Wharton Research Data Services (WRDS) Workshop

slide1. Wharton Research Data Services (WRDS) Workshop Department of Finance & Management Science<br>
slide2. Outline of Workshop Introduction……………………………………................................................Hongwei Zhao

Live Demo of Accessing WRDS……………………………………………….Jingjing Chen

Center for Research in Security Prices (CRSP)…………………………Cuyler Strong

S&P Global Market Intelligence’s Compustat……………………………Yoonsoo Nam

Eventus…………………………………………….................................................Feiwei Chen

Thomson Reuters 13-F Filings……………………………………………................Ao Wang

Trials and Unsubscribed Datasets.………………………………………….Adrian Tippit

Conclusion………………………………………………………………………….Hongwei Zhao<br>
slide3. Introduction Presenter: Hongwei Zhao<br>
slide4. What Is WRDS? Wharton Research Data Services (WRDS) is the award-winning research platform and business intelligence tool
Developed by the Wharton School of the University of Pennsylvania
Offers over 250 terabytes of data
Used by 400+ institutions in 30+ countries.<br>
slide5. WRDS Website<br>
slide6. Comprehensive Services Research applications
Applications, utilities and an extensive suite of template and sample programs
Online specialists support
E-learning
A library of video sessions covering a host of topics presented by research experts
Timely updates
Convert and install database updates for immediate access
Learning environment
Enable to demonstrate real-world applications of principles with actual company data<br>
slide7. Data Licensing and Access with WRDS Data WRDS
Licensing Subscription
Agreement Agreement



Re-distribution agreement WRDS Data Vendor WRDS Subscriber<br>
slide8. Friendly Support Environments WRDS supports the following client environments<br>
slide9. Subscribed Data Audit Analytics
Bank Regulatory
Beta Suite by WRDS
Blockholders
BoardEx
CBOE Indexes
Compustat – Capital IQ
CRSP
CUSIP
DMEF Academic Data
Dow Jones
Efficient Frontier by WRDS
Event Study by WRDS
Eventus
Fama French & Liquidity Factors
Federal Reserve Bank
ISS (Formerly RiskMetrics)
MSCI (Formerly KLD and GMI)
MSRB
OTC Markets
Penn World Tables
Peters and Taylor Total Q
PHLX
Public
Research Quotient
SAS Visual Analytics
SEC Order Execution
Thomson Reuters
TRACE
World Indices by WRDS
WRDS SEC Analytics Suite<br>
slide10. Live Demo of Accessing WRDS Presenter: Jingjing Chen<br>
slide11. Creating WRDS Account Step 1: Register at WRDS website
https://wrds-web.wharton.upenn.edu/wrds/
Step 2: Get the email to set your password
The WRDS Representatives for our institution are:

Gregory Alan Neunherz
greg_neun@wsu.edu
509-335-1315

Tyson Livingston
tyson_livingston@wsu.edu<br>
slide12. Getting data from WRDS Wed-based access

WRDS Cloud: offers access to all WRDS data
SAS studio
Remote access to WRDS
via PC-SAS, MATLAB, R, Python, Fortran, C
Command line access
via SSH<br>
slide13. Downloading from the website Log in to the WRDS platform:
https://wrds-web.wharton.upenn.edu/wrds/
Create a data query and view the results

Advantages
Simple, powerful queries with a few clicks
Download up to 2GB of data per query
Export into the format of your choice
Import into popular programs with ease
Disadvantages
Lack of flexibility<br>
slide14. Accessing WRDS via SAS studio SAS Studio is an interface to the SAS server running on the WRDS environment.
https://wrds-cloud.wharton.upenn.edu/SASStudio
Advantages
Convenient: Already-established libraries is listed on the left under SAS Libraries
Free: for all WRDS subscribers, no license needed
Just like PC-SAS
Disadvantages
 The WRDS users permanent file storage directory is located: /home/[group name]/[username]. Store up to 10GB of data in this directory<br>
slide15. Accessing WRDS via PC-SAS Submit the code in the Editor window to sign in and establish the remote connections.
Write the code to subset the data you requested within the rsubmit/endrsubmit commands to submit the code remotely.
Download and sign off

