Skip to main content

WRDS: Wharton Research Data Services

What is WRDS?

Wharton Research Data Services

Wharton Research Data Services provides access to data across multiple disciplines including Accounting, Banking, Economics, ESG, Finance, Healthcare, Insurance, Marketing, and Statistics.   
(ESG: environmental, social, and corporate governance factors measuring sustainability and societal impact of investments.)

Requires registration: Go to http://wrds-web.wharton.upenn.edu and click “Register for a WRDS Account." A campus WRDS Representatives will e-mail you instructions for logging into WRDS.

What is in WRDS?

Bank Regulatory – accounting data for regulated depository financial institutions, e.g., bank holding companies, commercial banks, savings banks, and savings and loans institutions. Data since 1976.

Beta Suite (A beta coefficient is a measure of a stock or portfolio's level of risk) – A tool to calculate stocks’ loading on various risk factors. Data since 1926.

Blockholders (Shareholders – typically institutional investors – owning a large amount of stock) – Standardized data for blockholders of 1,913 companies, covering 1996-2001.

CBOE Indexes – Chicago Board Options Exchange Volatility Index, a measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. Data since 1986.

Conpustat – Standard & Poor's database of financial, statistical, and marketing information. Company-level fundamentals, e.g., income statements, balance sheets, and flow of funds. Also has stock prices and other market data. Data since 1950 for North American company fundamentals, since 1979 for global companies and for stock prices and other market data.

Contributed Data – Databases contributed to WRDS by various academic researchers and faculty (some databases in this section are not included in our subscription).

CRSP – Center for Research in Security Prices at the Graduate School of Business at the University of Chicago. Security price, return, and volume data on the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX) and The Nasdaq Stock Market (Nasdaq). Also provides a comprehensive database of government security price information. Additional CRSP files contain information on stock summaries (indices), treasury bills, maturity portfolios, fama-bliss discount bonds, risk free rates, cap based portfolios, S&P 500, mutual funds, bonds, bills, and inflation. Data since 1925.

DMEF Academic Data – Direct Marketing Educational Foundation datasets of buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses; datasets compiled in 1995, with varying starting points for data.

Dow Jones – Covers the Dow Jones Averages and the Dow Jones Total Return Indexes from 1896-2007.

Efficient Frontier – Calculate the efficient frontier (a measure of maximizing expected return for a given level of risk) of a portfolio. Data since 1970.

Event Study – Analyze the market reaction to firm specific and market-wide events, e.g., earnings announcements, mergers and acquisitions, new capital issues, and announcements of macroeconomic variables such as unemployment or trade deficit.

Fama French & Liquidity Factors – Constructed from the intersections of two portfolios formed on size, as measured by market equity, and three portfolios using the ratio of book equity to market equity as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors (see Fama and French, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, 1993 https://doi.org/10.1016/0304-405X(93)90023-5). Data since 1926.

 Federal Reserve Bank – foreign exchange rates (since 1971) and interest rates (since 1919).

Financial Ratios Suite – 70 pre-calculated financial ratios for all U.S. companies across eight different categories (e.g., valuation, liquidity, profitability). A tool to obtain firm-level and/or industry-level ratios as characteristics for controls in empirical research. Data since 1970.

Intraday Indicators – From SEC’s MIDAS (Market Information Data and Analytics System), individual security metrics providing market trading metrics for over 8,300 securities. Data since 2012.

Linking Suite – Download link table between some of the databases in WRDS.

Macro Finance Society – Curates a list of datasets from several papers in financial economics and macroeconomics.

MSRB – Municipal securities transaction data from the Municipal Securities Rulemaking Board, the primary regulator of the municipal security market. Data since 2005.

OTC Markets – Trade information and analysis for 10,000 U.S. and global securities traded over-the-counter. Data since 2011.

Penn World Tables – National income accounts-type of variables converted to international prices, to compare income among countries. Data since 1950.

Peters and Taylor Total Q – Q Ratio (method of estimating the fair value of the stock market) data which includes intangible as well as tangible assets (see Peters and Taylor, “Intangible capital and the investment-q relation,” Journal of Financial Economics 123, 2017 https://doi.org/10.1016/j.jfineco.2016.03.011). Data from 1950 - 2017.

PHLX – Currency options and implied volatility data from the Philadelphia Stock Exchange. Data from 1983-1997.

Public – Data from a variety of sources in the public domain concerning macroeconomics and health care, such as BEA (Bureau of Economic Analysis), BLS (Bureau of Labor Statistics), MEPS (Medical Expenditure Panel Survey). WRDS converts the data into a consistent format. Coverage dates vary.

Research Quotient – Analyze and measure the effectiveness of a firm's investments in research and development. Data since 1971.

SEC Order Execution – SEC-mandated disclosure of order execution statistics. Data from 2000 - 2005 (no longer updated in WRDS).

TRACE – Trade Reporting and Compliance Engine, operated by FINRA (Financial Industry Regulatory Authority), reports data on over-the-counter (OTC) sales of fixed-income securities. Coverage dates vary, some data since 2002.

World Indices – Market-capitalization weighted indices for 39 countries. Data since 1986.

WRDS Factors – Aggregates commonly used equity signals for the U.S. market. Data since 1950.