US company data on WRDS

WRDS (Wharton Research Data Services) is used by researchers worldwide to get financial and accounting data, especially on US companies. WRDS gives access to the respected CRSP and Compustat NA (North America) databases. It also provides a web interface to make it as easy as possible for researchers to download the data they require. and there is help available from other researchers. See About WRDS for more detail.

Example screencast videos of getting data using WRDS:

• http://screencast.com/t/DuQmA4j7Id - Monthly returns from CRSP
• http://screencast.com/t/BpijU5FIY6x - Fama French factors
• http://screencast.com/t/2vt8uRiF - long-term debt from Compustat NA Fundamentals Quarterly
• http://screencast.com/t/cr9p3Nv1 - S&P domestic long-term issues credit rating from Compustat NA  Ratings

Note: The University of Manchester does not subscribe to all the databases available through WRDS -See  FAQ answer on WRDS subscription.

Earlier WRDS post (March 2011) – for full list of WRDS-related post use the tag cloud on the right-hand side.

There is lots of help available when using WRDS: try the “e-learning” and “support” tabs.

Apple users have reported problems with .xls result files. An alternative is to select the .csv (comma separated variables) format. This can be easily imported into Excel. You don’t get the nice .xls formatting but the data is the same.

S&P 500 (Standard and Poor’s 500 Index)

The S&P 500 (Standard and Poor’s 500 Index) is one of the most quoted stock market indices. It is designed to measure performance of the broad US economy through changes in the aggregate market value of 500 stocks representing all major industries. As a widely used index, the S&P 500 is available on several financial databases.

If you are researching US stocks, you may be using WRDS (Wharton Research Data Services) where the S&P 500 is available, but is referred to as S&P’s Composite Index. For example you can get the S&P 500 index level from

• Web Query : CRSP – Annual Update – Index ; S&P 500 Indexes – Index File on S&P 500 : Variable : Level of S&P Composite Index
• Web Query : CRSP – Annual Update – Stock / Security Files – Stock Market indexes : Variable :  Level of S&P Composite Index

Note that the “Annual” in CRSP – Annual Update refers to the frequency that the database is updated not the data in the database. You can get monthly and daily data from CRSP – Annual Update. The “Annual” means in Dec 2011 we have access to the data to the end of 2010. There will be an annual update around March 2012 and we will then have access to the data to the end of 2011. (The University of Manchester does not subscribe to the more expensive CRSP Quarterly Update, or CRSP Monthly Update.)

If you want to get recent data values for the S&P 500, or if you are not a WRDS user,  there are other source of data on the S&P 500:

• Bloomberg – SPX Index
• Datastream – S&PCOMP (S&P 500 Composite)
• Thomson One Banker – S&PCOMP (S&P 500 Composite)

For related information on S&P 500 constituents or total returns:

Where can I find constituent lists for the S&P indices?

How do I find data on total returns for stocks, bonds, and indexes?

[Thanks to the PhD student who highlighted the difficulties in finding S&P 500 on WRDS.]

WRDS – Wharton Research Data Services

WRDS is regarded as the premier financial research database at business schools worldwide. Strictly, WRDS is not a database itself but a web-based research service. The University of Manchester subscribes to databases (CRSP, Compustat, IBES, etc. ) from their providers, and also to access using WRDS because of the convenience this offers. Several key factors contribute to its popularity:

• Convenient web-based access for databases through WRDS
  CCM (CRSP Compustat Merged) example
• Web-based queries follow the same style for all the databases making WRDS easier to learn.
• Access to CRSP and Compustat, the top-rated databases for financial research on the US market
• Service designed by researchers for researchers: online documentation, able to cope with large volumes of data, and online support.

In general, WRDS is the first choice for most researchers so long as it has the data they need. Thomson Reuters Datastream is our most-used database for UK and Worldwide financial market research, where WRDS is heavily US-centric.

The Databaser blog has a good range of tips on using WRDS – For example

• Ratios, values and other instruments from the balance sheet – Compustat

Note that the University of Manchester WRDS subscription does not include Compustat Global.

Manchester Business Answers 24/7 – WRDS-related questions

Note: WRDS is accessed through either an individual or class username and password, to ensure that you have agreed to the WRDS terms and conditions before using the system.  See FAQ answer: How do I get access to Wharton Research Data Services(WRDS)?

WRDS website and access

WRDS (Wharton Research Data Service) is not really a database itself. It is a system designed to give researchers access to a range of financial databases (CRSP, Compustat, CCM, Compustat Execucomp) though a common interface, and with integrated support.

WRDS recently produced a new web site, so at the moment some data is available from both the new, improved web interface, and the older classic one.

Access to WRDS is via a username and password. MSc students can use a “class account” – email bids@mbs.ac.uk for login details. PhD students and academic staff can apply for their own username and password (this provides extra capabilities for running SAS programs on the WRDS system.)

WRDS related questions on Manchester Business Answers 24/7

Beta values – for companies

See also newer post Betas and Company Research (Jan 2011)

Updated answer about historical beta values:

Where can I find historical betas?

There is also How do I find current betas for companies and/or industries?

The Datastream formula (851E) for historical beta is:

REGB#(LN#(X/LAG#(X,1M)),LN#(Y/LAG#(Y,1M)),60M)
where X is the index (e.g. S&PCOMP ), Y is the share id (e.g. 904818 for Boeing), REGB# is the regression beta function, and 60M is the number of months.

Using the expression in a request gives you the most flexibility, say to choose 3 rather than 5 years (36M rather than 60M).

Of course for fullest flexibility, you can get the data and do the regression yourself.