Introduction to WRDS and Using the Web-Interface to ...

Introduction to WRDS and Using the Web-Interface to Extract Data and Run an EVENTUS Query

Vivek Nawosah Xfi Centre for Finance & Investment

University of Exeter

January 10, 2007

Outline

? Introduction to WRDS ? Web-query Characteristics ? List of University of Exeter Subscriptions on WRDS (Including free access

data sets available) ? Performing a Web Query to Extract Data ? Some General Data-Related Issues ? Some Web-Query Examples ? Some useful WRDS Tools and Applications ? WRDS Research Applications ? Performing an EVENTUS Web Query to Run an Event Study

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Introduction to WRDS

? WRDS (Wharton Research Data Services) is an internet-based business data service provided by Wharton School, University of Pennsylvania ()

? WRDS holds a compilation of (up-to-date) historical data from some of the most comprehensive sources of financial, accounting, economic, management, marketing, banking, and insurance data for research.

? Both US and International data coverage

? A consistent data format for all databases: SAS (Statistical Analysis Software System) data format.

- You need to convert the data into proper format required by the system you are using for your data analysis

? Three ways of working with WRDS:

? Web Query

? Unix environment via SSH client (SAS programming; binary data format CRSP datasets

also accessible via FORTRAN or C programming)

? PC/SAS (SAS programming; Remote access)

? You can download the same exact data using any of three methods, but UNIX and PC/SAS offer greater flexibility and strengths, and are more efficient. In addition, you can do much more!

? Focus of this lecture: Web Query.

o WRDS-UNIX and UNIX-based EVENTUS will be covered in Lecture 12 Part II, hand-outs will be posted on WebCT.

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Web-Query Characteristics

?Easy to explore data. Point-and-click access to databases.

?No programming as in WRDS-UNIX and PC/SAS

?Up to 2 GB of data per download

?Links to support materials (documentation and manuals for each database) which you can download.

?Access to Search and other Tools.

?Point-and-click data items for brief description and coding.

?Directions in "grey boxes"on the right.

?You can choose among different output formats. Once the output is ready, you can view file or save it to your PC.

?Easy to import into EXCEL and other statistical packages, STATA and MATLAB.

Note: Students will be using common username and password. Those

who might need to work in UNIX environment should let me know 4

so that individual accounts can be arranged.

List of University of Exeter Subscriptions on WRDS (Including free access data sets available)

Subscriptions on WRDS

Free Access on WRDS

? COMPUSTAT North America ? COMPUSTAT Global Vantage ? CRSP ?Daily/Monthly Stocks only ? I/B/E/S

? Bank Regulatory ?Financial and history data

on commercial/savings banks, bank holding companies, deposits, etc.

? Blockholders

? CBOE Indexes ?Volatility indices (VIX) on

stock index options

? EVENTUS (Software)

? CISDM ?Hedge funds ? DMEF ?Consumer buying history

? Dow Jones ?DJI, DJT, DJU, Dow 10, Dow 5

? Fama-French, Momentum, and Liquidity

? FDIC ?Deposits, Bank data

? Federal Reserve Bank Reports ?FOREX,

Interest rates (term structure) data, Coincident indexes

? PHLX ?Currency options and Implied volatility

? Penn World Tables ?National accounts data

? SEC Disclosure of Order Execution

? TRACE ?Corporate bond data

v See Appendix A1 for details on each database, description, data sets within each database, date

coverage, frequency of data, and some of the main data items included. See Appendix A2 for a description

of EVENTUS software.

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