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Analytics by WRDS 415

WRDS has developed a variety of powerful analytics tools to support you in your research. Get more out of your data with less effort.

Find the analytics tools you need.

Analytics tools are designed to improve efficiency, enabling researchers to tap into different data sources and research areas without having to create sophisticated programs. Results are presented graphically and include the underlying data for further analysis and exploration.

Topics:
Beta Suite by WRDS

Beta Suite is a powerful engine allowing you to calculate stock level alpha and betas on various common risk factors.

  • Daily, weekly, or monthly return frequencies
  • Select from four risk models for regression

CUSIP Converter

Because different financial databases use different formats of CUSIPS, conversion may be required for combining data sets. With the CUSIP Converter you can convert 8 or 9 digit CUSIPs into 6, 8, or 9 digits.

  • Uniform conversion of an accepted standard identifier of financial instruments

Efficient Frontier (DJ 30)

With this interactive tool, dynamic portfolio evolution can be visualized based on portfolio composition and risk selection. Select a quantity of stocks from the Dow Jones 30 Index, a measure of risk aversion, and the graph displays:

  • Efficient Frontier
  • Optimal Complete Portfolio
  • Optimal Risky Portfolio
  • Minimum Variance Portolio

Efficient Frontier (Full Fledged Version)

Compose a portfolio, set parameters, and use this tool to calculate the corresponding Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio as well as Minimum Variance Portfolio based on your selections.

  • Graphic portfolio vizualization
  • Output includes spreadsheet with portfolio statistics

Financial Ratios: Firm Level

With the Financial Ratios: Firm Level tool you can access over 70 pre-calculated financial ratios for all U.S. companies across eight different categories.

  • Calculates ratios most commonly used in accounting and finance research
  • Monthly time series of financial ratios per company

Financial Ratios: Industry Level

This tool enables you to access over 70 pre-calculated financial ratios at industry or sector-level aggregation.

  • Choose between universe of CRSP Common Stock or S&P 500 Index Constituents
  • Use GICS Sectors or Fama-French Industries Classification

 

International Event Study (Compustat Global)

Expand global market research using security returns directly from Compustat Global and index returns computed by WRDS from underlying Compustat Global data. You can upload your own “events” file, or use corporate events from Capital IQ’s Key Development database.

  • Instant visualization of the effect of events on international stocks
  • Output includes statistics, plots, underlying table

International Event Study (Global Insight)

Conduct an event study by either uploading your own “events” file containing international firm identifiers or using international corporate events from Capital IQ’s Key Development database.

  • Instant visualization of the effect of events on international stocks
  • Output includes statistics, plots, underlying table

Intraday Indicators

Stock specific daily and intraday (5 min, 15 min and 30 min) indicators created from the TAQ intraday dataset.

  • Stock specific daily and intraday (5 min, 15 min and 30 min) indicators.
  • Requires subscription to TAQ dataset.

Linking Suite by WRDS

Link information between widely used databases:

  • U.S. corporate bond data to equity data from CRSP
  • IBES TICKER to CRSP PERMNO
  • OptionMetrics SECID to CRSP PERMNO
  • TAQ Symbol to CRSP PERMNO

 

 

List of 8-K Items

Access information about Form 8-K triggering events for all companies that filed 8-K, from as far back as 1994.

  • Research company events important to shareholders

List of Filings Exhibits

Enables you to search specific SEC filings forms. Common filings include:

  • 10-Ks, 10-Qs
  • Forms 3, 4, 5

Option Suite by WRDS

Access option characteristics not readily included in OptionMetrics. This tool, using both OptionMetrics and CRSP data, enables you to obtain common option-based equity indicators, such as option skewness, without writing code. Calculate variables, such as:

  • Time-to-expiration
  • Moneyness
  • Spread

 

Programming Guides

WRDS Programing Guides are designed to help you with specific tasks you may encounter in your research. In many of these guides, relevant SAS sample code is provided.

