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WRDS (Wharton Research Data Services): A-Z list of WRDS databases

WRDS databases

A-Z list of WRDS database subscriptions for UC Berkeley

  1. Audit Analytics: audit info from public company disclosures. Various dates for each data submodule. WRDS Audit Analytics FAQ.

    1. Audit + Compliance: Auditors, Audit Fees, Audit Opinions, Director/Officer Changes, Financial Restatements, and more, Data collected from multiple sources and normalized.

    2. Corporate & Legal: actions, disclosures, and correspondence by companies, advisors, regulators, and investors. Bankruptcies,  IPOs, M&A, private placements reported on SEC Form D, legal cases, shareholder activism.

  2.  Banking Suite at WRDS: accounting data for bank holding companies, commercial banks, savings banks, and S&L institutions. UCB subscribes to Bank Regulatory module and Legacy module with data from the Federal Reserve in Chicago (which hasn't been updated since 2021.)

    1. Data from FFIEC (Federal Financial Institutions Examination  Council): Call reports - 031, 041 and 051.

    2. Holding company financials.

    3. Bank structure data.

  3. Blockholders

    1. 1996-2001 

  4. BoardEx: 2001+. North American executives/board members. Announcements, company/individual profiles, committee details, networks/associations, compensation

    1.  age, gender, positions held, educational qualifications, compensation and stock holdings, professional network.

  5. Bond Returns by WRDS (WRDS Manual): corporate bond transactions, sourced from TRACE (Trade Reporting and Compliance Engine by FINRA (Financial Industry Regulatory Authority)). Bond issues and characteristics from Mergent FISD (Fixed Income Securities Database.) 

    1. monthly price, return coupon, and yield information for all corporate bonds traded since July 2002. Linking tables between corporate bond data and company's equity data in CRSP.

  6. CBOE Options: 2016+. Chicago Board Options Exchange volatility indexes for S&P100, S&P500, DJIA, NASDAQ

  7. Compustat (Standard &Poor's Market Intelligence/CapIQ): financial statements for North America, Global, Banks, Exucomp. 

    1. Financial ratios, marginal tax rates (1980-2016), unrestated quarterlies for US, Canada. 

    2. Non S&P index constituents.

    3. CRSP/Compustat Merged links data with CRSP data (stock prices, volumes, returns)

  8. Contributed Data: by academic researchers from publicly available data sources:

    1. Characteristic Returns, China Factors, Compustat- Marginal Tax Rates, DealScan Lender Links, Dealscan Compustat Links, Factset Stock :Ownership Summary, Measures of Common Ownership, Shareholder Protection Index, Long Term Investor Value Appropriation, Forced CEO Turnover, Shale Well Data, Better Market Betas, Common Risk Factors in International Stock Markets, Tech Innovation, As-Filed Financial Data, Intangible Capital and Intangible Value, Global Stock Returns, Green Returns, etc., 

  9. CRSP: updated annually in February.

    1. 1925-2023 (updated annually) Daily, monthly. Stock prices, returns, and volume data for NYSE, AMEX and NASDAQ. 

    2. 1925-2023 (updated annually) Daily, monthly. NYSE/AMEX/NASDAQ/ARCA. Stock indices, beta-based and cap-based portfolios. Treasuries and risk-free rates, daily from 1961, monthly from 1925.

    3. Mutual funds (quarterly update.)

    4. CRSP/Compustat Merged links data with CRSP data (stock prices, volumes, returns)

  10. DMEF: Marketing data for 1995 from catalogs. Legacy data.

  11. Efficient Frontier: analytic tool to measure Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio and Minimum Variance Portfolio for stocks

  12. European Short Data: 2019-2023. 

    1. Significant short positions reported by institutional investors in Europe.

  13. Event Study: research tool to measure impact of events on market and firm returns and volume.

    1. Intraday second by second, international, long run events, US daily

    2. Events include earnings announcements, M&As, new capital issues, macroeconomic announcements, changes in regulatory environment, damage assessment.

