Wharton Research Data Services (WRDS) - Login for Individual WRDS Account Holders

WRDS is a web-based interface which provides access to several finance and business related datasets. McMaster subscribes to the following datasets/tools via WRDS:

• Compustat - Capital IQ datasets include:
  • Compustat: Global & EMDB: Compustat Global provides authoritative financial and market data covering publicly traded companies in more than 80 countries, representing over 90% of the world's market capitalization, including coverage of over 96% of European market capitalization and 88% of Asian market capitalization. Hundreds of data items, ratios and concepts and up to 12 years of annual history is included. Standard & Poor's Emerging Markets Database covers 53 markets and more than 2,200 stocks in developing countries.
  • Compustat: North America: Contains U.S. and Canadian fundamental and market information on more than 24,000 active and inactive publicly held companies. It provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items. For most companies, annual and quarterly data is available for a maximum of 20 years and 48 quarters.The files also contain information on aggregates, industry segments, banks, market prices, dividends, and earnings.
  • Compustat: Execucomp: Provides executive compensation data collected directly from each company’s annual proxy (DEF14A SEC form). Detailed information on salary, bonus, options and stock awards, non-equity incentive plans, pensions and other compensation items are available.
• CRSP (Center for Research in Security Prices) datasets include:
  • CRSP U.S. Stock Database (Annual): Contain daily and monthly market and corporate action data for securities with primary listings on the NYSE, NYSE Amex, NASDAQ, and Arca exchanges and include CRSP broad market indexes.  
  • CRSP U.S. Index History Files - Intraday (Quarterly): Contains second-by-second and end-of-day price and total return levels for market capitalization, value/growth, and sector indexes.
  • CRSP Mutual Funds (Quarterly): Survivor-Bias-Free US Mutual Fund Database includes identification information, fund objectives, fees, total net assets, monthly and daily net asset values, returns, and distributions. This database allows researchers to create performance benchmarks free of survivorship bias by including both active and inactive funds.
• EVENTUS: Eventus Software performs event studies that compute abnormal returns for specific corporate action or events using data directly from the CRSP stock database.
• I/B/E/S (Institutional Brokers' Estimate System): Provides summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well and buy-sell-hold recommendations.
• IRI (Information Resources, Inc.) - Marketing Fact Book provides aggregate, category-level data across more than 300 different grocery product categories covering the years 1983 to 1997. The data are collected from a representative sample of static qualifying U.S. panelist households. These purchases are continuously tracked across all UPC-coded brand-items in all categories.
• ISS (Institutional Shareholder Services) - on the ISS page, scroll to Directors, Governance, Other (fomerly known as RiskMetrics): Contains corporate governance data. It includes directors data, voting results data and shareholder proposal data for S&P 1,500 companies (and others) from the mid-1990s to the present.
• ISSM (Institute for the Study of Security Markets): Contains tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992. Each year of data is divided into two files, one for trades and one for quotes.
• Lipper Hedge Fund Database (TASS): A resource helpful for institutional asset managers, high net worth investors and consultants who monitor the global hedge fund industry.
  • To access Lipper/TASS data via WRDS: On the WRDS Subscriptions page (default home page) select Thomson/Refinitiv and scroll to through the list and select one of the datasets displayed.
• MSCI ESG KLD STATS: A dataset of positive and negative environmental, social, and governance (ESG) performance indicators applied to a universe of publicly traded companies. Initiated in 1991, this dataset is one of the longest continuous ESG data time series available. 
• OTC Markets: Contains closing quote, trade and security reference data on the 10K securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces. Coverage is 2011 to  the present
• Research Quotient: Analyze and measure the effectiveness of a firm's research and development (R&D)
• Refinitiv ESG data: Contains ESG (environmental, social and governance) data and scores for 10,000 global companies with data since 2002. Measure a company’s relative ESG performance, commitment and effectiveness across 10 main categories (E - emission, innovation, and resource use; S - community, human rights, product responsibility, and workforce; G - CSR strategy, management, and shareholders) based on publicly-reported data. 450+ ESG data points and 70+ ESG analytics are included. Learn more about the ESG dataset via WRDS and the meaning and methodology of ESG scores.
  • To access ESG data via WRDS: On the WRDS Subscriptions page (default home page) select Thomson/Refinitiv and scroll to the bottom of the list and select one of the ESG options displayed.
  • NOTE: This data is also available via LSEG Workspace (formerly Refinitiv Workspace)
• TAQ (Trade & Quote): Contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues. 
  • To access TAQ data via WRDS, on the WRDS Subscriptions page (default home page) select TAQ, go to Millisecond Trade and Quote-"Daily Product" > select TAQ Millisecond Tools > select Millisecond Intraday Indicators by WRDS. Includes 150+ daily variables that cover liquidity, volatility, price/flows, informativeness, and many others. McMaster's subscription covers 2018 to present.
• Thomson Reuters Mutual Fund Holdings (s12): Provides access to Mutual Funds Holdings (CDA/Spectrum s12).
• WIFR (WRDS Industry Financial Ratio):  a collection of the most commonly used financial ratios by academic researchers. Includes over 70 financial ratios grouped into the following 7 categories: capitalization, efficiency, financial soundness/solvency, liquidity, profitability, valuation and others. Ratios for each individual company as well as at industry aggregated level are included in the output.