Advantages
Allows users to access, manage, analyze, and present data
Disadvantages
Need coding and identifying the path<br>
slide16. Accessing WRDS via PC-SSH Run customized programs with several sources at once
750MB of disk space in your own directory
Access up to 2TB of temporary disk space to process programs.
Instruction for using SSH connection:
https://wrds-web.wharton.upenn.edu/wrds/support/Accessing%20and%20Manipulating%20the%20Data/_002Unix%20Access/Remote%20Access%20to%20WRDS%20using%20SSH.cfm
Advantages
Process and save on the cloud
Disadvantages
Requires knowledge of Unix commands, as well as an understanding of programming languages<br>
slide17. Temporary File Storage Members of your institution may store up to 500GB of data in this directory, shared between all members.
Files in your shared scratch directory are deleted after one week (168 hours)<br>
slide18. Center for Research in Security Prices (CRSP) Presenter: Cuyler Strong<br>
slide19. Overview Center for Research in Securities and Prices (CRSP) is a database of financial market information.

Contains data for
Stock Prices
Monthly data from 1925
Daily data from 1962

Market Indices and Factors

Bonds<br>
slide20. Data Monthly and Daily Data
Stock and Index Data
Stock Variables
Ticker
CUSIP
PERMNO
SIC Code
Price
Bid and Ask
Bid-Ask Spread
Volume
Holding Period Return
Number of Shares Outstanding
Dividend Information<br>
slide23. Collecting CRSP Variables from PC-SAS %let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
run;
rsubmit;
data dsf;
libname a_stock "/wrds/crsp/sasdata/a_stock/";
set a_stock.dsf;
if 2007 le year(date) le 2008;
if permno ^= 14593 then delete;
keep permno date cusip bidlo askhi prc vol bid ask shrout ret;
run;
endrsubmit;<br>
slide25. Additional Information CRSP has several datasets with different variables. This means you may need to merge datasets. For example, share code is under “Stock Event” not “Stock File”.

When using CRSP you need to use absolute value of price.<br>
slide26. Research Using CRSP Fama, Eugene F., and Kenneth R. French. "Common risk factors in the returns on stocks and bonds." Journal of Financial Economics 33.1 (1993): 3-56.
19,517 Google Citations
Jiang, George J., Tong Yao, and Tong Yu. "Do mutual funds time the market? Evidence from portfolio holdings." Journal of Financial Economics 86.3 (2007): 724-758.
247 Google Citations
Since 2008, eight of the top ten most cited papers in the Journal of Finance use CRSP data.<br>
slide27. Fama French (1993) Use CRSP bond and stock data
Return
Shares Outstanding
Price
Treasury Bill Rate
Find 3 factors that explain stock returns
Market factor
Book-to-Market factor
Size factor
Find 2 Factors that explain Bond returns
Maturity Factor
Risk Factor<br>
slide28. Jiang et. al. (2007) Use Mutual Fund data from CRSP
Returns
Loads
Expense ratios
Find that Mutual Fund Managers have positive timing ability
Also find evidence that managers use private information to time the market<br>
slide29. S&P Global Market Intelligence’s Compustat Presenter: Yoonsoo Nam<br>
slide30. Overview Produced by Standard & Poor’s (S&P) Global Market Intelligence
S&P Global Market Intelligence is a division of S&P Global (NYSE:SPGI)
Provides financial and industry data, research, news and analytics to investment professionals, government agencies, corporations, and universities worldwide
North America Data (as of June 2007)
Company Fundamental Data
About 15,000 active companies and 17,000 inactive companies
About 16,000 active securities and 21,000 inactive securities
Annual (1950 ~ )
Quarterly (1962 ~ )
Market Data
Monthly (1962 ~ )
International (excluding U.S. and Canadian) Data
Company Fundamental Data
About 24,000 active companies and 10,000 inactive companies
About 26,000 active securities and 13,000 inactive securities
Annual (1988 ~ )
Quarterly (2003 ~ )<br>
slide31. Downloading Compustat Variables from WRDS Website<br>
slide32. Downloading Compustat Variables from WRDS Website<br>
slide33. Collecting Compustat Variables from PC-SAS %let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
 
