders and large blockholders Aggregate Ownership by institutions with $100million in discretionary assets , at the security level (e.g. hedge funds, mutual funds Vanguard Group) - Ownership by mutual fund management companies, at the fund level (e.g. Vanguard S&P500 Index Fund, etc)SEC

14、EDGAR, IAPD,Sell-Side Analysts (brokers)Exchanges, &Financial Information by Source.Data on WRDS Easy and Flexible Extracts.S&Ps Compustat Accounting and Financial DataCompustat North-America: U.S. and Canadian fundamental and market information on around 31,000 active and inactive publicly held com

15、panies, from 1950-presentCompustat Global: fundamental, market, and currency data for more than 30,000 publicly traded companies in global markets (80 countries), from 1988-presentFundamental data available on an annual and quarterly frequencies with thousands of Income Statement, Balance Sheet, Sta

16、tement of Cash Flows, and supplemental & industry-specific data itemsMarket data available on a monthly and daily frequencies with Prices, Dividends, Returns, Trading Volume , Shares Outstanding and Short-Interest InformationInformation on Indices, Segments, Banks, Incentive plans, Pension Data Item

17、s, as well as: Executive Compensation and S&P Credit Ratings XpressIn the summer of 2007, WRDS adopted the Xpressfeed format of Compustat North America, containing more details on a wider array of companies.Compustat Example Live DemoGet Current Assets, Inventories, and Long-Term Debt for Microsoft,

18、 Dell, and IBM between Jan 2000 and April 2021/wrds/ds/comp/funda/index.cfm.Basic Compustat StructureFundamental DataCompustat Annual & Quarterly Fundamentals: North America & GlobalOther DataSecurity Data North America & GlobalCompany Financial and Accounting DataS&P Credi

19、t Ratings XpressPoint-In-TimeIndustry SpecificSegmentExecutive Compensation.WRDS Support: CompustatOverview to Compustat XPressfeed Database, FAQs, and WRDS Reference M/wrds/support/Data/_001Manuals%20and%20Overviews/_001Compustat/index.cfm Comprehensive Dataset and

20、 Variable List /wrds/support/Data/_002Dataset%20List.cfm?dataVendor=compFinancial Statements, S&P 500 Index Constituents, and other Tools: /wrds/aux_/finstate/indexqtr.cfm /wrds/ds/comp/spindex/index.cfmSample Programs: ex

21、tracts, filing dates, portfolios, earnings surprises, # of segments, /wrds/support/Data/_003Sample%20Programs/Compustat/index.cfmResearch Applications: book-to-market, linking, /wrds/support/Data/_004Research%20Applications/index.cfm.CRSP S

22、tock Market DataCenter for Research in Security Prices (CRSP) is a research center at the Booth School of Business of the University of ChicagoComprehensive collection of daily and monthly security price, return, and volume data for the NYSE, AMEX and NASDAQ stock marketsDaily and Monthly data for r

23、oughly 28,000 securities of Domestic companies and ADRs traded on major exchanges (no OTC), from 1925presentComplete historical information (bias-free): Accurate accounting of special distributions and stock splits in return calculationKeep delisting companies (pre-M&A or bankruptcies), and delistin

24、g returnsAdditionally provide stock indices, beta- and cap-based portfolios, treasury bond and risk-free rates, CRSP/Compustat Merged Database, REITs, and mutual fund databases.CRSP Example Live DemoGet monthly prices, return and volume information for Microsoft and Ford from 1925 to 2021Find all st

25、ocks that were trading in NYSE at the end of November 1929, and get their month-end prices, return and volume /wrds/ds/crsp/mstk/index.cfm?navGroup=AnnualUpdateMonthlyStocks.Basic CRSP StructureMonthly Security DataCRSPSecurity DataOther Market DataOther Products

26、:- CRSP-Compustat Merged Product (CCM)- CRSP Mutual Fund Database- CRSP Ziman REITs DatabaseStock DataEvent FilesIndices and Decile PortfoliosTreasuries and Inflation.WRDS Support: CRSPComprehensive Dataset and Variable Lists, FAQs, Manuals & Data G/wrds/support/Data/_

27、002Dataset%20List.cfm?dataVendor=/wrds/support/Data/_001Manuals%20and%20Overviews/_002CRSP/index.cfm Linking CRSP-Compustat Data (with and without CCM Product)/wrds/support/Data/_001Manuals%20and%20Overviews/_002CRSP/index.cfmTools: Returns + D

28、ecile Assignments , Translate to PERMNO/PERMCO , Mutual Fund Returns & Fama-French , Market Indices , Events and Names /home/tools.shtml Sample Programs: Data Extracts, CCM and merging by CUSIP, Calculate CAPM beta, Excess returns, Portfolio formations, plots, Event studies, Mu

