Wharton Research Data Services (WRDS)

The Bank Regulatory Database provides accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. Commercial bank reports include balance sheet, income statements, risk-based capital measures and off-balance sheet data. Bank holding company reports contain balance sheet, income information, risk-based capital measures and additional supporting schedules.

The Fama-French Portfolios are 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.

MSRB 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.

OTC Corporate Bond Transaction Data (TRACE) – Trade Reporting and Compliance Engine is FINRA’s over-the-counter (OTC) corporate bond market real-time price dissemination service

Trace Enhanced contains the historical reproduction of all transactional data reported to TRACE. TRACE Enhanced includes information previously not disseminated to the public, such as buy/sell indicators and counterparty (dealer or customer) information. FINRA makes historical data available 6 months after the transaction date and publishes the information quarterly.

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. The New VIX still measures the market’s expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility “skew” by using a wider range of strike prices rather than just at-the-money series.

Contains customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses. 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.

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.

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.

The Philadelphia Stock Exchange, founded in 1790, is the oldest organized stock exchange in the nation. As one of North America's primary marketplaces for the trading of stocks, equity options, index options and currency options, the PHLX continues to be a market leader in the development and introduction of innovative new products and services. WRDS was given a one-time data set from PHLX covering 1993-1997. No additional updates are expected.

Provides SEC individual security metrics for over 8,000 securities to promote better understanding of the U.S. equity markets and market structure. Coverage ends 2021.

Contains Foreign Exchanges and Interest Rates data from reports published for the Federal Reserve Board and Coincident State Indexes from the Federal Reserve Bank of Philadelphia.

Various datasets provided from several influential papers broadly in the area of macro-finance.

Includes social ratings for companies for relevant stress testing, and risk and performance attribution analysis. Only provides legacy data (1991–2019) that is no longer updated.

Provides aggregate, category-level data across 331 different grocery product categories -1997 calendar year. The data are collected from more than 20,000 participating scanner panel households living in 12 different domestic markets. These markets are fully instrumented; that is, UPC scanning equipment is used at virtually all local grocery store checkouts. The scanner panel households are given premiums and incentives to present a scannable card every time they make a purchase. According to the Marketing Factbook, 70 to 75% of the population within each IRI market participates as scanner panelists. Though IRI tries to ensure the representativeness of the panelists both within and across the markets, some concern remains about the overall representativeness of the data. Because all of the data are collected by UPC scanners, there are no data for product categories that are not regularly scanned (e.g., produce and fresh meat). Similarly, the data include only purchases made at grocery stores; hence, for a limited number or product categories (e.g., beer and magazines), this omission could create some bias.

Total q includes intangible capital in the denominator, i.e., in the replacement cost of firms' capital. This study is based on Peters and Taylor's article, "Intangible capital and the investment-q relation" showing that Total q captures firms' investment opportunities better than other popular Tobin's qproxies. Peters and Taylor estimate the replacement cost of firms' intangible capital by accumulating past investments in R&D and SG&A.

Based on the paper "Large Blocks of Stock: Prevalence, Size, and Measurement." Study of large-block shareholders created by researchers in 2004.

The Dow Jones Averages are comprised of the Daily and Monthly Dow Jones Composite (DJA), as well as the Dow Jones Industrial (DJI), the Dow Jones Transportation (DJT), the Dow Jones Utility (DJU), the Dow 10, and the Dow 5. (Data available from 1896.)

The Penn World Table (PWT) has been a standard source of data on real GDP across countries for decades. 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. PWT has since been moved to UC Davis.

Research Quotient = percentage increase in revenue from a 1% increase in R&D. RQ is the output elasticity of R&D. RQ offers a universal, uniform, and reliable measure of a firm's R&D productivity. Study created by Anne Marie Knott (Washington U. in St. Louis)