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Database
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Description
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13F Holdings (Thomson Reuters)
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Thomson-Reuters Institutional Holdings (13F) Database provides Institutional Common Stock Holdings and Transactions, as reported on Form 13F filed with the SEC. This database contains ownership information by institutional managers with $100 million or more in Assets Under Management (Section 13(f) Securities).
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AuditAnalytics – Compliance & Audit
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AuditAnalytics provides detailed audit information on over 1200 accounting firms in addition to 1500 publicly registered companies. This dataset contains known auditing details and fees paid for specific services by accounting firms. Users can create different reports by auditor, fees, location, and industry.
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AuditAnalytics – Corporate & Legal
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The Audit Analytics Corporate + Legal module is an integrated collection of databases focused on actions, disclosures and correspondence by companies, advisors, regulators and investors.
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Bank Regulatory
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The Bank Regulatory Database contains five databases for regulated depository financial institutions. These databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. The source of the data comes from the required regulatory forms filed for supervising purposes.
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Beta Suite
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Beta Suite is a web-based tool that allows researchers to calculate stocks’ loading on various risk factors in a timely way. Designed to be flexible, the tool is capable of handling monthly, weekly and daily rolling regression on common set of market risk factors.
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Blockholders Database
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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.
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Capital IQ – Identifiers and People Intelligence
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Each professional in this database has a distinct profile which can include contact details, biography, education, job functions and titles, board memberships, compensation, insider activity, and options holdings.
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Chicago Board of Options Exchange (CBOE)
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The 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, in a way that conforms to the latest thinking and research among industry practitioners. The New 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.
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Compustat Backdata
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Contains additional history beyond the current Compustat North America database from 1978 up to current 7 year history. It provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items.
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Compustat Bank – Daily
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Provides up to 20 years of annual and 12 years of quarterly data history for approximately 2,000 North American banks and Savings & Loan institutions.
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Compustat Execucomp – Monthly Updates
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Extensive, transparent executive compensation data, including current, historical, total compensation, executive options, and compensation of industry peers.
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Compustat North America – Daily and Annual
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Compustat North America contains annual and quarterly report data for listed American and Canadian companies. Compared with Compustat Global, Compustat North America has more historic contents and more data items.
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Compustat Global Daily
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Compustat Global consists of annual and quarterly report data of listed non-American and non-Canadaian companies. This database also provides raw financial data from company filings. Compustat offers data modes specific to industrial companies and financial services including banks, insurance companies, real estate, trusts, brokers, and security dealers.
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Computstat – Marginal Tax Rates
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The Marginal Tax Rate database was created using Compustat data. These rates correspond to the non-parametric marginal tax rates.
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CRSP
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Contains American Stock and Treasury data since 1925. Data includes daily and monthly stock, Mutual Funds, Real Estate, and Bond Data, as well as Portfolio Assignments and Security Files
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Direct Marketing Educational Foundation (DMEF)
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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 DMEF to approved academic researchers for use within academic situations.
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Dow Jones Daily and Monthly
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The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite (DJA), as well as The Dow Jones Industrial (DJI), The Dow Jones Transportation (DJT), The Dow Jones Utility (DJU), The Dow 10, and The Dow 5. The Dow Jones Industrial Average, the best known U.S. stock index, and the Dow Jones Transportation Average, the oldest U.S. stock index were created by Charles Henry Dow, co-founder of Dow Jones & Company, and maintained and reviewed by the editors of The Wall Street Journal. Average data is available as far back as 1896.
The Dow Jones Total Return Indexes are introduced by Dow Jones Indexes as part of the Dow Jones Total Market Index Series. The Total Return Indexes account for reinvested dividends. Return data for the Total Return Indexes is available after 1987.
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Event Study by WRDS
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Event studies are widely used by empirical researchers in finance, economics, accounting, law, and other business disciplines to analyze the market reaction to firm specific and market-wide events using either returns or volume around the time when event occurred.
Examples include earnings announcements, M&As, new capital issues, and announcements of macroeconomic variables (unemployment or trade deficit), measure impact on the value of a firm resulting from a change in the regulatory environment, or to assess the damages.
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Eventus
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Eventus performs event studies using data read directly from CRSP stock databases or pre-extracted from any source. The Eventus system includes utility programs to convert calendar dates to CRSP trading day numbers, convert CUSIP identifiers to CRSP permanent identification numbers, and extract event study cumulative or compounded abnormal returns for cross-sectional analysis.
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Fama-French Portfolio and Liquidity Factors
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The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using, as proxy for value, the ratio of book equity to market equity (BE/ME). Returns from these portfolios are used to construct the Fama-French Factors.
