Wharton Research Data Services (WRDS) at the University of Pennsylvania provides access to several databases. Faculty and PhD students may request an account, which allows them to store results on WRDS servers. All other students may access the data directly, but must store query results locally.
The data vendor names (such as CBOE Indexes) are linked to the web query pages within WRDS. Listed below are only those datasets for which the University at Buffalo has a subscription. There are many datasets that we do not have access to query. If you get an error message, check to be sure UB has permission for that data.
|Bank Regulatory||The Bank Regulatory Databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. Data is sourced from the required regulatory forms filled for supervising purposes.|
|Blockholders||This dataset 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.|
|CBOE Indexes||The Chicago Board Options Exchange (CBOE) 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.|
|COMPUSTAT North America||COMPUSTAT (from Standard and Poor's) provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items on more than 24,000 publicly held companies. |
|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 portfolio, treasury bond and risk-free rates, and mutual fund databases. |
|CUSIP Master File|| |
|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 the Direct Marketing Educational Foundation (DMEF) to approved academic researchers for use within academic situations.|
|Dow Jones||Covers the Dow Jones Averages and the Dow Jones Total Return indexes. The Dow Jones Averages include the Daily and Monthly Dow Jones Composite, the Dow Jones Industrial, the Dow Jones Transportation, the Dow Jones Utility, 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.|
|Fama French, Momentum, and Liquidity||Web queries for the Fama-French factors and portfolios, momentum factors and Pastor-Stambaugh Liquidity 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 contains the Coincident State Indexes from the Federal Reserve Bank of Philadelphia. |
|Academic US/Global Summary History (IBES)||The Institutional Brokers Estimates System provides consensus and detail forecasts from security analysts, including earnings per share, revenue, cash flow, long-term growth projections and stock recommendations. |
|IRI||Information Resources Inc. (IRI) is the leader in providing point-of-sale information from more than 11,300 grocery stores and 7,500 drug stores. Contains only historical data from 1983 to 1997. Locates data for U.S. consumer purchasing behavior in grocery, drug, mass, club, convenience, liquor and pet stores. Data includes bakery, dairy, deli, edible grocery, frozen foods, health and beauty, non-edible and general merchandise. More information. |
|Nastraq||The Nasdaq Trade And Quote (Nastraq) database provides intraday trades and quotes for all Nasdaq stocks.|
|NYSE Daily TAQ||The New York Stock Exchange (NYSE) Trade and Quote database contains intraday transactions data (trades and quotes) for all securities listed on the NYSE and American Stock Exchange, as well as Nasdaq National Market System and Small Cap issues.|
|Penn World Tables||The Penn World Tables provide 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.|
|PHLX||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. |
|Risk Metrics||The Governance Legacy set, formerly known as the IRRC Takeover Defense database, was an important element in the article: |
Gompers, Paul A., Andrew Metrick, and Joy L. Ishii, "Corporate Governance and Equity Prices," The Quarterly Journal of Economics 118(1), February 2003.
|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. |
|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% of OTC activity representing over 99% of total U.S. corporate bond market activity in over 30,000 securities.|
|Other Non-WRDS Databases |
|Thomson Financial’s SDC Platinum||A database with comprehensive details on all announced deals, whether completed or uncompleted. The database covers U.S. targets 1979 to present and Non U.S. targets 1985 to present. Data are unavailable for the last thirty days as a condition of our academic subscription. Data available include full financial details, advisors and fees, premiums paid, etc. For more information and to request access to this database faculty and PhD students should contact Dave Costello at firstname.lastname@example.org. |