  • Successfully navigate known issues with financial data
  • Use WRDs more efficiently
  • Improve quality of empirical research

Readability and Sentiment Analysis

Parse SEC filings to quantify the “readability” as well as the “sentiment” of each based on the textual content and wording in these filings.

  • Quickly develop tailored datasets from all SEC filings
  • Analyze sentiment/tone metrics in disclosures
  • Coverage from 1994

Research Applications

To improve the efficiency and quality of empirical studies, WRDS has replicated widely-cited papers that represent various areas of research.

  • Access code replicating methodology of well-known studies
  • Customize source code to research needs
  • Conduct investigations using established strategies

Return + Decile Assignment

Easily obtain the raw data you require for event studies. This tool provides you with stock return and corresponding market decile return data around event dates you specify.

  • Flexibility for specifying window size before and after event
  • Exchanges include NYSE, AMEX, and NASDAQ
  • Obtain either value or equal-weighted returns

Sample Programs

Hundreds of WRDS Sample Programs are available for data extraction and compiling research. While these programs are primarily written in SAS, some C samples are also included.

  • Jumpstart research using established starting points

SAS Research Macros

Research Macros are a set of standardized SAS routines used by researchers in Finance and Accounting to perform common empirical procedures

  • Reduce the time and effort required to write SAS code
  • Simplify complicated programming tasks

SAS Studio

SAS Studio is a revolutionary tool which provides you with the power of interactive SAS within a browser window.

  • User-friendly interface
  • Direct access to WRDS data
  • Predefined tasks enable you to quickly generate graphs and statistical analyses

SAS Visual Analytics

SAS Visual Analytics provides a complete platform for information visualization, allowing you to identify patterns and relationships in complex data sets.

  • Interactive, self-service business intelligence reporting
  • Quickly derive insights from business data
  • Customize your own reports

SEC Filings Search

Use this powerful research platform to search the contents of the most commonly used SEC filings—over 3.4 million reports—filed by more than 94 thousand companies.

  • Easy-to-use web queries
  • Daily updates
  • Links to original HTML and text filings

Thomson Reuters Stock Ownership

This tool allows you to tap into the 13F filings by institutional investors, accessing metrics commonly used in academic literature, including overall ownership by institutions, concentration of institutional ownership, and number of block ownerships.

  • Simple point and click query interface

U.S. Daily Event Study

Investigate abnormal stock returns/volumes around event dates by uploading your own “events” file, or analyzing reaction to firm-specific events from Capital IQ’s Key Development database.

  • Instant visualization of the effect of events on U.S. equities
  • Output includes statistics, plots

U.S. Intraday Second-by-Second Event Study

Conduct a high frequency intraday event study by utilizing underlying NYSE Trade and Quote (TAQ) data. Options include uploading your own “events” file, or using corporate and macro-economic news events provided by RavenPack News Analytics database.

  • Second-by-second effect of events on stock returns
  • Output includes statistics, plots, underlying table

World Indices by WRDS

Access international stock market total returns for 40+ countries, including dividends and constituents information.

  • Daily and monthly frequencies
  • Index portfolios rebalanced annually
  • Historical data goes back to 1986

WRDS Backtester

WRDS Backtester provides researchers a centralized platform aggregating the commonly used equity signals for the U.S. market. Test the historical performance of common asset pricing signals using:.

  • Over 100 different quant signals; or
  • Upload your own customized quant signal file

WRDS Bond Returns

Monthly U.S. Corporate Bond Returns database going back to 2002.

  • Linking table between bond and equity by the same company
  • A novel and unique corporate bond database.

WRDS Insiders

Access richer data regarding publicly disclosed, legal insider trading activity. Complete data from SEC Insiders Filings includes:

  • All reporting owners
  • All transactions
  • All footnotes for the filings

WRDS SEC 13F Holdings Data

Parsing of 13F filings reported in XML attachment by institutional investors to extract holding and summary information.

  • Data coverage complete starting in June 2013
  • Query supports conditional statements

WRDS SEC Linking Tables

Extract historical company identifier information from SEC filings to map companies across different identification systems and accurately track companies over time.  

