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

  • Capital IQ: Data on loan level, fixed income, and equity.
  • 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.
  • 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

  • AuditAnalyticsProvides data for tracking and analysis of public company disclosures related to the audit, compliance, governance, corporate actions and federal litigation
  • 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.
  • Beta Suite by WRDS: Tool for calculating common risk factors on stock loadings via regressions.
  • Contributed data: Data ranging from marginal tax rates to mutual fund returns, contributed by researchers from various universities
  • Characteristic Returns: Benchmark returns from “Characteristic-Based Benchmark Returns and Corporate events” by Bessembinder, Cooper, and Zhang.
  • China Factors by Stambaugh, Liu, Yuan: Financial factors of China by Stambaugh, Liu, and Yuan.
  • Compustat Marginal Tax Rates: Devised marginal tax rate returns by Blouin, Core, and Guay.
  • Deal Scan Lender Link Tables: Tables presenting links between Compustat and BankScope identifies and Link DealScan lender names by Schwert.
  • Factset – Stock Ownership Summary: Data on stockholder ownership by Ferreira and Matos.
  • GGL Measures of Common Ownership: Measures of common stock ownership by Gilje, Gormley, and Levit.
  • Guillen-Capron Shareholder Protections Index: Index of shareholder protections by Guillen and Capron.
  • MFLINKS: Linkings of mutual fund holdings from Thomson s12 and mutual fund performance from CRSP by Wermers and WRDS.
  • Peters and Taylor Total Q: An improvement on the measure for replacement cost of intangible assets by Tobin (Tobin’s Q) by Peters and Taylor.
  • Long-term Investor Value Appropriation (LIVA): Long-term value measure by Siggelkow and Wibbens.
  • Roberts Dealscan-Compustat Linking Database: Linkings of Compustat to Links Dealscan by Chava and Robers (maintained by Roberts and WRDS staff).
  • Forced CEO Turnover: Data on timing of forced CEO turnovers by Peters and Wagner.
  • Shale Well Data: Data on gas wells owned by Shale by Gilje.
  • Better Market Betas: Measures of market beta by Welch.
  • Common Risk Factors in International Stock Markets: Measures of common risk factors within the international stock market by Schmidt, von Arx, Schrimpf, Wagner, and Ziegler.
  • Efficient Frontier by WRDS: Tool for calculating the efficient frontier of various portfolio compositions and optimizing for the optimal risk portfolio and optimal complete portfolio.
  • Federal Judicial Center: Data on various court cases (bankruptcy, civil, federal, appellate, criminal, etc.).
    • Litigation: Data on civil, criminal, appeals, and bankruptcy cases.
    • WRDS Linking: Linkings to Compustat – CIK Link
  • Federal Reserve Bank: Data on foreign exchange rates and interest rates from H.10 and H.15 release from the Federal Reserve Board.
    • Foreign Exchange Rates: Data on foreign exchange rates and trade-weighted indices from the Federal Reserve Board.
    • Interest Rates: Data on interest rates from U.S. Treasuries, private money market, and capital market instruments from the Federal Reserve Board.
  • Financial Ratios Suite by WRDS: Data on financial ratios (profitability, valuation, liquidity, etc.) for U.S. companies.
  • Infogroup: Data on geographical and residential information, made public and business-related (credit card billing, yellow pages, etc.).
  • Intraday Indicators by WRDS: Data on NYSE and NASDAQ stock market daily indicators.
  • Linking Suite by WRDS: Tables presenting links between most-used WRDS databases.
  • Macro Finance Society: Data from four papers on macroeconomics concentrated in finance.
    • Commodity Trade and Currency Returns: IMX Factor from “Commodity Trade and the Carry Trade: A Tale of Two Countries” by Ready, Roussanov, and Ward (2018).
    • Uncertainty: Data from “Measuring Uncertainty” and “Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?” both by Jurado, Ludvigson, and Ng (2015).
    • Q Factors: Q-Factors from “Digesting Anomalies: An Investment Approach” by Hou, Xue, and Zhang (2015).
    • Cay: Data from Consumptions, Aggregate Wealth, and Expected Stock Returns“ by Lettau and Ludvigson (2001).
  • MFLINKS: Tables presenting links between mutual fund performance data from CRSP Mutual Fund data and equity holdings data from Thomson Reuters Mutual Fund Ownership data.
  • Option Suite by WRDS: Data derived from option pricing data on indicators of options and equity.
  • WRDS Factors (Backtester): Tool for calculating the effectiveness of U.S. equity market common asset pricing signals based on historical performance.
  • WRDS TR 13-F Stock Ownership: Tool to composite Thomson Reuters S34 data (mostly composed of institutional ownership data) at a security level.
  • COMPUSTAT
    • “Other Compustat Tools”: Data on marginal tax rates and other annual updates of North America, as well as ratios and financial statements.

Institute for Real Estate Studies

  • 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.
  • 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).
  • 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. 
  • TAQThe Trade and Quote (TAQ) database provides data on intraday transactions for all securities listed on the American Stock Exchange, New York Stock Exchange, the Nasdaq National Market System, and SmallCap issues.
  • TRACE: Trade Reporting and Compliance Engine is a source of over-the-counter (OTC) corporate bond market prices.
  • Thomson Reuters: Data on hedge fund, mutual fund, common stockholders, insider activity, and global syndicated bank loans. Also includes tools to composite Thomson Reuters S34 data.
    • Lipper Hedge Fund: Data on hedge fund performance from over 7,500 funds, including approximately 11,000 graveyard funds.
    • Mutual Fund Holdings: Data on mutual funds registered with the SEC concerning security holding information, including over 3,000 global funds.
    • Institutional Holdings: Data on common stock holdings and transactions of institutions from the SEC Form 13F.
    • Insiders Data: Data on insider activity from the reported information to SEC.
    • DealScan: Data on global syndicated bank loan market from regulatory filings, bank submissions, and journalist contributions.
    • WRDS TR Tools: Tool to composite Thomson Reuters S34 data (mostly composed of institutional ownership data) at a security level.
  • 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.

 

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 CreditView - Structured FinanceUses research from sister company Moody’s Investors Service to provide credit analysis and commentary on structured finance deals, issuers, and trends
  • 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.
  • InfutorProvides detailed individual-level financial and demographic data
  • HFR (Hedge Fund Research) : Hedge Fund data, including holdings, administrative, ROR and AUM details for over 7000 funds.
  • 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

  • CorelogicProvides real estate data including property details, comparable sales, and transaction history reports
  • RentBureauProvides data on rental payment and collection histories
  • CHANGE DESCRIPTION: “between 1999 and 2017” (not 2011)
  • S&P Global Market Intelligence: Real Estate 
  • Zillow: Provides property data, including home values, listings, sales, rental values, and more.CoreLogic
  • 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.
  • Financial data on REITs
  • Freddie Mac Single Family Loan-Level Dataset: Loan performance data on 15.7 million mortgages originated between 1999 and 2017.
  • 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.
  • Trepp: Provides data on commercial mortgage-backed securities and performance on commercial real estate loans.
  • Airdna: Data on AirBnB listed properties used to determine the effect of short-term rentals on traditional processes of AirBnB via metrics such as occupancy and ADR. Tool for isolating effects of pricing and regulations on various financial information of the company, such as tax revenue, bookings, etc.
  • Zillow: Data on Zillow.com transactions concerning real estate.