Research at WRDS is intended to help you get started with your research while using our platform. The Research Applications, SAS macros, research guides, and sample programs will assist you in replicating well-known empirical papers and can serve as a starting point in your original research.
Highlighted Applications
Using Compustat Historical Identifiers
How to use historical identifiers to link across different data products within Compustat and CRSP.
Fama-French Factors (Python)
Based on the SAS based research application, this Python code replicates Fama and French's (1993) methodology to construct size and value factors.
Ways to Research
A summary of all the resources at WRDS that help link a company or person in one database with the same company or person in another database.
Introductions to databases written by WRDS. Overviews complement vendor manuals by discussing WRDS-specific aspects and research concerns.
Short programs in multiple languages that illustrate common tasks for each database.
Research Applications
- A Note on the Use of PROC SQL with TAQ data on WRDS
- ADR Guide
- ADR Guide (CIZ format)
- Beta Estimation
- CRSP Cumulative Adjustment Factors
- Calculating Standardized Earnings Surprises
- Closed-End Funds Guide
- Closed-End Funds Guide (CIZ format)
- Compound Returns
- Event Study Research Application
- Event Study Research Application (CIZ format)
- Eventus FAQ, Advanced
- Eventus FAQ, Advanced (CIZ format)
- Fama-French Factors
- Fama-French Factors (CIZ Format)
- Fama-French Factors (Python - CIZ Format)
- Fama-French Factors (Python)
- Heteroscedasticity-Consistent (HC) Standard Errors and SAS
- Historical S&P 500 Index Constituents
- IPO Databases and Research Guide
- Institutional Ownership, Concentration, and Breadth Ratios
- Institutional Trades, Flows, and Turnover Ratios
- Institutional Trades, Flows, and Turnover Ratios (Python)
- Institutional Trades, Flows, and Turnover Ratios (Python)
- Lee and Ready (1991) Algorithm
- Linking IBES and CRSP Data
- Linking IBES and CRSP Data (Python)
- M&A Databases and Research Guide
- Market-to-Book (M/B) Ratio
- Market-to-Book (M/B) Ratio (CIZ format)
- Measuring Investors' Opinion Divergence Guide
- Merging CRSP and Compustat Data
- Momentum Strategies
- Momentum Strategies (CIZ format)
- Momentum Strategies (Python)
- Mutual Fund Holdings Reporting Guide
- Mutual Fund Return Gap:
- NBBO Derivation Using SAS Data Views
- Option Pricing Models Guide
- Option-Based Factors
- Ownership Data | Part 1
- Ownership Data | Part 2
- Portfolios by Size
- Portfolios by Size (Python)
- Portfolios on Gompers-Ishii-Metrick Governance Index
- Portfolios on Gompers-Ishii-Metrick Governance Index (CIZ format)
- Post-Earnings Announcement Drift
- Post-Earnings Announcement Drift (Python)
- Research Application on Price-Earnings (P/E) Ratio
- Rolling Regressions in SAS: Equations with Rolling Sample Periods
- S&P 500 Datasets and Constituents
- SAS Dow Loop Approach
- Size, Book to Market, Momentum Benchmarks
- Size, Book to Market, Momentum Benchmarks (Python)
- Stock Return Volatility and Compound Returns Before and After Fiscal Year Ends
- Textual Analysis on S&P 500 Companies
- Thomson-Reuters 13F Database and Classification of Institutional Investors
- Thomson-Reuters 13F Database and Classification of Institutional Investors (Python)
- Thomson-Reuters 13F Database and Classification of Institutional Investors (Python)
- Tobin's Q, Altman Z-Score, and Company’s Age
- Understanding CRSP Shares Outstanding
- Understanding Exchange Rate Data
- Using TAQ Data Efficiently
- WRDS EVENTUS SAS Quick Guide
- WRDS Event Study (Python)
- WRDS Macro: CCM
- WRDS Macro: COMPOUND
- WRDS Macro: COMPOUND (CIZ format)
- WRDS Macro: CRSPMERGE
- WRDS Macro: FFI48
- WRDS Macro: FM
- WRDS Macro: ICLINK
- WRDS Macro: ICLINK (CIZ format)
- WRDS Macro: IDVOL
- WRDS Macro: IDVOL (CIZ format)
- WRDS Macro: INDCLASS
- WRDS Macro: INDRATIOS
- WRDS Macro: INDRATIOS (CIZ format)
- WRDS Macro: LINEPARAPARSE
- WRDS Macro: NWORDS
- WRDS Macro: OCLINK
- WRDS Macro: PARAPARSE
- WRDS Macro: POPULATE
- WRDS Macro: QUARTERIZE
- WRDS Macro: RRLOOP
- WRDS Macro: TAQ_EVENT_WINDOWS
- WRDS Macro: TCLINK
- WRDS Macro: TRADE_DATE_WINDOWS
- WRDS Macro: TRADE_DATE_WINDOWS
- WRDS Macro: TRADE_DATE_WINDOWS (CIZ format)
- WRDS Macro: Trace
- WRDS Macro: Trace
- WRDS Macro: merge_funda_crsp_bycusip.sas
- WRDS Macros : CSV
- WRDS Macros : NEUT
- WRDS Macros : TEXTPARSE
- WRDS Macros: Betas
- WRDS Macros: Betas (CIZ format)
- WRDS Macros: MAKE DUMMIES
- WRDS Macros: Market to Book Ratios
- WRDS Macros: Momentum Strategies/Portfolios
- WRDS Macros: Momentum Strategies/Portfolios
- WRDS Macros: Option Pricing Models
- WRDS Macros: Portfolios by Size
- WRDS Macros: Return Gap
- WRDS Macros: Run an Event Study
- WRDS Macros: Run an Event Study (CIZ Format)
- WRDS Macros: SIZE_BM
- WRDS Macros: VW_AVGPRICE
- WRDS Macros: WINSORIZE
- WRDS Macros: ccm_lnktable.sas
- WRDS Macros: cvccmlnk.sas
- WRDS Program: taq6.sas
- WRDS Program: taq_daily_variables.sas