Provides a common front end retrieval system for a large collection of databases. (Access ONLY for Ph.D. students, faculty and faculty sponsored class research. Access in available by account only - request account at https://wrds.wharton.upenn.edu - Follow instructions.)

WRDS (Wharton Research Data Service) allows access to these databases:

• CISDM - The CISDM database provides information on over 3700 active Hedge Funds and over 660 active CTAs and CPOs. In addition, the database covers 3800 inactives. For each fund in the database, detailed information related to investment strategy and style, historical monthly returns, assets under management, leverage, minimum initial investment, and fee structure is provided.


• Compustat North America - annual and quarterly financial data on more than 24,000 publicly held companies.


• Compustat Global & EMDB - data on public traded companies in more than 80 countries.


• ComScore - captures browsing and buying behavior of 100,000 internet users in the U.S.


• CRSP - Comprehensive collection of information from the NYSE, AMEX and NASDAQ stock markets.


• EVENTUS - Eventus Software performs event studies that compute abnormal returns for specific corporate actions or events using CRSP data (List under ?Financial Information)


• Global Insight - data on national income accounts, balance of payments, foreign debt, exchange rates, money supply and employment, also data on IMF series and the OECD series.


• I/B/E/S - Institutional Brokers Estimates system provides consensus and detail forecasts from security analysts, including earnings per share, revenue, cash flow, etc.


• IRRC - Investor Responsibility Research Center provides research and data on corporate governance, proxy voting and corporate responsibility issues.


• ISSM - Institute for the Study of Security Markets “contains tick-by-tick data covering the NYSE, & AMEX between 1983 - 1992, and NASDAQ between 1987-1992.


• NYSE TAQ - Trade and quote database contains trades and quotes for all securities listed on NYSE, AMEX, NASDAQ and Small Cap issues.


• Bank Regulatory - provide accounting data for Bank Holding Companies, Commercial Banks, Savings Banks, and Savings & Loans Institutions


• Blockholders - contains standardized data for blockholders of 1,913 companies. Data reported by companies from 1996-2001.


• CBOE Indexes - Chicago Board Options Exchange. Volatility Index is a key measure of market expectations of near term volatility conveyed by S&P500 stock index option prices.


• DMEF - available only to approved academic researchers for use within academic situations. The 4 individual data sets contain customer buying history for about 100,000 customers of nationally known catalog and non profit database marketing businesses.


• Dow Jones - Contains the Dow Jones Averages and the Dow Jones Total Return Indexes.


• Fama French Momentum and Liquidity - Web queries for the Fama French factors and portfolios


• FDIC - financial data and history of all firms filing the Report of Condition and Income (Call Report) and the OTS Thrift Financial Report.


• Federal Reserve Bank Reports - contains 3 databasets collected from Federal Reserve Banks.


• KLD - Research & Analytics, Inc. (KLD) is the leading authority on social research for institutional investors. To meet the needs of social investors, KLD provides research, benchmarks, compliance, and consulting services analogous to those provided by financial research service firms. KLD has been providing research products and services to the financial services market since 1988. Featuring the largest corporate social research staff in the world, KLD produces high-quality consistent research that institutions have come to rely on. In 1990 KLD created the Domini 400 SocialSM Index (DS 400 Index), a socially screened, capitalization-weighted index of 400 common stocks. The DS 400 is recognized as the first social investment benchmark. In January 2001, KLD launched the Broad Market SocialSM Index (KLD BMS Index) in response to market demands for a wider universe of socially screened equities. The KLD BMS Index is the most extensive socially screened benchmark to date. Also in January 2001, KLD launchedthe Large Cap SocialSM Index (KLD LCS Index), which tracks the performance of the largest socially screened US equities, based on market capitalization.


• OptionMetrics - Ivy DB OptionMetrics is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. Encompassing more than six years of data, Ivy DB OptionMetrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. With Ivy DB OptionMetrics, you'll be able to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment.
  Coverage
  Ivy DB OptionMetrics contains data on all US exchange- listed and NASDAQ equities and market indices, as well as all US listed index and equity options, starting from January, 1996.
  Prices, Adjusted Returns, Dividends, and Corporate Actions
  Ivy DB OptionMetrics contains high, low, and close prices for all securities; calculated daily cum- and ex-dividend total returns; and best bid, best offer, last trade price, volume, and open interest for options. A complete history of dividend, split, and special payment information, including announcement date, ex-date, payment date, and type of payment, is available for each security.
  Implied Volatility and Sensitivities
  With each option price quote is stored the option's implied volatility, calculated using American or European models where appropriate. All option calculations use historical LIBOR/Eurodollar rates for interest rate inputs, and correctly incorporate discrete dividend payments. Standard option sensitivities (delta, gamma, vega/kappa, and theta) are calculated as well.
  Option Price Continuity
  Option data is directly linked with the underlying issue data to ensure consistency of the historical series even when option symbols or strike prices change. Options on a particular underlying can be tracked over the entire range of historical dates regardless of changes to the underlying ticker symbol or CUSIP.
  Standardized Expirations
  An additional set of standardized at-the-money-forward options is constructed via interpolation for each underlying series every day, and implied volatilities are computed at 30, 60, 91, 182, and 365 day expirations (longer expirations are available for some series). With this, one can observe the dynamics of the implied volatility term structure.


• Penn World Tables - provides “national income accounts ?type of variables converted to international prices.


• PHLX - Philadelphia Stock Exchange’s United Currency Options Market (UCOM)


• SEC Disclosure of Order Execution - monthly electronic disclosures of basic information by market centers that trade national market system securities.


• Thomson Financial - covers Mutual Funds Holdings (CDA Spectrum s12) and 13f Institutional Holdings (CDA Spectrum s34). The Insiders Filings database contains transaction and holdings information filed with the SEC.


• TRACE - transaction data on corporate bonds