1、Navigating WRDS:Overview of Financial Data on WRDSCRSP,Compustat,and IBESDenys GlushkovRabih MoussawiWRDS Librarian ColloquiumWashington,D.C.,June 15,2009Agenda 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
2、 Researchers Use WRDS More Efficiently?WRDS OverviewSingle and flexible source to extract data from leading research databasesVariety of disciplines:Accounting,Finance,Economics,Banking,Insurance,Marketing,Statistics,+Standardized queries:Every database webpage has the same format:query+variable doc
3、umentation+list of manuals,overviews,&research applicationsIdeal for Data linking:e.g.CRSP(stock prices,dividends,splits),Linking CRSP and COMPUSTAT,Matching IBES and CRSP Data,+linking sample programsInternet-based platform with multiple access optionsWeb queries:compatible with various browsers an
4、d 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 toolsFast extracts and record retrievals through TerraBytes of dataPC SAS CONNECT remote librariesUNIX X-Windows an
5、d batch job capabilitiesFull-time research and technical supportOnline help(variable definitions,data sources,equations,manuals,tutorials,sample programs,FAQs),email support,and 24/7 network monitoringData Overviews,Research Applications,Knowledge Base and ForumsWRDSWe are WRDS users tooWRDS History
6、Originally developed for Wharton needs:Centralize data management and research support Provide faculty and PhD candidates with web-based,and interactive research toolsGrown from 2 subscribers in 1997 to 250+subscribers in 2009:All top academic and non-profit research institutions We support over 18,
7、000 faculty and other researchers accountsData increased from 60 GB to 30+TB Originally accounting and financial data;now includes economic,banking,insurance and marketing data Several Free Data SourcesPartnerships with leading data vendors:Grown from 2 to 40+data providersData Licensing and Access
8、with WRDSDatabases la carte Data WRDS Licensing Subscription Agreement Agreement Re-distribution agreementWRDSData Vendor WRDS SubscriberWRDS TechnologyFlexibility to Connect and Get Data Libraries/LabsOn the roadUser PCWRDS serverWRDS Account Types Web UNIX Expiration queries login*dates Faculty x
9、x Full time Staff x xPhD 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 sessionsMarket Data CRSP,OptionMetrics,&others-Prices and Returns of equ
10、ities 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 C
11、ompustat&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(e.g.SSS,Verified Oil Reserves)-Executive Compensation Data(Analyst)Forecasts Data IBES,FirstCall,&others-Analyst expectations about companies fut
12、ure Earnings(future EPS,g(sales),or SSS)-Valuation assessments:Recommendations,Price Target-Revisions and new estimates on daily frequencyOwnership Data Thomson Reuters Ownership Data-Ownership by companies insiders and large blockholders-Aggregate Ownership by institutions with$100million in discre
13、tionary assets,at the security level(e.g.hedge funds,mutual funds Vanguard Group)-Ownership by mutual fund management companies,at the fund level(e.g.Vanguard S&P500 Index Fund,etc)SECEDGAR,IAPD,Sell-Side Analysts(brokers)Exchanges,&Financial Information by SourceData on WRDS Easy and Flexible Extra
14、ctsS&Ps Compustat Accounting and Financial DataCompustat North-America:U.S.and Canadian fundamental and market information on around 31,000 active and inactive publicly held companies,from 1950-presentCompustat Global:fundamental,market,and currency data for more than 30,000 publicly traded companie
15、s in global markets(80 countries),from 1988-presentFundamental data available on an annual and quarterly frequencies with thousands of Income Statement,Balance Sheet,Statement of Cash Flows,and supplemental&industry-specific data itemsMarket data available on a monthly and daily frequencies with Pri
16、ces,Dividends,Returns,Trading Volume,Shares Outstanding and Short-Interest InformationInformation on Indices,Segments,Banks,Incentive plans,Pension Data Items,as well as:Executive Compensation and S&P Credit Ratings XpressIn the summer of 2007,WRDS adopted the Xpressfeed format of Compustat North Am
17、erica,containing more details on a wider array of companiesCompustat Example Live DemoGet Current Assets,Inventories,and Long-Term Debt for Microsoft,Dell,and IBM between Jan 2000 and April 2009http:/wrds-web.wharton.upenn.edu/wrds/ds/comp/funda/index.cfmBasic Compustat StructureFundamental DataComp
18、ustat Annual&Quarterly Fundamentals:North America&GlobalOther DataSecurity Data North America&GlobalCompany Financial and Accounting DataS&P Credit Ratings XpressPoint-In-TimeIndustry SpecificSegmentExecutive CompensationWRDS Support:Compustat Overview to Compustat XPressfeed Database,FAQs,and WRDS