  1. Eventus: research tool to calculate abnormal returns for a firm based on a single date

  2. External Data Sources: links to data publicly available from other sources such as city governments, US Census, Healthcare, Legal, Political, Real Estate, Regulatory, Technology, Transportation, etc.

  3. Factors by WRDS: tool to test your investment strategy

  4. FAMA French Portfolios and Factors: calculations of risk free returns and variations in stock returns by French & Fama

  5. Fed Judicial: data on all US federal court cases.

    1. Civil and criminal cases from 1969+

    2. Appeals and Miscellaneous from 1970+. Civil, criminal and bankruptcy appeals.

    3. Bankruptcy from 2007+. Chapters 7, 9, 11, 12, 13, and 15.

  6. Fed Reserve: foreign exchange Federal Reserve H10 report  (1971-2019),  and interest rates Federal Reserve H15 report  (1954-2020).

  7. Financial Ratios: pre-calculated financial ratios for all US companies across eight categories:mCapitalization, Efficiency, Financial Soundness/ Solvency, Valuation, Liquidity, Profitability, and more. Firm and industry level. 2010+. 

  8. FTSE/Russell: Russell indexes

    1. Monthly Index Holdings US: End of day constituents of Russell indexes (1978+). This includes shares, market value and weightings of the constituents within the index.

    2. Monthly contribution to return: Analysis of each sector and industry contributing to the overall return of a Russell Index

    3. Monthly historical sector weights: Sector weight history.

  9. Historical SPDJI (1896-2007): Dow Jones Index monthly and daily

  10. IBES Academic: (1992 - last 6 months)

    1. analyst forecasts and actuals of company earnings, cash flows, buy-sell-hold recommendations. Details, summary recommendations, stopped recommendations.

  11. Insiders: SEC filings forms 3, 4 & 5 search of ownership data

  12. Intraday Indicators: NYSE TAQ 

    1. 1993-2014. Second timestamped. Daily summaries of ntraday liquidity spreads, intraday volatility, Kyle's Lambda, and market summaries (open to close, volumes and returns, etc.) 

    2. 2003+. Millisecond timestamped indicators provides daily summaries of 198 indicators such as prices, flows, trade classification, market summaries, liquidity, volatility, etc.

  13. IRI Marketing Fact Book (1983-1997): point of sale scanner data for retail grocery and drug stores

  14. ISS ESG: climate impact, US directors and Governance data for S&P 1500 firms

    1. Climate: Company carbon footprints, Scope 1, 2, & 3 emissions raw data, and carbon intensity metrics representing the GHG emissions per million USD/EUR of revenue. Physical risks. Future emissions estimates.

    2. Governance: Profiles directors 

  15. ISSM: NYSE & AMEX: 1983-1992, NASDAQ 1987-1992. Note: Only accessible with interactive tools such as SAS, Python, R. 

    1. Tick by tick trades and quotes

  16. Macro Finance Society curated datasets from academic macrofinance research papers.

    1. Cay (Consumption, Aggregate Wealth, and Expected Stock Return), Commodity Trade and Currency Returns, Q Factors, Uncertainty

  17. Mergent FISD for Academia

    1. Market trends, deal structures, issuer capital structures, etc. on publicly offered US bonds. Covers over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities. Data on bond issuers, issues, bond ratings, redemption, and many more variables.

  18. MFLINKS: Links CRSP mutual fund performance and Thomson s12 mutual fund holdings. Shows detail on holdings either for particular funds or fund families and groups of funds at specific points in time.

  19. MSCI (KLD ESG) Legacy: ESG/sustainability ratings for 3,000 US companies from 1991-2019.

    1. Companies (2001-2018). Governance: CEOs (2004-2018), directors (2001-2018), takeover defenses (2005-2018)

    2. Social Ratings

  20. MSRB (2005-2023):  Municipal securities in OTC markets (Bond transactions of states, cities, counties, special tax districts)

    1. price trends, trade frequency, and other data on municipal bond transactions.