rsubmit;
data funda;
libname nam "/wrds/comp/sasdata/nam";
set nam.funda;
cyear=year(datadate);
keep gvkey fyear fyr cyear datadate at capx ceq csho dlc dltt dp ib intan invt itcb oibdp ppegt ppent prcc_f sale xrd;
run;
 
proc means data=funda;
run;
endrsubmit;<br>
slide35. Research Using Compustat Brushwood, James, Dan Dhaliwal, Douglas Fairhurst, and Matthew Serfling. “Property crime, earnings variability, and the cost of capital.” Journal of Corporate Finance 40 (2016): 142-173.
Titman, Sheridan, and Roberto Wessels. "The Determinants of Capital Structure Choice." The Journal of Finance 43, 1 (1988): 1-19.
6,040 Google Citations
Since 2008, seven of the top ten most cited papers in the Journal of Finance use Compustat data.<br>
slide36. Appendix A – Brushwood et al. (2016)<br>
slide37. Commonly Used Variables – Brushwood et al. (2016)<br>
slide38. Important Variables – Brushwood et al. (2016)<br>
slide39. Selected Variable Definitions from Titman and Wessels (1988)<br>
slide40. Compustat Variables Corresponding to Titman and Wessels (1988)<br>
slide41. CRSP/COMPUSTAT Merged - Link History with Used Flag (Linking Table) CRSP Covers stock market data on major stock exchanges
(NYSE, AMEX, NASDAQ)
Main identifiers: PERMNO and PERMCO
Data after initial public offering (IPO)
Data since 1925 COMPUSTAT Covers accounting data for public and private companies.
Main identifier: GVKEY
In general, Compustat requires that a firm has some number of years of history as public company before including it in the dataset.
Data since 1950<br>
slide42. Linking Table<br>
slide43. Linking Table<br>
slide44. Eventus Presenter: Feiwei Chen<br>
slide45. Introduction of Eventus Initiated by Arnold R. Cowan
SAS macro based product
Perform event study estimation
Provide fast event-oriented data retrieval from the CRSP
Web query and UNIX environment are included by WRDS
One of the most widely used event study instruments<br>
slide46. Event Study In finance, accounting and other business fields
A method to analyze the market reaction to a specific event

Firm-specific or market-wide

Use either returns or volume around the time when the event occurred

Examples: earnings announcement, M&As, new capital issues, announcements of macroeconomic variables like unemployment or trade deficit<br>
slide47. Event Study In law and economics
Measure the impact on the value of a firm
Change in the regulatory environment

Assess the damages<br>
slide48. Event Study<br>
slide49. How to use Eventus https://wrds-web.wharton.upenn.edu/wrds/<br>
slide50. Thomson Reuters 13-F Filings Presenter: Ao Wang<br>
slide51. TFN Insider Filing Data----Overview Designed to capture all insider activity as reported on SEC forms 3, 4, 5, and 144.
Form 4 -----three sections:
Header contains name, address, phone, and position
(i.e. President, VP) of the insider.
Table 1: conventional stock or non-derivative transaction information.
Table 2: derivative securities information such as options, warrants, and convertible securities.
Start from 1986-01/1996-01，
Yearly update/Quarterly update
WRDS location: /wrds/tfn/sasdata/insiders
WRDS content: Amendment Concordance; Average Returns; Form 144; Rule 10b5; Table1; Table 2<br>
slide52. Reference Randall A. Heron, and Erik Lie.
“Do Stock Options Overcome Managerial Risk Aversion? Evidence from Exercises of Executive Stock Options.” Management Science Articles in Advance, (2016): 1–15.<br>
slide53. Important Variables---Heron and Lie (2016)<br>
slide54. Important Variables---Heron and Lie (2016)<br>
slide55. Reference Knewtson, Heather S., Richard W. Sias, and David A. Whidbee. “Style Timing with Insiders.” Financial Analysts Journal 66, 4 (2010): p.46-66.<br>
slide56. Important Variables---Knewtson, Sias, and Whidbee (2010)（13 citation)<br>
slide60. Collecting Insider Filing Data Variables from PC-SAS %let wrds=wrds.wharton.upenn.edu 4016;
options comamid=TCP remote=WRDS;
signon username=_prompt_;
run;