19、Reference Materialshttp:/wrds-web.wharton.upenn.edu/wrds/support/Data/_001Manuals%20and%20Overviews/_001Compustat/index.cfm Comprehensive Dataset and Variable List http:/wrds-web.wharton.upenn.edu/wrds/support/Data/_002Dataset%20List.cfm?dataVendor=comp Financial Statements,S&P 500 Index Constituent
20、s,and other Tools:http:/wrds-web.wharton.upenn.edu/wrds/aux_/finstate/indexqtr.cfm http:/wrds-web.wharton.upenn.edu/wrds/ds/comp/spindex/index.cfm Sample Programs:extracts,filing dates,portfolios,earnings surprises,#of segments,etc.http:/wrds-web.wharton.upenn.edu/wrds/support/Data/_003Sample%20Prog
21、rams/Compustat/index.cfm Research Applications:book-to-market,linking,etc.http:/wrds-web.wharton.upenn.edu/wrds/support/Data/_004Research%20Applications/index.cfmCRSP Stock Market DataCenter for Research in Security Prices(CRSP)is a research center at the Booth School of Business of the University o
22、f ChicagoComprehensive collection of daily and monthly security price,return,and volume data for the NYSE,AMEX and NASDAQ stock marketsDaily and Monthly data for roughly 28,000 securities of Domestic companies and ADRs traded on major exchanges(no OTC),from 1925presentComplete historical information
23、(bias-free):Accurate accounting of special distributions and stock splits in return calculation Keep delisting companies(pre-M&A or bankruptcies),and delisting returnsAdditionally provide stock indices,beta-and cap-based portfolios,treasury bond and risk-free rates,CRSP/Compustat Merged Database,REI
24、Ts,and mutual fund databasesCRSP Example Live Demo1.Get monthly prices,return and volume information for Microsoft and Ford from 1925 to 20082.Find all stocks that were trading in NYSE at the end of November 1929,and get their month-end prices,return and volume informationhttp:/wrds-web.wharton.upen
25、n.edu/wrds/ds/crsp/mstk/index.cfm?navGroup=AnnualUpdateMonthlyStocksBasic CRSP StructureMonthly Security DataCRSPSecurity DataOther Market DataOther Products:-CRSP-Compustat Merged Product(CCM)-CRSP Mutual Fund Database-CRSP Ziman REITs DatabaseStock DataEvent FilesIndices and Decile PortfoliosTreas
26、uries and InflationWRDS Support:CRSPComprehensive Dataset and Variable Lists,FAQs,Manuals&Data Guideshttp:/wrds-web.wharton.upenn.edu/wrds/support/Data/_002Dataset%20List.cfm?dataVendor=crsphttp:/wrds-web.wharton.upenn.edu/wrds/support/Data/_001Manuals%20and%20Overviews/_002CRSP/index.cfm Linking CR
27、SP-Compustat Data(with and without CCM Product)http:/wrds-web.wharton.upenn.edu/wrds/support/Data/_001Manuals%20and%20Overviews/_002CRSP/index.cfmTools:Returns+Decile Assignments,Translate to PERMNO/PERMCO,Mutual Fund Returns&Fama-French,Market Indices,Events and Names http:/wrds.wharton.upenn.edu/h
28、ome/tools.shtml Sample Programs:Data Extracts,CCM and merging by CUSIP,Calculate CAPM beta,Excess returns,Portfolio formations,plots,Event studies,Mutual fund datahttp:/wrds-web.wharton.upenn.edu/wrds/support/Data/_003Sample%20Programs/CRSP/index.cfmResearch Applications:Compounded returns,Momentum
29、and Governance Portfolios,Rolling Regressions,Beta Estimation,Event Studies etc.http:/wrds-web.wharton.upenn.edu/wrds/support/Data/_004Research%20Applications/index.cfmThomson Reuters IBESAnalyst Forecast DataAnalysts earnings and sales forecasts(+),consensus estimates,and Buy/Hold/Sell Recommendati
30、onsComprehensive Global Coverage:Domestic and International public companies from 1980presentFeaturesup 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 ratesNEW data
31、 on price targets,company level footnotes and restated actuals(all in detailed and summary formats)IBES Example Live DemoGet price target data for Lehman Brothers between July-Sep 2008(e.g.,value,horizon,announcement date,analyst name)http:/wrds-web.wharton.upenn.edu/wrds/ds/ibes/ptgdet/index.cfmBas
32、ic IBES StructureIBESAdjustedUnadjustedRecommendationsDetailSummaryDetailSummaryWRDS Support:IBES Detailed overview of IBES and empirical issueshttp:/wrds-web.wharton.upenn.edu/wrds/support/Additional%20Support/WRDS%20Presentations/_000user2007/analyst_data.pdf Linking IBES and CRSPhttp:/wrds-web.wh
33、arton.upenn.edu/wrds/support/Data/_005Linking%20Databases/_000Linking%20IBES%20and%20CRSP%20Data.cfm Important updates on data quality and changes to IBES vintageshttp:/wrds-web.wharton.upenn.edu/wrds/support/Data/_001Manuals%20and%20Overviews/_003I-B-E-S/index.cfm Sample programs and Research Applications:Calculate earnings surprises,work with unadjusted data,link recommendations and estimates,an
