Databases

List and description of databases available from the Department of Finance.

Access to some of these databases is limited to the Department of Finance faculty and graduate students. Please contact for further details.

Rogers Family Trading Room

  • FactSet: Financial statement and price data, ShareRepellent dataset, Lionshares Institutional Ownership data, Mergerstat, Transcripts of conference calls and more.
  • Bloomberg: News plus both Historical and Current pricing for Equity, Fixed Income, Commodity, and FX.
  • Morningstar: Mutual Fund and Hedge Fund performance and holdings data.
  • TradeStation: Real time and historical market price data for US, German, and Eurex stocks, Forex data, futures, and options.
  • Thomson Reuters Eikon (includes Datastream and modules from Thomson One Banker): Historical stock index data, exchange rates, interest rates, warrant and commodity data, economic data, bonds, equities, and company accounts.  Eikon also provides real time market data and the Ownerships, Estimates, and Financials modules from Thomson One Banker.

WRDS

  • Bank Regulatory: Provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions.
    • Commercial Bank: Contains data derived from the Report of Condition and Income (also called the “Call Report”) for banks regulated by the Federal Reserve System, Federal Deposit Insurance Corporation, and the Comptroller of the Currency.
    • Bank Holding Company: Contains data derived from the FRY-9 reports of bank holding companies.
    • FDIC/OTS Deposit: Deposit data on each office of every FDIC-insured bank and savings association.
    • Merger Description: Provides acquisition/merger data about conditions when a financial institution ceased to exist.
  • Blockholders: Includes standardized data for blockholders of 1,913 companies.
  • CBOE Indexes: Volatility measure is a key measure of market-implied expectations of near-term volatility as conveyed by S&P 500 stock index option prices.
  • COMPUSTAT: Database of U.S. and Canadian fundamentals and market information on active and inactive publicly held companies.
  • Execucomp: Executive compensation for top 5 executives of the approximately 1,500 of the largest public firms. Includes stock and options grants and pension data.
  • CRSP: Stock and mutual fund prices and returns.
  • CUSIP: CUSIP numbers and descriptions of corporate, municipal and government securities offered in North America.
  • DMEF Academic Data: Four data sets containing the buying history of customers of nationally known catalog and non-profit database marketing businesses.
  • Dow Jones: The Dow Jones Averages: Daily and Monthly Dow Jones Composite (DJA), Dow Jones Industrial (DJI), Dow Jones Transportation (DJT), Dow Jones Utility (DJU), Dow 10, and Dow 5.
  • Event Study by WRDS: Perform daily and long run event studies by uploading your own events.
  • Fama French & Liquidity Factors: ME, BE/ME factors of F-F, as well as the Pastor-Stambaugh Liquidity series and the Sadka Liquidity measure.  FF measures available on daily and monthly basis (also available on Ken French's webpage).
  • Federal Reserve Bank
    • ForeignExchange: Based upon the Federal Reserve Board’s H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices.
    • Interest Rates: Based upon the Federal Reserve Board’s H.15 release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments.
  • I/B/E/S: Summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations.
  • IRI: The IRI Marketing Fact Book contains data on grocery store purchases from a representative sample of static qualifying U.S. panelist households to help make intelligent inferences for strategic planning and decision making. These purchases are continuously tracked across all UPC-coded brand-items in all categories
  • ISSM: Tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992.
  • ISS (formerly Riskmetrics,subscription is not current, the latest data available is for the fiscal year 2012):
    • Directors Data: includes variables related to board directors (e.g., name, age, tenure, gender, committee memberships, independence classification, primary employer and title, number of other public company boards serving on, shares owned, etc.).
    • Corporate Takeover Defenses: include variables related to shareholder voting rights, takeover defense tactics (e.g., poison pills), and related provisions.
  • Mergent FISD: FISD contains issue details on over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items. FISD provides details on debt issues and the issuers, as well as transactions by insurance companies.
  • MSRB: MSRB collects and makes publicly available data on the municipal security market 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.
  • Option Metrics: Includes historical price, implied volatility, and sensitivity information for US equity and index options, covering all US listed index and equity options beginning in 1996.
  • OTC Markets: End-of-Day pricing on 10,000+ 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.
  • Peters and Taylor Total Q:  Dataset constructed to extract firms' "Total q" ratio (includes intangible capital in denominator) and the replacement cost of firms' intangible capital for COMPUTSTAT firms from 1950-2015.
  • PHLX: Information regarding the Philadelphia Stock Exchange and the stocks, equity options, sector index options and currency pairs traded therein.
  • Public (misc): Variety of data from public sources (e.g., Bureau of Economic Analysis, Bureau of Labor Statistics, Healthcare data, NYC Taxi service information), that WRDS aggregates, updates, and makes available in consistent format.
  • Research Quotient:  Database made available to subsribers of COMPUSTAT that helps analyze and measure the effectiveness of the firm's R&D. Research Quotient measures the output elasticity of R&D (i.e. % increase in revenue from 1% increase in R&D).
  • SEC Order Execution: Data for 2000-2005 on quality of executions at various exchanges 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.
  • LIPPER TASS Hedge Fund database: Data on the performance and fees for hedge funds and funds of hedge funds.
  • TRACE: Trade Reporting and Compliance Engine is a source of over-the-counter (OTC) corporate bond market prices.
  • Thomson Reuters DealScan: Source of information on the global syndicated bank loan market. Data sources include regulatory filings, bank submissions and journalist contributions.
  • WRDS Bond Returns: 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. Data easily link to TRACE and CRSP databases.
  • WRDS SEC Analytics Suite: A “one-stop” research platform that provides standardized service tools to enable users to overcome the challenges in systematically parsing regulatory reports on the SEC website. Contains SEC filings index, readability and sentiment measures, list of filings exhibits, list of 8K items, 13F holdings data, and link tables for CIK-CUSIP and GVKEY-CIK.

