Pricing, trading, financial, accounting, economics,data. Accessible through a single web-based interface provided by the Wharton School of the University of Pennsylvania. Babson's subscription includes the following resources:
COMPUSTAT: This S&P database provides detailed historical financials for US public companies back to 1950 for annual data and 1962 for quarterly data.
CRSP: 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.
NYSE TAQ: The Trade and Quote database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and Small Cap issues.
In addition, the following are some of the complimentary databases and tools provided by WRDS; note that some are sample data sets only:
- Bank Regulatory Database: accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions.
- Beta Suite: web based tool allowing researchers to calculate stocks’ loading on various risk factors in a timely way.
- CBOE Indexes: the CBOE (Chicago Board Options Exchange) Volatility Index(VIX) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices.
- 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, provided by the Direct Marketing Educational Foundation.
- Dow Jones: Covers the Dow Jones Averages and the Dow Jones Total Return Indexes.
- Event Studies: analyze the market reaction to firm specific and market-wide events.
- Eventus: performs event studies using data read directly from CRSP stock databases or pre-extracted from any source.
- Fama French, Momentum, and Liquidity: Web queries for the Fama-French factors and portfolios, momentum factors, as well as Pastor-Stambaugh Liquidity Factors.
- Federal Reserve Bank Reports: Contains three databases collected from Federal Reserve Banks. Two of them (Foreign Exchanges and Interest Rates) come from reports published for the Federal Reserve Board (H.10 and H.15 reports). The other one contains the Coincident State Indexes from the Federal Reserve Bank of Philadelphia.
- Financial Ratios Suite by WRDS: web based engine that delivers over 70 pre-calculated financial ratios for all U.S. companies across eight different categories.
- PHLX: 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.
- Penn World Tables: provides national income accounts-type of variables converted to international prices.
Research Quotient: offers a universal, uniform, and reliable measure of a firm's R&D productivity.
SEC Disclosure of Order Execution: 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.
- TRACE: 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.