WRDS

What is this?
How can I gain access?

What is this?

Wharton Research Data Services, or WRDS, is a comprehensive economic and financial data management system intended solely for research purposes. The data, licensed to the Wharton School from various sources, cover a wide range of databases across multiple disciplines, including finance, marketing, management, accounting, economics, banking and insurance. The data is maintained and supported by the Wharton Computing and Information Technology (WCIT) staff. The WRDS system is now licensed to many leading universities worldwide.

The following databases are available within WRDS:

Bank Regulatory Database: The Bank Regulatory Database provides accounting data for bank holding companies, commercial banks, savings banks and savings and loan institutions. The source of the data comes from the required regulatory forms filled for supervising purposes.
Blockholders: This dataset contains standardized data for blockholders of 1,913 companies. The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data. Blockholders' data is reported by firm for the period 1996-2001.
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. The VIX measures the market's expectation of 30-day volatility. The 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.
COMPUSTAT North America: COMPUSTAT (from Standard & Poor's) provides more than 300 annual and 100 quarterly income statement, balance sheet, statement of cash flows and supplemental data items on more than 24,000 publicly held companies.
CRSP: The Center for Research on 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.
DMEF: Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses are available through DMEF to approved academic researchers for use within academic situations.
Dow Jones: Covers the Dow Jones Averages and the Dow Jones Total Return Indexes. The Dow Jones Averages are comprised of the daily and monthly Dow Jones Composite, as well as the Dow Jones Industrial, the Dow Jones Transportation, the Dow Jones Utility, the Dow 10 and the Dow 5. The Total Return Indexes account for reinvested dividends, and, like all Dow Jones Total Market Indexes, cover 95% of the underlying market.
Fama-French ("Research") Portfolios and Factors: Web queries for the Fama-French factors and portfolios, momentum factors, as well as Pastor-Stambaugh Liquidity Factors.
Federal Deposit Insurance Corporation (FDIC): The Federal Deposit Insurance Corporation dataset contains financial data and history of all entities filing the Report of Condition and Income (Call Report) and some savings institutions filing the OTS Thrift Financial Report (TFR). These entities include commercial banks, savings banks or savings and loans.
Federal Reserve Bank Reports: The Federal Reserve Bank Reports contain 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.
OptionMetrics: Ivy DB OptionMetrics is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. Encompassing more than six years of data, Ivy DB OptionMetrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities.
Penn World Tables: The Penn World Tables provide national income accounts-type of variables converted to international prices. The homogenization of national accounts to a common numeraire allows valid comparisons of income among industries. 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.
Philadelphia Stock Exchange Options: 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.
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.

How can I gain access?

Bachelor and Master Students: WRDS is available in our Dataroom, which is to be found in room 2.48 at the House of Finance. If you would like to use these, please set up an appointment with Mrs. Rach-Emma - do not forget to leave your email address and phone number. Current availability of the dataroom can be checked here. To get access, open the WRDS homepage in the internet explorer in the Dataroom (see “Favoriten”) and follow the instructions.

Faculty: Faculty members can apply for their own WRDS account by completing an account request form (see Terms of Use). Please note that a ".uni-frankfurt.de" e-mail address is required for all account requests. Faculty accounts are available to all the standing faculty of member institutions. Standard accounts allow for unlimited access via the web, SSH, and/or FTP, and include 750 MB of home/project storage. Faculty will have their own password for access, which is to remain confidential and must not be shared with any other individual.

Staff: Staff can apply for their own WRDS account by completing an account request form (see Terms of Use). When you are applying for an account, please send also a short notice to Diese E-Mail-Adresse ist vor Spambots geschützt! Zur Anzeige muss JavaScript eingeschaltet sein! , containing the information at which institution you are hired. Please note that a ".uni-frankfurt.de" e-mail address is required for all account requests. Staff accounts can only be requested by support personnel such as librarians, IT support staff or other staff of member institutions. Staff accounts allow for unlimited access via the web, SSH, and/or FTP, and include 750 MB of home/project storage. Staff will have their own password for access, which is to remain confidential and must not be shared with any other individual.

PhD student: PhD students can apply for their own WRDS account by completing an account request form (see Terms of Use). When you are applying for an account, please send also a short notice to Diese E-Mail-Adresse ist vor Spambots geschützt! Zur Anzeige muss JavaScript eingeschaltet sein! , containing the information in which Ph.D. Program you are enrolled and who your thesis supervisor is (if already known). Please note that a ".uni-frankfurt.de" e-mail address is required for all account requests. PhD accounts are available to all current PhD candidates of member institutions. (PhD candidates who accept a faculty appointment at another institution may continue to use their WRDS account until they defend their dissertation. Thereafter, the WRDS Rep will disable the account.) Standard accounts allow for unlimited access via the web, SSH, and/or FTP, and include 750 MB of home/project storage. Doctoral students will have their own password for access, which is to remain confidential and must not be shared with any other individual.

It is important that you select the most appropriate type of account. Otherwise, your account request may be rejected. The WRDS web address is wrds.wharton.upenn.edu. Please note that requests are reviewed on a weekly basis.