  21. Options Suite: analytic tool to get option based equity indicators using Optionmetrics and CRSP data

    1. Filter options or stocks by range of time to expiration, moneyness, and implied volatility

  22. Optionmetrics: (1996-2023, next update expected in Spring 2025) data on US listed index, ETF, and equity options markets. Options and their underlying securities with historical price, implied volatility, and sensitivity information.

  23. OTC Markets (2011+): Closing quote and trade data for all securities listed on OTCQX, OTCQB and OTC Pink Marketplaces.

  24. Pastor-Stambaugh Factors: Academic contributed data

  25. Peters and Taylor (to 2022): Total Q:  Replacement cost for intangible capital

  26. Philadelphia Stock Exchange: (1983 to 1997) currency options and implied volatililty

  27. Preqin (from 1953, with comprehensive data from 2000): global venture capital/private equity modules. Portfolio firms, funds and investment firms.

    1. General and limited partners: funds, investors, benchmarks

    2. Mergers and acquisitions: buyouts and deals data

    3. Cash flows into and out of funds

  28. Public Data: data published by BLS(to 2014), BEA (to 2013) and Healthcare data (to 2015)

  29. Research Quotient (to 2021): Firm’s R&D productivity. Measures a firm’s  %increase in revenue from a 1% increase in R&D.

  30. SEC Analytics Suite (1993-?): 

    1. SEC filings search (financials, proxy, registration, correspondence, annual reports)

    2. text analysis (up to 2022), 

    3. 13f holdings data (2013-2023)

  31. SEC Orders Execution Data (2000-2005) disclosures mandated by 2000 rule

  32. Subsidiary Data (1995-2019): Parent and subsidiary relationships of SEC filing companies primarily from Exhibit 21 of filings

  33. Sustainalytics: Unmanaged ESG risk research, ratings, and data (2018-2023), data lags by one year.  Legacy historical global raw data from 2009+ will no longer be available some time in 2024. Data is from published sources (company reports, regulatory filings, public documents, news and media coverage, NGOs, and industry associations.)

    1. Focus data: overall ESG performance values

    2. MEI (Material ESG Issues) level attribution data for the risk rating. Full risk profile of each MEI.

    3. Risk rating indicator is underlying structure for rating

  34. TAQ: 2003-present (updated daily.) All US national stock exchanges

    1. Stock transaction data at the microsecond level.>

  35. Thomson/Refinitiv: global coverage 

    1. Futures: 1972-last 10 days: end of day pricing and trading data for all active and inactive futures

    2. Commodities:1950-2030

    3. Stocks: 1964- last 10 days

    4. Index constituents, 1950-last 10 days:  global, daily and monthly: last 10 days or last month not available

    5. Institutional Holdings data: from SEC form 13F: stock holdings, manager, change in holdings,

    6. Mutual Fund holdings

    7. Insiders: insider trading data reported on SEC forms 3, 4, 5, and 144 (annual update)

    8. Dealscan: terms and conditions of global commercial loans (annual update with data from SEC filings)

    9. Economics Data

  36. TRACE:  transaction data for bonds from Financial Industry Regulatory Authority (FINRA) 6 months after the transaction date. Use Mergent’s FISD to compute bond age.

    1. Corporate bonds (US dollar denominated, investment grade, high yield)

    2. US government agency bonds

    3. Securitized products such as mortgage or asset backed securities

  37.  Transcripts from S&P Capital IQ. Analyze historical transcript data and trends on 10,600 companies. 

    1. Coverage is from 2000 in North America and 2004 globally.

    2. This includes management calls and discussions with unstructured textual data and metadata tagging. Each message includes company, speaker, and key development IDs.

  38. US Patents

    1. 2011-2019 (with plans to update). Patents and citations with links to Compustat companies holding patents.

  39. Venture Capital WRDS

    1. Some private company filings, i.e., “equity” or ownership change in a company above a certain monetary threshold but without a formal IPO or M&A process.

    2. SEC Forms 1A, 1K, IZ, C, D, D Relationships

  1. World Indices WRDS

    1. 1986-current minus 2 months. Returns with and without dividends for daily and monthly indices from 39 countries.

    2. 1986-2022. Constituent companies of world indices.