Other

  • BoardEx: Contains biographical information of most board members and senior executives of public firms around the world and the relationships between them.
  • Mergent Municipal Bond Database: Details for more than two million municipal bond issues.
  • Moody’s Default and Recovery Database: Rating data for individual debt securities and distinct issuers. Provides data needed to estimate likelihood of default, loss given default, and overall expected loss.
  • Thomson One Banker (can be accessed via web page or Eikon program):
    • Deals module: detailed information on new issues, mergers and acquisitions, syndicated loans.
    • Private Equity module: SDC VentureXpert - provides information regarding venture capital, buyouts, private equity funds, firms, executives, portfolio companies and limited partners.
  • WorldScope (available via Datastream): Detailed financial statement data and profile data on public companies domiciled outside of the United States of America. It also contains complete coverage of US companies filing with the Securities Exchange Commission, with the exception of closed end investment companies.
  • Raven Pack: Provides real-time news analysis services.  Fast and accurate for analyzing unstructured content.  Useful for incorporating public information.  Services include News Analytics and RavenPack Labs (which derives quantitative factors from news items).
  • ISS Direct: Includes data on proxy voting results for companies, as well as data on historical mutual fund voting.
  • HFR (Hedge Fund Research) : Hedge Fund data, including holdings, administrative, ROR and AUM details for over 7000 funds.
  • BarclayHedge (Global and Graveyard): Data on Hedge Funds, Funds of funds, and CTAs.  Monthly returns, holdings, performance, assets, and fees data.
  • SDC VentureXpert: Accessed through Thomson One Banker's Private Equity module, VentureXpert provides comprehensive information covering venture, buyouts, private equity funds, firms, executives, portfolio companies and limited partners around the world. Allows for analysis of fund commitments, portfolio company investments, round valuations, and fund performance.
  • SDC: Accessed through Thomson One Banker's Deal module, SDC provides detailed information on new issues, mergers and acquisitions, syndicated loans, private equity, proxy fights, venture capital, bankruptcies and exchange offers, and more for the global financial marketplace. Some of the databases in SDC go back to the 1970s. However, it can typically be relied upon to provide comprehensive data for at least the past ten to fifteen years. The database is continuously updated.

Institute for Real Estate Studies

  • CRSP/Ziman REIT: Prices returns on other data for REITs and REIT indices.
  • Home Mortgage Disclosure Act (HMDA) : Federally collected information on mortgage applications from all lenders (accept/reject decision).
  • New Century Mortgage Data: Subprime mortgages (origination and performance) originated and/or serviced by bankrupt New Century.
  • SNL REIT Datasource: Financial data on REITs
  • Freddie Mac Single Family Loan-Level Dataset: Loan performance data on 15.7 million mortgages originated between 1999 and 2011.
  • BlackBox (BBX): BBx Data® provides detailed information regarding loan characteristics (at origination) and historical loan performance of the underlying loans in residential mortgage-backed securities in both the agency and non-agency markets.
  • Treep: Provides data on commercial mortgage-backed securities and performance on commercial real estate loans.
     

Selected Penn State Schreyer Business Library Data Sources

  • ABI/Inform: This database (part of ProQuest) provides online access to articles from the Wall Street Journal as well as from leading business periodicals.
  • Best’s Library Center: A database for research on insurance companies. Includes Best’s Insurance Reports on Property/Casualty and Life/Health companies in the U.S. and Canada.
  • Capital Changes: Provides the facts and figures to compute a security holder’s gain or loss from capital changes. Covers federal tax consequences of capital changes for more than 58,000 corporations and organizations resulting from stock dividends, stock splits, reorganizations, exchanges, rights and other changes in capital structure in a database that spans over 100 years.  Access this through CCH IntelliConnect.
  • Tax Research Network: This database provides state and federal taxation information. Access through CCH IntelliConnect.
  • Deal Pipeline: Provides news and comments from analysts on mergers and acquisitions, IPOs, financings, and bankruptcies.
  • Factiva: Search tool for leading business and news publications, including the Wall Street Journal, Barron’s, and The New York Times. Also includes company financials, industry snapshots, and stock quotes.
  • IBISWorld: This database contains over 700 full-text industry reports.
  • Mergent Online: a subscription-based service offering information on 15,000 U.S. public companies and 30,000 non-U.S. Public companies.
  • Mintel: This database provides the full-text of market research reports for the U.S. and European consumer markets.
  • Thomson ONE Banker (Investext): Contains research reports written by analysts at investment banks, brokerage houses, and consulting groups worldwide.