  • Traces historical name changes of companies
  • Link between CIK and CUSIP
  • Link between GVKEY and CIK

Beta Suite by WRDS

Beta Suite enables you to calculate stocks’ loading on various risk factors in a timely manner. Output includes stock alpha, beta on risk factors (market, Fama-French factors) as well as idiosyncratic and total volatility. The tool is designed with flexibly in mind, capable of handling monthly, weekly and daily rolling regression on a common set of market risk factors.

Requires subscription to CRSP database.

CUSIP Converter

Convert large quantities of CUSIP numbers by uploading as a plain text (.txt) file. Select either 6, 8, or 9 digits as your output. The tool provides several options for formatting the output file, including Excel, SAS, and Stata.


Requires subscription of CUSIP license.

Efficient Frontier (DJ 30)

Efficient Frontier (DJ 30) is an interactive graphical visualization tool that allows you to select portfolio composition using the Dow Jones 30 Index. The tool calculates the corresponding Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio as well as Minimum Variance Portfolio based on the stock selection.

This application was created using returns from the Dow 30 from 2008 to 2013. In addition to varying the number of securities, you can also alter the measure of risk aversion.

Efficient Frontier (Full Fledged Version)

Using this flexible web-based tool, enter a list of security identifiers (Ticker or PERMNO), and pre-set parameters such as Risk-Free Rate and Degree of Risk Aversion. The tool then incorporates the customized inputs and calculates the corresponding Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio as well as Minimum Variance Portfolio based on your stock selection.

Requires subscription to CRSP database.

Financial Ratios: Firm Level

Financial Ratios: Firm Level is a powerful engine that delivers over 70 pre-calculated financial ratios for all U.S. companies across eight different categories (valuation, liquidity, profitability, financial soundness, etc.). Researchers can easily obtain individual ratios for all firms in North America through point-and-click on the web query. This product can be used as a convenient tool to obtain various ratios as characteristics for controls in empirical research.

Requires subscription to CRSP, Compustat North America and IBES database.

Financial Ratios: Industry Level

Provides 70+ industry-level financial ratios across eight different categories (valuation, liquidity, profitability, financial soundness, etc.). Researchers can choose between industry classifications based on SIC code by Fama and French, or select the GICS sector classification to arrive at the final average of industry level ratios, using all firms that belong to that particular industry. This tool is derived based on the output of the firm-level ratios.

Requires subscription to CRSP, Compustat North America and IBES database.

International Event Study (Compustat Global)

Using Compustat Global data, study the effect of events on international stocks by either uploading your own “events” file or obtaining events from Capital IQ’s Key Development database. Capital IQ’s Key Development database allows you to select from hundreds of international corporate events (e.g. M&A, bankruptcy) included in the KeyDev database to conduct event studies beyond the boundaries of North American stock markets.


Uploading your own events requires subscriptions to Compustat Global; selecting events from Capital IQ requires subscriptions to Compustat Global and Capital IQ’s Key Development database.

International Event Study (Global Insight)

Study the effect of events on international stocks by uploading your own “events” file or using events from Capital IQ’s Key Development database. The database contains hundreds of international firm-specific events (e.g., M&A, bankruptcy) and corresponding dates. Combining this powerful data bank with the event study engine allows you to explore reactions to firm-specific events in the international equity market domain.  

Uploading your own events requires subscriptions to Compustat Global and Global Insight database; selecting events from Capital IQ requires subscriptions to Compustat Global, Global Insight, and Capital IQ’s Key Development database.

Intraday Indicators

Stock specific daily and intraday (5 min, 15 min and 30 min) indicators created from the TAQ intraday dataset. Includes stock/flow variables created from trades and quotes, intraday volatility, spread, price impact, and many other stock volatility and liquidity measures.

Requires subscription to TAQ dataset.