29、tual fund /wrds/support/Data/_003Sample%20Programs/CRSP/index.cfmResearch Applications: Compounded returns, Momentum and Governance Portfolios, Rolling Regressions, Beta Estimation, Event Studies /wrds/support/Data/_004Research%20Applicatio

30、ns/index.cfm.Thomson Reuters IBESAnalyst Forecast DataAnalysts earnings and sales forecasts (+), consensus estimates, and Buy/Hold/Sell RecommendationsComprehensive Global Coverage: Domestic and International public companies from 1980presentFeaturesup to 26 forecast measures including GAAP and pro-

31、forma EPS, revenue/sales, net income, ROA, ROE, pre-tax profit and operating profit, EBIDTA, etc.Company indentifying information and exchange ratesNEW data on price targets, company level footnotes and restated actuals (all in detailed and summary formats) .IBES Example Live DemoGet price target da

32、ta for Lehman Brothers between July -Sep 2021 (e.g., value, horizon, announcement date, analyst name)/wrds/ds/ibes/ptgdet/index.cfm.Basic IBES StructureIBESAdjustedUnadjustedRecommendationsDetailSummaryDetailSummary.WRDS Support: IBESDetailed overview of IBES and empirical

33、/wrds/support/Additional%20Support/WRDS%20Presentations/_000user2007/analyst_data.pdfLinking IBES and CRSP/wrds/support/Data/_005Linking%20Databases/_000Linking%20IBES%20and%20CRSP%20Data.cfm Important updates on data quality and changes to I

34、BES /wrds/support/Data/_001Manuals%20and%20Overviews/_003I-B-E-S/index.cfmSample programs and Research Applications: Calculate earnings surprises, work with unadjusted data, link recommendations and estimates, and many /wrds/support/Dat

35、a/_003Sample%20Programs/I-B-E-S/index.cfm.Other Popular Databases on WRDSNYSEs Trades And Quotes (TAQ) Database: High-frequency data Intraday trades and quotes for all securities on Major US ExchangesThomson Reuters Ownership Databases: 13F, Mutual Funds, InsidersRiskMetrics Governance, and KLD Soci

36、al Rating datasets:Governance Provisions: Dual Class, Poison Pills, and other antitakeover provision dummiesBoard of Directors: list of board members, with additional information (ownership, bio,)Shareholder Proposals and voting records: NEW Datasets on types of proposals by shareholders and votes g

37、arnered during annual meetingsKLD Social and Environmental Records: criteria to measure corporate social responsibility, such as environment, employee relations, human rights, governance, community issues S&P Credit Ratings Xpress, TRACE and FISD Bond DataFree Datasets (CBOE Indexes, DJ Averages, Fa

38、ma-French, Liquidity factors).WRDS Tools: Company & Variable SearchCompany search tool /cgi-bin/tools/lookupcomp.cgiAllows users to search for a company by CUSIP, Ticker or company name across a host of different databases on WRDS (CRSP, Compustat, Thomson, TAQ, Insiders, etc)V

39、ariable search /cgi-bin/tools/lookupvar.cgiAllows users to search for a given variable within either variable name or label or both across a wide range of various databases on WRDS (CRSP, Compustat, IBES, TAQ, Global Insight, etc).How to Get SupportResearch and Technical Su

40、pportOnline Help (24/7) Database Manuals plus additional support documentationData Overviews: /support/dataoverview.shtml e.g. OptionMetrics OverviewResearch Applications: /support/researchapp.shtml e.g. Portfolio Construction, Event StudiesSample Programs

41、: /support/dslist/dsl.shtml e.g. Merging CRSP and CompustatVariable Search: /cgi-bin/tools/lookupvar.cgi e.g. CompensationCompany Search: /cgi-bin/tools/lookupcomp.cgi e.g. MicrosoftWRDS Knowledge Base: FAQ archive of answers to commo

42、n user questions /cgi-bin/mywrds/knowledgebase.cgi e.g. How to find IPO dataFORUMSWRDS: Interactive users questions and suggestions /forums/ e.g. Fama and MacBeth Regressions support at (Monday-Friday, 9a-5p EST)Researchers a

43、nd Technical Experts ready to assist with:Data extraction, merging, and management.Programming and technical problemsOther research concerns.Advanced WRDS FeaturesAccess Data Remotely on WRDS ServerWhat if a web query does not do all that you need it to do?Example: Find all companies in 1997 with sa

44、les greater than 1 billion, total assets greater than 5 billions, and with more than 30 years of publicly reported financial statements. AdvantagesDisadvantagesUnix Simple set up.Line-based editing. Only batch runs.PC-SAS/Connect Interactive runs. Limited UNIX commands. Each method can perform a basic data extract, combining different variables from various datasets, and serve as the first step in a full-fledged statistical program. There is no need to download and import data into a separate system or even a second program to complete the analysis. SAS Connect makes use of both SA