In order to promote finance and economics research, the Whitcomb Center subscribes to the Wharton Retrieval Data System (WRDS). This platform allows researchers to access various data bases. Access to WRDS are given to faculty and doctoral students who are engaged in academic research related to financial markets, corporate finance, banking management and economics. One can apply for access by going to wrds.wharton.upenn.edu. Below we list the Databases and their description under WRDS Subscription. The data bases are funded by the Accounting and Information Systems Department, Finance and Economics Department, the Whitcomb Center of the Rutgers Business School at Newark and New Brunswick and by the Chancellor’s Office of Camden, Rutgers.
Audit Analytics is an independent provider of audit, regulatory and disclosure intelligence, serving the accounting, financial, corporate, legal and academic communities. Audit Analytics provides detailed research on over 150,000 active audits and more than 10,000 accounting firms. Audit Analytics data includes detailed categorizations of issues and is considered by many professionals to be the best primary data source for tracking and analysis of public company disclosures related to the audit, compliance, governance, corporate actions and federal litigation.
The Center for Research in Security Prices (CRSP) database contains daily and monthly historical stock market information on primary listings for the NYSE, NYSE MKT, NASDAQ, and Arca exchanges, along with basic market indices. The data includes stock prices and quotes, holding period returns, shares outstanding, trading volume, delisting information, and other supplemental data items
CRSP Survivor-Bias-Free US Mutual Fund & Mutual Fund Links (MFLINKS)
The CRSP Survivor-Bias-Free US Mutual Fund Database includes a history of each mutual fund’s name, investment style, fee structure, holdings, and asset allocation. Also included are monthly total returns, monthly total net assets, monthly/daily net asset values, and dividends. Additionally, schedules of rear and front load fees, asset class codes, and management company contact information are provided. MFLINKS provide a reliable means to join CRSP Mutual Fund data that covers mutual fund performance, expenses, and related information to equity holdings data in the TFN/CDA S12 datasets.
Compustat - Capital IQ
Capital IQ is a suite of databases from S&P. They connect to the Compustat family of databases through Gvkey. These databases include Compustat North America's Fundamentals, Banks, Pension, and Short Interest databases, together with the Execucomp database, which provides information of top executives' salary, bonus, and stock option data, and the Historical Segments database, which provides business and geographic detail, product information and customer data for over 70% of the companies in the North American database.
I/B/E/S, the Institutional Brokers' Estimate System, an historical earnings estimate database containing analyst estimates for more than 20 forecast measures - including EPS (earnings per share), revenue, price targets, EBITDA and pre-tax profits - available on both consensus and detailed levels, covering both U.S. and international companies. The database also includes buy-hold-sell recommendations.
Institutional Shareholder Services (ISS)
Institutional Shareholder Services Inc. (ISS) is the world’s leading provider of corporate governance and responsible investment (RI) solutions. The ISS database includes the Incentive Lab, which provides extensive information on executive compensation, payout structure, performance metrics and goals for both U.S. and Europe; and Voting Analytics, which includes company vote results in the U.S.
Mergent Fixed Income Securities Database 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 on issuers, ratings, and time-series data on bond prices, yields and others.
MSCI (formerly KLD and GMI)
GMI Ratings provides research and ratings on environmental, social, governance (ESG) and accounting-related risks affecting the performance of public companies. As of 2014, 6,400 companies worldwide are covered, with 150 ESG KeyMetrics on companies, directors, CEO compensation and takeover defenses. KLD provides a set of indicators assessing positive and negative ESG performance for firms in the US starting from 1991 and non-US firms starting from 2013.
MSRB stands for the Municipal Securities Rulemaking Board. As the primary regulator of the $3.7 trillion municipal security market, the MSRB collects municipal security transaction data and makes it 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.
OptionMetrics includes approximately ten years of historical data (from 1996 to 2005) for all US listed equities and market indices and all US listed index and equity options.
OTC Markets provides access the most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces
TAQ -NYSE Trade and Quote - Monthly TAQ and Daily (Milisecond) Data + REGSHO DATABASE
The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), the Nasdaq National Market System (NMS), and all other U.S. equity exchanges. The data includes both the "monthly product" from 1993-2014, and the "Milisecond Daily Product" from 2001-present. It also contains data related to SEC Regulation SHO per the terms of the SRO requirement to make Short Sale transactions data available on a monthly basis for trade dates beginning January 2005 through the pilot period ending 2007.
Thomson Reuters is the world’s leading source of intelligent information for businesses and professionals. The database on WRDS includes the SDC database, which provides data on new equity and bonds issues and mergers and acqusition events for firms around the world. The Mutual Fund Holdings - (s12) database, the institutional (13f) Holdings - (s34) database, and the Insiders Data.
TRACE Enhanced Bond Trades
The data is provided by FINRA - the Financial Industry Regulatory Authority, which is a non-governmental regulator of the entire securities industry. Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. From July of 2002, TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt - representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities. The Historical Time and Sales data is available through WRDS, and includes the time of execution, price, yield, and volume.
WRDS Bond Returns
The WRDS Bond Return Database includes monthly price, return, coupon and yield information for all corporate bonds traded since July 2002.
WRDS Intraday Indicators
The WRDS Intraday Indicator Database (IID) contains daily stock market indicators obtained from NYSE TAQ data. At daily frequency, it provides, per stock, variables such as Volume (before opening, during trading hours and after closing), Returns during market hours, Lee-Ready buy/sell trade volume, Variance ratios, Lambda (price impact coefficient), Spreads, Intraday volatility, Value weighted average price, etc. The objective is to facilitate research by overcoming extensive programming time and user’s computational limitations on calculating these indicators using complex TAQ data. Another advantage is the ability to use many of these variables as “right-hand-side” variables.
WRDS TR 13-F Stock Owenership
A WRDS tool to aggregate Thomson-Reuters Institutional Ownership data at the security level. This tool uses Thomson-Reuters S34 data.