Linking Suite by WRDS

Easily download link tables between various heavily used databases on the WRDS platform:

  • Bond CRSP Link allows you to directly link fixed income data at the individual bond level to the equity data from the CRSP database.
  • IBES CRSP Link provides the historical matching of IBES TICKER with CRSP PERMNO.
  • OptionMetrics CRSP Link provides the link between OptionMetrics SECID and CRSP PERMNO.
  • TAQ CRSP Link provides the link between TAQ SYMBOL and CRSP PERMNO

The Bond CRSP Link requires subscriptions to TRACE/Enhanced TRACE and CRSP databases; the IBES CRSP Link requires subscriptions to IBES and CRSP databases; the OptionMetrics CRSP Link requires subscriptions to OptionMetrics and CRSP databases; the TAQ CRSP Link requires subscriptions to TAQ and CRSP databases.

List of 8-K Items

Screen and extract all 8-K forms with specific trigger item information. Search for companies by CIK, GVKEY, CUSIP, or TICKER and extract all 8-K reports filed by these companies, along with the list of all items that triggered the filing of Form 8-K,  the filing date, filing time (available after 2002), and the conformed period of report or event date.

Requires subscription to WRDS SEC Analytics Suite.

List of Filings Exhibits

By parsing through the entire SEC filings database, this query allows you to extract the contents of specific forms filed by companies. The most commonly used forms include 10-Ks, 10-Qs, Forms 3, 4, and 5.

Requires subscription to WRDS SEC Analytics Suite.

Option Suite by WRDS

Option and equity level indicators are available for all U.S. options and corresponding equities going back to 1996. Using the U.S. Stock Level Output, you can obtain option-based equity characteristics from filtered option series based on standard option criteria, such as range of time to expiration, moneyness, and implied volatility. With the U.S. Daily Level Output, you are offered the flexibility to filter option series by widely used criteria, such as range of time to expiration, moneyness, and implied volatility.

Requires subscription to OptionMetrics data.

Programming Guides

WRDS Programing Guides include topics such as how to identify ADRs, issues with closed-end funds data, and guidance on IPO data sources. Each Programming Guide describes the empirical issues and provides a detailed overview on how to approach or circumvent possible data concerns.

Readability and Sentiment Analysis

Focusing on textual content and wording, assess the readability, sentiment/tone in financial disclosures using insights from recently published papers in the field. The Readability and Sentiment Analysis tool is designed with flexibility in mind, allowing you to search SEC filings for an individual firm or a group of firms.

Requires subscription to WRDS SEC Analytics Suite.

Research Applications

As transparent and ready-to-use SAS algorithms, these research applications cover a variety of topics including portfolio construction, earnings surprise calculation, institutional ownership ratios, deriving NBBO, signing trades, and option pricing. The methodological groundwork behind some of these applications originated in articles published in The Journal of Finance and the Quarterly Journal of Economics.

Return + Decile Assignment

Provide a request file containing firm identifier (PERMNO) and event date information. The tool then extracts security return, security decile assignment, and corresponding market decile return information around your specific event dates for further data analysis.


Requires subscription to CRSP database.

Sample Programs

WRDS Sample Programs provide sample examples of data-extraction and cover basic aspects of data processing. Sample programs are available for nearly twenty datasets. Use these programs as a starting point to retrieve your sample of interest using WRDS data sources.

SAS Research Macros

SAS Research Macros include several tools and utilities applied in routine data cleaning and manipulation to prepare datasets for analysis (e.g., winsorizing outliers, populating a dataset to a monthly frequency). Macros specifically designed for the fields of Finance and Accounting include, among others, merging CRSP stock and event data, quarterizing Compustat year-to-date values, and computing a broad range of financial ratios aggregated at the industry level.

SAS Studio

SAS Studio complements SAS on Unix, SAS Connect on a PC, and the SAS Share interface to R, Matlab, and other languages. SAS Studio looks like the SAS interface found on the PC, but has direct access to WRDS data like on Unix.

SAS Visual Analytics

Interactive data visualization application templates let you look at more options, uncover hidden opportunities, identify key relationships and make precise decisions faster than ever before. Make sense of complex data, regardless of analytic skill level. Create sophisticated analytics, including decision trees, network diagrams, on-the-fly forecasting, goal seeking and scenario analysis.

