Navigating WRDS:
Overview of Financial Data on
WRDS
CRSP, Compustat, and IBESDenys Glushkov
Rabih Moussawi
WRDS Librarian Colloquium
Washington, ., June 15, 2009
Agenda
• What is WRDS?
• Sources of Financial Data
• Overview of Compustat, CRSP, and IBES Data
• WRDS Tools and Support:
How to Get the Help You Need?
• How Can Researchers Use WRDS More
Efficiently?
WRDS Overview
• Single and flexible source to extract data from leading research databases
– Variety of disciplines: Accounting, Finance, Economics, Banking, Insurance, Marketing,
Statistics, +
– Standardized queries: Every database webpage has the same format: query + variable
documentation + list of manuals, overviews, & research applications
– Ideal for Data linking: . CRSP (stock prices, dividends, splits), Linking CRSP and
COMPUSTAT, Matching IBES and CRSP Data, + linking sample programs
• Internet-based platform with multiple access options
– Web queries: compatible 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 tools
• Fast extracts and record retrievals through TerraBytes of data
– PC SAS CONNECT remote libraries
– UNIX X-Windows and batch job capabilities
• Full-time research and technical support
– Online help (variable definitions, data sources, equations, manuals, tutorials, sample
programs, FAQs), email support, and 24/7 network monitoring
– Data Overviews, Research Applications, Knowledge Base and Forums@WRDS
– We are WRDS users too
WRDS History
• Originally developed for Wharton needs:
– Centralize data management and research support
– Provide faculty and PhD candidates with web-based, and interactive
research tools
• Grown from 2 subscribers in 1997 to 250+ subscribers in 2009:
– All top academic and non-profit research institutions
– We support over 18,000 faculty and other researchers’ accounts
• Data increased from 60 GB to 30+ TB
– Originally accounting and financial data; now includes economic,
banking, insurance and marketing data
– Several Free Data Sources
• Partnerships with leading data vendors: Grown from 2 to 40+ data
providers
Data Licensing and Access with WRDS
Databases à la carte
Data WRDS
Licensing Subscription
Agreement Agreement
Re-distribution agreement
WRDSData
Vendor
WRDS Subscriber
WRDS Technology
Flexibility to Connect and Get Data
Libraries/Lab
s
On the
road
User PC
WRDS server
WRDS Account Types
Web UNIX Expiration
queries login**
dates
Faculty x x
Full time Staff x x
PhD 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
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 Options
- 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
(. SSS, Verified Oil Reserves)
- Executive Compensation 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
frequency
Ownership Data
Thomson Reuters’ Ownership Data
- Ownership by companies’ insiders and large blockholders
- Aggregate Ownership by institutions with >$100million in discretionary assets , at the security level (. hedge funds, mutual funds –
Vanguard Group)
- Ownership by mutual fund management companies, at the fund level (. Vanguard S&P500 Index Fund, etc…)
SEC
EDGAR,
IAPD,…
Sell-Side Analysts
(brokers)
Exchanges,
&…
Financial Information by
Source
Data on WRDS – Easy and Flexible Extracts
S&P’s Compustat
Accounting and Financial Data
• Compustat North-America: . and Canadian fundamental and market
information on around 31,000 active and inactive publicly held companies,
from 1950-present
• Compustat Global: fundamental, market, and currency data for more than
30,000 publicly traded companies in global markets (>80 countries), from
1988-present
• Fundamental data available on an annual and quarterly frequencies with
thousands of Income Statement, Balance Sheet, Statement of Cash Flows,
and supplemental & industry-specific data items
• Market data available on a monthly and daily frequencies with Prices,
Dividends, Returns, Trading Volume , Shares Outstanding and Short-
Interest Information
• Information on Indices, Segments, Banks, Incentive plans, Pension Data
Items, as well as: Executive Compensation and S&P Credit Ratings Xpress
• In 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
Demo• Get Current Assets, Inventories, and Long-Term Debt for
Microsoft, Dell, and IBM between Jan 2000 and April 2009
Basic Compustat Structure
Fundamental Data
Compusta
t
Annual & Quarterly
Fundamentals:
North America & Global
Other
Data
Security Data
North America &
Global
Company
Financial and
Accounting
Data
S&P Credit
Ratings
Xpress
Point-In-
Time
Industry
Specific
Segment
Executive
Compensati
on
WRDS Support: Compustat
• Overview to Compustat XPressfeed Database, FAQs, and
WRDS Reference Materials
• Comprehensive Dataset and Variable List
– Financial Statements, S&P 500 Index Constituents, and other
Tools:
• Sample Programs: extracts, filing dates, portfolios, earnings
surprises, # of segments, etc.
• Research Applications: book-to-market, linking, etc.
