Datasets are subject to change without notice. This list was updated November 9, 2021.
Contains five databases for regulated depository financial institutions. These databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loan institutions. The source data comes from required regulatory forms filed for supervising purposes.
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. Data is reported by firm for the period 1996-2001.
A key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices.
Compustat - Capital IQ
Provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items on more than 24,000 publicly held companies. Current access includes Daily Updates for North America, Global, Bank, and Historical Segment databases, as well as Legacy Global FTP.
The Center for Research in Security Prices maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and Nasdaq stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolio, treasury bond and risk-free rates, and mutual fund databases.
DMEF Academic Data
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.
Corporate names are anonymous and customer names and addresses have been removed, but the business type is indicated. ZIP codes have been retained (if possible) to provide a potential link to Census ZIP level demographics.
Fama French & Liquidity Factors
Constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see “Common Risk Factors in the Returns on Stocks and Bonds”, Journal of Financial Economics 33, 1993). The Fama-French data source is Kenneth French’s web site at Dartmouth. Includes Pastor-Stambaugh and Sadka Liquidity Factors.
Federal Judicial Center
The Federal Judicial Center's (FJC) Integrated Database contains data on all federal, civil, criminal, bankruptcy, and appellate court case information reported by the courts to the Administrative Office of the U.S. Courts. Coverage: mid-1969 through the present.
Access the largest global resource for essential index-based concepts, data and research.
I/B/E/S International Inc. created their Academic Research Program over 30 years ago to provide both summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations. In 2000, I/B/E/S was integrated with Thomson Reuters / First Call, and in 2012 First Call was discontinued.
Macro Finance Society
The Macro Finance Society curates a list of datasets from several influential papers broadly in the area of macro-finance. We will continue to maintain and expand on our collection, and our goal is to help facilitate the dissemination of high-quality datasets for the profession. We welcome data submissions. Please refer to the society website for details.
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.
Access the most comprehensive, timely and accurate data available on the 10K securities that trade on the OTCQX, OTCQB and OTC Pink Marketplaces.
Penn World Tables
Provides 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
Peters and Taylor Total Q
Extract data on firms’ “Total q” ratio and the replacement cost of firms’ intangible capital.
The Philadelphia Stock Exchange\'s United Currency Options Market (UCOM) offers choice of expiration date, strike (exercise) price, premium payment and any combination of 10 currencies currently available for a total of 100 possible currency pairs.
Public data on WRDS comes from a variety of sources in the public domain. WRDS converts the data into a consistent format and updates it on a regular basis. The databases are organized into content areas.
WRDS SEC MIDAS offers Market Information Data and Analytics System (MIDAS) to promote a better understanding of the U.S. equity markets and market structure. WRDS SEC MIDAS contains the Individual Security Metrics published by SEC MIDAS. The Individual Security Metrics provides market trading metrics for over 8,300 securities (stocks and exchange-traded portfolios).
Some variables come from the limit order book (level 2) data and can proxy for daily Algorithm Trading (High-Frequency Trading) activities, including:
Odd Lot Ratio
Daily Trading Summaries:
Total Trade Volume
Hidden Order Volume
Trades and Trading Volume against Hidden Orders
Public data on WRDS comes from a variety of sources in the public domain. WRDS converts the data into a consistent format and updates it on a regular basis. The databases are organized into content areas. Our growing collection currently includes:
BEA - Bureau of Economic Analysis. www.bea.gov. WRDS publishes the top series on GDP, Consumer Spending, and other national accounts.
BLS - Bureau of Labor Statistics. www.bls.gov. WRDS publishes the top series from each of the main surveys, including the CPI, PPI, CES, and others.
HCUP - Healthcare Cost and Utilization Project. www.ahrq.gov/research/data/hcup. WRDS publishes data from the National Inpatient Sample. It examines individuals as patients, covering information about procedures and diagnoses during hospital inpatient stays and emergency department visits.
MEPS - Medical Expenditure Panel Survey. www.ahrq.gov/research/data/meps.WRDS publishes selected Household tables which examine individuals as consumers, covering insurance coverage, and the use and cost of health services. WRDS also publishes Insurance tables, covering employers in the private sector and state and local governments on the health insurance coverage offered to their employees
Analyze and measure the effectiveness of a firm's R&D.
SEC Order Execution
On November 15, 2000, the SEC adopted new rules aimed at improving public disclosure of order execution and routing practices. 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 - the spreads actually paid by investors whose orders are routed to a particular market center. In addition, market centers must disclose the extent to which they provide executions at prices better than the public quotes to investors using limit orders.
Data is available on WRDS through 2005, and is no longer updated.
FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It was formed in the summer of 2007 from the NYSE and the NASD.
TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. Bringing transparency to the corporate bond market, it helps create a level playing field for all market participants by providing comprehensive, real-time access to corporate bond price information.
Introduced in July of 2002, 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.
The TRACE Historical Time and Sales data is available through WRDS. The information collected and disseminated for all publicly traded corporate bonds by TRACE includes the time of execution, price, yield, and volume.