rsubmit;
libname pc '/wrds/tfn/sasdata/insiders';
data table1;
set TFN.table1;
keep FDATE SECID TPRICE_AR TPRICE TRANCODE;
run;
endrsubmit;<br>
slide62. 13-F Institutional Holding Data----Overview Institutional Common Stock Holdings and Transactions
formerly known as CDA/Spectrum 3 4 database
Security Coverage: All NYSE, ASE, NASDAQ, Toronto and Montreal common stocks.
Update Frequency: Quarterly, monthly, or weekly
standard data source to study the behavior of institutional investors
Coverage: the first quarter of 1980—present
WRDS location: /wrds/tfn/sasdata/s34
WRDS content: type 1—manager
type 2--- Stock Characteristics
type 3--- Stock Holdings
type 4--- Change in Holdings<br>
slide63. Reference Gompers, Paul A., and Andrew Metrick.
“Institutional Investors and Equity Prices.”
The Quarterly Journal of Economics, 116, 1 (2001):
229-259<br>
slide64. Important Variables—Gompers and Metrick(2001)(1909 citation)<br>
slide65. Reference Sias, Richard W., and David A. Whidbee.
“Insider Trades and Demand by Institutional and Individual Investors.” The Review of Financial Studies, 23, 4 (2010): 1544-1595.<br>
slide66. Important Variables—Sias and Whidbee (2010)(52 Google Citation)<br>
slide67. TFN Insider Filing Data<br>
slide68. Trials and Unsubscribed Datasets Presenter: Adrian Tippit<br>
slide69. Subscribed Data AuditAnalytics
Bank Regulatory
Beta Suite by WRDS
Blockholders
BoardEx
CBOE Indexes
Compustat – Capital IQ
CRSP
CUSIP
DMEF Academic Data
Dow Jones
Efficient Frontier by WRDS
Event Study by WRDS
Eventus
Fama French & Liquidity Factors
Federal Reserve Bank
ISS (Formerly RiskMetrics)
MSCI (Formerly KLD and GMI)
MSRB
OTC Markets
Penn World Tables
Peters and Taylor Total Q
PHLX
Public
Research Quotient
SAS Visual Analytics
SEC Order Execution
Thomson Reuters
TRACE
World Indices by WRDS
WRDS SEC Analytics Suite<br>
slide70. Free Trials American Hospital Association Trial
Calcbench Trial
Compustat – Capital IQ Trial
ETF Global Trial
Factset Trial
IMS – SK&A Trial
Infogroup Trial
ISS (Formerly RiskMetrics) Trial
Levin Trial
Markit Trial
Option Metrics Trial
RavenPack News Analytics Trial
Sustainalytics Trial
WRDS SEC Analytics Suite Trial
Zacks Trial<br>
slide71. Unsubscribed Data 2iQ (And Trial)
American Hospital Association
BoardEx Trial
Bureau van Dijk (And Trial)
Calcbench
CENTRIS
ComScore
CRSP Trial
CSMAR
ETF Global
Factset
Financial Ratios Suite by WRDS
Gov PX (And Trial)
GSIOnline
Hedge Fund Research (And Trial)
IBES
IHS Global Insight
IMS – SK&A
Infogroup
IRI
ISSM
Levin
LSPD (And Trial)
Markit
Mergent FISD (And Trial)
MFLINKS

