Databases available through WRDS                         

This is a list of the databases which SOM faculty and students can access. These databases can be accessed through UB library. Those faculty and PhD students who need a special account with WRDS can contact Julia Cohan                                                       

Bank Regulatory The Bank Regulatory Database contains five databases for regulated depository financial institutions. These databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. The source of the data comes from the required regulatory forms filled for supervising purposes
bank.all Bank Regulatory Database
 
Blockholders Blockholders contains standardized data for blockholders of 1,913 companies. The data was cleaned from 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.
block.all Blockholders Database

CBOE Indexes The 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. The VIX measures the market's expectation of 30-day volatility. The VIX is based on S&P 500 index option prices and incorporates information from the volatility skew by using a wider range of strike prices rather than just at-the-money series.
cboe.all Chicago Board Options Exchange Database

CISDM The Center for International Securities and Derivatives Markets (CISDM) provides data on Hedge Funds, active CTAs, and CPOs.
cisdm.all   Fundinfo and Performanceinfo

*  COMPUSTAT The Standard & Poor's COMPUSTAT database provides the annual and quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items on most publicly held companies. COMPUSTAT files also contain information on aggregates, industry segments, banks, market prices, dividends, and earnings.
comp.backdata Company Financials Backdata (Base Product: Industrial, Segments +) comp.bank Bank
comp.execucomp Executive Compensation
comp.full Company Financials (Base Product: Industrial, Segments +)
Price, Dividends, Earnings-- Active Equities (Active, Inactive Equities)
Segments -- Inactive Companies (research file)
comp.segbackdata Segments Backdata
comp.segresearchbackdata Segments Backdata -- Inactive Companies (research file)

*  CRSP The Center 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. Additional CRSP files provide stock indices, beta- and cap-based portfolios, treasury bond and risk-free rates, and mutual fund databases.
crsp.dailystocks Daily Stocks
crsp.indices Indices NYSE, AMEX, NASDAQ & S&P
crsp.monthlystocks Monthly Stocks

DMEF - Direct Marketing Educational Foundation  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.
dmef.all Direct Marketing Educational Foundation

DOE - SEC Disclosure of Order Execution SEC-mandated Disclosure of Order Execution Statistics.  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 11Ac1-5, 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 - the spreads actually paid by investors whose orders are routed to a particular market center. 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.
doe.all Disclosure of Order Execution Statistics

Dow Jones The Dow Jones database covers the Dow Jones Averages and the Dow Jones Total Return Indexes. The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite, as well as The Dow Jones Industrial, The Dow Jones Transportation, The Dow Jones Utility, the The Dow 10, and The Dow 5. The Total Return Indexes account for reinvested dividends, and, like all Dow Jones Total Market Indexes, cover 95% of the underlying market.
djones.all Dow Jones Averages & Total Return Indexes

Federal Deposit Insurance Corporation (FDIC) The Federal Deposit Insurance Corporation (FDIC) dataset contains financial data and history of all entities filing the Report Of Condition and Income (Call Report) and some savings institutions filing the OTS Thrift Financial Report (TFR). These entities include commercial banks, savings banks, or savings and loans.
fdic.all FDIC Call Report

Fama French Factors Fama-French Research Portfolios and Factors. The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors.
ff.all Fama-French portfolios and factors

Federal Reserve Bank Reports The Federal Reserve Bank Reports contains three databases collected from Federal Reserve Banks. Two of them (Foreign Exchanges and Interest Rates) come from reports published for the Federal Reserve Board (H.10 and H.15 reports). The other one contains the Coincident State Indexes from the Federal Reserve Bank of Philadelphia.
frb.all Foreign Exchange Rates, Interest Rates, and State Composite Indexes

*  First Call  The First Call Historical Database, or FCHD, is a history of First Call's Real Time Earnings Estimates. FCHD sets a new standard for quality and timeliness of historic earnings forecast data.
fc.all  First Call Historical Database

*  I/B/E/S The Institutional Brokers Estimates System (IBES) provides consensus and detail forecasts from security analysts, including earnings per share, revenue, cash flow, long-term growth projections and stock recommendations.
ibes.all IBES Forecasts, Recommendations & Actuals-- Individual and Summary 

IRI Information Resources, Inc. (IRI) provides point-of-sale information from grocery and drug stores.
iri.all IRI Marketing Fact Book 

*  NASTRAQ The North American Securities Tracking and Quantifying System (NASTRAQ) database provides intraday trades and quotes for all Nasdaq stocks.
1999 – 2004
nastraq.2004 NASDAQ Trades and Quotes 2004 (example)

Philadelphia Stock Exchange The Philadelphia Stock Exchange's United Currency Options Market (UCOM) offers choice of expiration date, strike (exercise) price, premium payment and any combination of 10 currencies currently available for a total of 100 possible currency pairs.
phlx.all Currency Options and Implied Volatility 

Penn World Tables The Penn World Tables provides national income accounts-type of variables converted to international prices. The homogenization of national accounts to a common numeraire allows valid comparisons of income among countries. Data comes from Alan Heston, Robert Summers and Bettina Aten, Penn World Table Version 6.1, Center for International Comparisons at the University of Pennsylvania, Ooctober, 2002.
pwt.all The Penn World Tables Database 

SEC Disclosure of Order Execution As a result of Rule 11Ac1-5, 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
doe.all  Disclosure of Order Execution Statistics

*  TAQ The 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 Small Cap issues.  Current on-going subscription. Various past years purchased.
taq.2005 Intraday Trades & Quotes-- NYSE, AMEX, NMS, Small Caps 2005 (example) taq.regsho2005 Reg SHO-- NYSE Short Sales2005

*  Thomson Financial  The Thomson Financial Ownership databases cover Mutual Funds Holdings (CDA/Spectrum s12) and 13f Institutional Holdings (CDA/Spectrum s34). The Insiders Filings database contains transaction and holdings information filed with the SEC.
tfn.13f   Institutional Managers (13f) Holdings

TRACE TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.
trace.all TRACE