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Federal Reserve Bank Reports
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The Federal Reserve Bank Reports contain two databases collected from Federal Reserve Banks:
Foreign Exchange Rates
Based upon the Federal Reserve Board’s H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices. WRDS carries all of these FX rates in currency units per U.S. dollar (e.g. yen/$) and a few currencies are also available in “inverted form” (e.g. $/pound).
Interest Rates
Based upon the Federal Reserve Board’s H.15 release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments. All rates are reported in annual terms. Daily figures are for Business days and Monthly figures are averages of Business days unless otherwise noted.
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IBES Academic (Thomson Reuters)
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IBES contains historical elements of analaysts about financial ratios of 15000 companies worldwide. The database also has both consensus and detail forcasts of e.g. earnings per share, revenue, or cash flow.
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IBES Guidance (Thomson Reuters)
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This datasets allow comparisons ofanalyst and management expectations on company performance, using the same accounting basis for consistent analysis. Guidance provides elements such as timestamp, guidance value, and the mean at that moment for when the guidance is issued. The database allows direct comparison of analyst and management expectations on company performance. A Global Database with over 8,200 companies in 50 countries and history back to 1994, academics utilize the IBES and IBES Guidance together to form hypothesis in different directions – resulting in conclusions that illustrate the strength of the product set.
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Institutional Shareholder Services (ISS)
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(Formerly RiskMetrics) Access Historical Governance, Historical Directors data, Voting Results data, Voting Analytics with N-PX data, Incentive Lab data and Shareholder Proposal data.
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Mergent FISD
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Mergent Fixed Income Securities Database (FISD) for academia is a comprehensive database of publicly offered U.S. bonds. FISD contains issue details on over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items. FISD provides details on debt issues and the issuers, as well as transactions by insurance companies. It is used to research market trends, deal structures, issuer capital structures and other areas of fixed income debt research.
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Municipal Securities Rulemaking Board (MSRB)
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As the primary regulator of the $3.7 trillion municipal security market, the MSRB collects and makes publicly available through its Electronic Municipal Market Access (EMMA). The trades represent transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities, including states, counties, cities and special tax districts.
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OTC Markets
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OTC Markets Open, Transparent and Connected financial marketplaces provide investors with the information necessary to intelligently analyze, value and trade 10,000 U.S. and global securities through the broker of their choice. To create clarity in the investment process, we organize these securities into three tiered marketplaces—OTCQX, OTCQB and OTC Pink—based on the quality and quantity of information the companies make available. Our marketplaces empower companies to provide the levels of transparency necessary to create more efficient markets.Together with our SEC regulated Alternative Trading System, OTC Link® ATS, the combined transparency and transactional efficiency creates a compelling trading experience for investors. OTC Markets Group (OTCQX: OTCM) is a public company traded on OTCQX under the symbol OTCM.
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Penn World Tables Database
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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, October 2002.
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Philadelphia Stock Exchange (PHLX)
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The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options and 100 currency pairs. On the equity floor, PHLX’s PACE (Philadelphia Automated Communication and Execution) system was one of the first automated equity trading systems on any exchange.
The PHLX’s Semiconductor Sector (SOX) Index Option is one of the most actively traded sector index options offered by any exchange and serves as a widely quoted benchmark of the high-tech industry. Additionally, the Oil Service Sector (OSX) is the industry’s most successful new sector index option. Furthermore, the PHLX’s Gold/Silver Sector (XAU), KBW Bank Sector (BKX) and Utility Sector (UTY) are established in a highly competitive environment of other indices as leading industry indicators.
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Public Data
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Public data on WRDS comes from a variety of sources in the public domain. The data is organized into content areas, and has been converted into a consistent format and updates on a regular basis. The collection increases periodically and currently includes datasets from the Bureau of Economic Analysis, and the Bureau of Labor Statistics, as well as healthcare data from the Healthcare Cost and Utilization Project (HCUP) and the Medical Expenditure Panel Survey (MEPS).
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SAS Visual Analytics
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SAS Visual Analytics provides a complete platform for analytics visualization, enabling the identification of patterns and relationships in data that were not initially evident. Interactive, self-service business intelligence and reporting capabilities are combined with out-of-the-box advanced analytics so everyone can discover insights from any size and type of data, including text.
Access with CRSP Annual Stock.
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SEC Mandated Disclosure of Order Execution Statistics
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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, including how market orders of various sizes are executed relative to the public quotes and information about effective spreads.
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TRACE – OTC Corporate Bond and Agency Debt Bond Transaction Data
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Trade Reporting and Compliance Engine is FINRA’s over-the-counter (OTC) corporate bond market real-time price dissemination service. 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 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.
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