Morningstar CISDM (And Trial)
MSRB Trial
Nastraq
Option Metrics
PACAP
RavenPack News Analytics
RentBureau
RepRisk
Sustainalytics
TAQ (And Trial)
Thomson Reuters Trial
WRDS Quant Alpha
Zacks<br>
slide72. NYSE TAQ (TAQ) The NYSE’s Trade and Quote database
Contains intraday transactions data for all securities listed on the NYSE, AMEX, and Nasdaq
Ticker
Date
Exchange
Time
Price
Size<br>
slide73. Research with TAQ Hendershott, T., Jones, C. M., & Menkveld, A. J. (2011). Does algorithmic trading improve liquidity?. The Journal of Finance, 66(1), 1-33.
908 Google Citations
Spread
Adverse selection component
Volume
Size
Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. The Journal of Finance, 50(4), 1175-1199.
1332 Google Citations
Time
Bid
Offer
Exchange
Size<br>
slide74. I/B/E/S (IBES) Institutional Brokers Estimates System by Thomson Reuters
Contains comprehensive information on analyst estimates of EPS from both individual forecasts and consensus data, and analyst recommendations from around the globe
Also contains data on:
Revenue/Sales
Cash flow
Net Income
Long-term growth projection
Stock recommendations<br>
slide75. Research with IBES Kumar, A. (2009). Who gambles in the stock market?. The Journal of Finance, 64(4), 1889-1933.
691 Google Citations
Percentage without analyst coverage
Mean number of analysts
Womack, K. L. (1996). Do brokerage analysts' recommendations have investment value?. The Journal of Finance, 51(1), 137-167.
1768 Google Citations
Price to earnings ratio
Earnings estimates
Analyst Opinions<br>
slide76. Option Metrics Comprehensive source for historical option price data, tools, and analytics
Contains data since 1996 on
historical prices of options and their associated underlying instruments
Correctly calculated implied volatilities
Option sensitivities
Data for listed indexes and equity options markets in:
US/Canadian
European
Asian Pacific<br>
slide77. Research with Option Metrics Kelly, B., Pástor, Ľ., & Veronesi, P. (2016). The price of political uncertainty: Theory and evidence from the option market. The Journal of Finance, 71(5), 2417-2480
Implied volatility
Deltas
Open interest (for 15 countries)
Ni, S. X., Pan, J., & Poteshman, A. M. (2008). Volatility information trading in the option market. The Journal of Finance, 63(3), 1059-1091.
Price
Volume
Implied volatility<br>
slide78. Conclusion Presenter: Hongwei Zhao<br>
slide79. Reasons for using WRDS Research purpose
Sample code for extraction and basic processing
Multiple programing procedures directly related to data manipulation (e.g. SAS Notes)
Routines used to perform commonly requested tasks
Research guides
Keep up with the newest database world
Multiple datasets available to all customized demands
Instant and convenient access to data (e.g. WRDS Cloud)
Tutorials & presentation
Range from beginners to advanced levels
Step-by-step instructions for programing and survey of relevant literature for selected research topics<br>
slide80. What questions do you have?<br>
slide81. Wharton Research Data Services (WRDS) WorkshopAppendix Department of Finance & Management Science<br>
slide82. CRSP Bond Variables (No Subscription) Coupon Payments
Quotes
Yield
Discount bond Prices
Forward Rates<br>
slide83. CRSP Mutual Fund Variables (No Subscription) Net Asset Value
Returns
Loads
Fees
Summary Information
Holding Information
Dividends<br>
slide84. Compustat - Selected Variable Definitions from Brushwood et al. (2016)<br>
slide85. Compustat Variables Corresponding to Brushwood et al. (2016)<br>
slide86. Compustat - Support Overview of Compustat XPressfeed Database, FAQs, and WRDS Reference Materials
http://wrds-web.wharton.upenn.edu/wrds/support/Data/_001Manuals%20and%20Overviews/_001Compustat/index.cfm

Sample Programs: extracts, filing dates, portfolios, earnings surprises, # of segments, etc.
http://wrds-web.wharton.upenn.edu/wrds/support/Data/_003Sample%20Programs/Compustat/index.cfm

Research Applications: book-to-market, linking, etc.
http://wrds-web.wharton.upenn.edu/wrds/support/Data/_004Research%20Applications/index.cfm<br>