CRSP
Stock Market Data
• Center for Research in Security Prices (CRSP) is a research center
at the Booth School of Business of the University of Chicago
• Comprehensive collection of daily and monthly security price, return,
and volume data for the NYSE, AMEX and NASDAQ stock markets
• Daily and Monthly data for roughly 28,000 securities of Domestic
companies and ADRs traded on major exchanges (no OTC), from
1925–present
• Complete historical information (bias-free):
– Accurate accounting of special distributions and stock splits in return
calculation
– Keep delisting companies (pre-M&A or bankruptcies), and delisting
returns
• Additionally 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 Demo
1. Get monthly prices, return and volume information for Microsoft and Ford from 1925 to
2008
2. Find all stocks that were trading in NYSE at the end of November 1929, and get their
month-end prices, return and volume information
Basic CRSP Structure
Monthly Security Data
CRS
P
Security
Data
Other Market
Data
Other Products:
- CRSP-Compustat Merged Product
(CCM)
- CRSP Mutual Fund Database
- CRSP Ziman REITs Database
Stock
Data
Event
Files
Indices
and
Decile
Portfolios
Treasurie
s and
Inflation
WRDS Support: CRSP
• Comprehensive Dataset and Variable Lists, FAQs, Manuals & Data
Guides
• Linking CRSP-Compustat Data (with and without CCM Product)
• Tools: Returns + Decile Assignments , Translate to
PERMNO/PERMCO , Mutual Fund Returns & Fama-French , Market
Indices , Events and Names
• Sample Programs: Data Extracts, CCM and merging by CUSIP,
Calculate CAPM beta, Excess returns, Portfolio formations, plots,
Event studies, Mutual fund data
• Research Applications: Compounded returns, Momentum and
Governance Portfolios, Rolling Regressions, Beta Estimation, Event
Studies etc.
Thomson Reuters’ IBES
Analyst Forecast Data
• Analysts earnings and sales forecasts (+), consensus
estimates, and Buy/Hold/Sell Recommendations
• Comprehensive Global Coverage: Domestic and International
public companies from 1980–present
• Features up to 26 forecast measures including GAAP and pro
-forma EPS, revenue/sales, net income, ROA, ROE, pre-tax
profit and operating profit, EBIDTA, etc.
• Company indentifying information and exchange rates
• NEW data on price targets, company level footnotes and
restated actuals (all in detailed and summary formats)
IBES Example – Live Demo
• Get price target data for Lehman Brothers between July -Sep
2008 (., value, horizon, announcement date, analyst
name)
Basic IBES Structure
IBES
Adjusted Unadjusted
Recommendatio
ns
Detail Summary Detail
Summar
y
WRDS Support: IBES
• Detailed overview of IBES and empirical issues
• Linking IBES and CRSP
• Important updates on data quality and changes to
IBES vintages
• Sample programs and Research Applications:
Calculate earnings surprises, work with
unadjusted data, link recommendations and
estimates, and many more
Other Popular Databases on WRDS
• NYSE’s Trades And Quotes (TAQ) Database:
– High-frequency data
– Intraday trades and quotes for all securities on Major US Exchanges
• Thomson Reuters Ownership Databases: 13F, Mutual Funds,
Insiders
• RiskMetrics’ Governance, and KLD Social Rating datasets:
– Governance Provisions: Dual Class, Poison Pills, and other antitakeover
provision dummies
– Board 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 garnered during annual meetings
– KLD 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 Data
• Free Datasets (CBOE Indexes, DJ Averages, Fama-French, Liquidity
factors)
WRDS Tools: Company & Variable
Search
Company search tool
Allows 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)
Variable search tool
Allows 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 Support
Research and Technical Support
• Online Help (24/7)
– Database Manuals plus additional support documentation
– Data Overviews:
. OptionMetrics Overview
– Research Applications:
. Portfolio Construction, Event Studies
– Sample Programs:
. Merging CRSP and Compustat
– Variable Search:
. Compensation
– Company Search:
. Microsoft
• WRDS Knowledge Base: FAQ archive of answers to common user questions
. How to find IPO data
• FORUMS@WRDS: Interactive users’ questions and suggestions
. Fama and MacBeth Regressions
• Email support at wrds-support@ (Monday-Friday, 9a-5p EST)
Researchers and Technical Experts ready to assist with:
– Data extraction, merging, and management.
– Programming and technical problems
– Other research concerns
mailto:wrds-support@
Advanced WRDS Features
Access Data Remotely on WRDS Server
• What if a web query does not do all that you need it to do?
Example: Find all companies in 1997 with sales greater than 1 billion, total
assets greater than 5 billions, and with more than 30 years of publicly
reported financial statements.
Advantages Disadvantages
Unix 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 SAS menus and windows
(program/log/output) for batch-style sessions with extras. Can alternate
between server and PC processing.
PC-SAS / Connect – Concept
• SAS Windows software installed on your desktop
– Standalone: your dataset in your PC
– Remote access WRDS data by connecting to
“” data server
• Use WRDS powerful Unix server processing resources
• Access Unix permanent (750MB) & temp () disk
spaces
• Steps:
1. Connect to WRDS server
%let wrds = 4016;
options comamid = TCP remote = WRDS;
signon username = _prompt_;
2. Remote Submit
rsubmit;
{Program}
endrsubmit;
PC-SAS / Connect – Example
Find all companies in Compustat in 1997, with sales
greater than 1 billion, total assets greater than 5 billions,
and more than 30 years of publicly reported financial
statements as of fiscal year 1997
Compustat Variables:
PC-SAS Solution:
%let wrds = 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
libname home remote "~" server=wrds;
rsubmit;
libname home "~";
proc sql;
create table (where=(fyear=1997 and sale>=1000 and at>=5000 and firm_age>=30))
as select fyear, conm, tic, gvkey, sale, at, (fyear - min(fyear)) as Firm_Age
from where not missing(at) and
consol="C" and indfmt="INDL" and datafmt="STD" and popsrc="D"
group by gvkey;
quit;
endrsubmit;
PC-SAS / Connect – WRDS
Support
We are happy to assist you with all your inquiries.
For questions, please to contact us at: wrds-
support@
mailto:wrds-support@
mailto:wrds-support@