SEC Filings Search

Types of filings covered by this engine include 10Ks, 10Qs, 8Ks, Proxy and Registration Statements, 40-F Annual Reports, Uploads, and SEC correspondence. With access to all information in SEC filings, this tool is positioned for broad research in finance, accounting, business, economics, and law (e.g., corporate due diligence, forensic accounting, disclosure research, and investment management).

Requires subscription to WRDS SEC Analytics Suite.

Thomson Reuters Stock Ownership

Use this tool to research a firm’s institutional ownership, with query results including measures such as number of 13-F institutional owners, number of >5% institutional block ownerships, and largest institutional ownership size.


Requires subscription to Thomson Reuters Stock Ownership database.

U.S. Daily Event Study

Study the effect of events on U.S. stocks by uploading your own “events” file or using events from Capital IQ’s Key Development database. The database contains hundreds of firm-specific events (e.g. dividend announcement, M&A) and corresponding dates. Linking this powerful data bank with the event study engine allows you to explore reactions to firm-specific events in the U.S. equity market. An additional option for specifying the size of the time window before and after the uploaded event is also available.

Uploading your own events requires subscription to CRSP daily stock file; selecting events from Capital IQ requires subscriptions to CRSP daily stock file, CRSP CCM, and Capital IQ’s Key Development database.

U.S. Intraday Second-by-Second Event Study

Upload your own “events” file containing the security identifier (Ticker), event date, and time (00:00:00) to explore abnormal returns and volumes around the event time. Or, obtain news events from RavenPack News Analytics database to analyze intraday equity return reaction to over 150 different events, such as M&A, Rating Change, layoffs, and executive firings.

Uploading your own events requires subscriptions to TAQ; selecting events from RavenPack requires subscriptions to TAQ and RavenPack.

World Indices by WRDS

Quickly access total return indices (with dividends) as well as index constituents for over 40 countries. Compustat Global - Security Daily is used to construct the indices, which are market-capitalization weighted. For each country, the index portfolio is rebalanced annually at the end of the last trading day of June.

Requires subscription to Compustat Global.

WRDS Backtester

Backtester Basic – contains 103 signals that were created using common databases: CRSP Stocks, Compustat, and CRSP's CCM product.

Backtester Plus – contains the entire list of 134 signals that use additional databases including IBES, OptionMetrics, Thomson Reuters, and WRDS SEC Analytics.

Upload Your Own Signal – users can upload a .txt file that contains the time series of customized signal values and test the signal performance.

Backtester Basic requires subscritions to CRSP, Compustat, and CRSP's CCM product.

Backtester Plus required subscriptions to CRSP, Compustat, IBES, OptionMetrics, Thomson Reuters, and WRDS SEC Analytics.

Upload Your Own Signal requires a subscription to CRSP.

WRDS Bond Returns

Monthly U.S. Corporate Bond Returns, including accrued interest, duration & yield computations, as well as buys and sell volume. Also provides linking table between bond and equity by the same company. Historical time series data starts in 2002.

Requires subscription to TRACE and Mergent FISD database.

WRDS Insiders

Data is parsed directly from SEC forms 3, 4, and 5, and includes:

  • 10-15% more insider transactions than Thomson Reuters
  • CIK for each insider
  • Name of person who signed the insider form
  • Link back to the original SEC source

Requires subscription to WRDS SEC Analytics Suite.

WRDS SEC 13F Holdings Data

Through parsing of the SEC 13F Holdings data reported in XML attachments, you can access details on holdings as well as well as summary information of equity positions held by institutional investors. As such format was mandated by the SEC after June 2013, the SEC 13F Holdings data is complete only for the period after that reporting date.

Requires subscription to WRDS SEC Analytics Suite.

WRDS SEC Linking Tables

Easily trace historical name changes and access filings statistics for companies. Use the linking tables to map the SEC’s CIK to CUSIP and Compustat’s GVKEY. Linking tables enable you to track all historical filings for public companies, helping to avoid selection and survivorship bias in research.

Requires subscription to WRDS SEC Analytics Suite.