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Use WRDS to convert any permno or gvkey to a cusip.
For example, using CCM Security Monthly and eliminating duplicates.
A cusip should be 9 digits and can be converted to a Datastream local code by adding a U at the front and dropping the final check digit.
260543103 (cusip) goes to U2654310 (DS local code).
(Datastream local codes can be used create a Datastream list.)
If the cusip is less than 9 digits the leading 0’s could be missing, and need to be added.
7525108 (cusip) goes to U00752510 (DS local code)
A 6-digit cusip usually indicates a company and 10 is added to give the primary listing.
Converting via a ticker is also possible but seems to be less reliable.
For a cusip 7525108, in Excel cell A2
=CONCATENATE(“0000″,A2) – in B2 adds leading zeros
=RIGHT(B2,9) – in C2 trims to 9 characters
=CONCATENATE(“U”,C2) – in D2 adds leading U
=LEFT(D2,9) – in E2 drops final checkdigit, giving DS local code.
There are a variety of sources on Foreign Direct Investment (FDI), including:
- Passport provides annual FDI data dating back to 1977 (inflows, outflows, inward/outward stocks and FDI Intensity) for over 200 countries (data will vary from country to country)
Use the Search, Menu Search option (listed under Economies and Finance)
- OECD (International Direct Investment Statistics dataset) provides annual FDI data (inflows, outflows, inward/outward positions) for OECD member countries by country/sector dating back to 1985.
- The World Bank World Development Indicators provides annual FDI Data (net inflows/outflows, Balance of Payments (BOP), and %GDP) for approximately 200 countries (coverage will vary from country to country)
- UK Data Service provides access to various datasets from international government agencies.
Where can I find constituent lists for the S&P500 stock index, FTSE100 stock index and other indices?
Current constituent lists:
- Look at the London Stock Exchange website to see lists of FTSE indices. Click on an index name and then choose Constituents.
- Look at the London Stock Exchange website to see selected non-UK indices. Click on an index name and then choose Constituents.
The Statistical package SAS is often used by researchers who have to deal with very large datasets. It is also used by WRDS (Wharton Research Data Services): a WRDS web query runs a SAS program (using the values on the web form as program parameters) and makes the result dataset available.
For some Eventus web queries on WRDS the results are only available as a SAS dataset. You can convert this to Excel (if it is not too large) using the SAS software.
- Open the SAS dataset file
- Select File and Export Data
- Follow the SAS Export wizard (Excel is the default)
- Select Finish to start the export
- If the export fails, this is probably due to an incompatability between SAS and Microsoft Office/Excel. The simplest workaround is to use a different format: comma separated values (*.csv), Stata file (*.dta), SPSS file (*.sav) etc.
SAS Enterprise Guide
- Open the SAS dataset file
- Select File and Export
- Select .xls as output format
For detail on converting from SAS to Excel see the 64-bit-gotchas post on The SAS Dummy blog.
If SAS is not available on your PC, you can open a SAS data file in SPSS Statistics and then export to Excel.
For Initial Public Offering (IPO) information, including prospectuses, there are many sources, including:
- PI Navigator
Include IPO Prospectus in search criteria ( Example )
- Use Function CF (Company Filings) or CFS (Company Filings) to find prospectus or specific SEC form, e.g. 424B4 Search)
- Use function IPO to get summary statistics on IPOs worldwide, data on individual IPOs, Bloomberg world IPO indices, and IPO news.
- The London Stock Exchange provides various statistics including New Issues and IPO Summary spreadsheet.
- Jay Ritter has an excellent web page of IPO data including data files from the appendices of several IPO papers.
- The US Securities and Exchange Comission (SEC) has information on company registrations (required prior to IPO on US exchange) (See Researching IPOs on SEC site.)
Company SEC filings can be accessed through the Search EDGAR facility
For UK Treasury Bills (3 Months):
From Bank of England website, select Statistics, Interest and Exchange Rates Data, Wholesale interest and discount rates, Treasury Bills (3 month) Sterling, End month – IUMAJNB – Monthly.
- Under Economics there is 3 Months Treasury Bills Yield (UKGBILL3) and Gross Redemption Yield on 20 Year Gilts (UKGBOND.)
- Under Interest rates there is UK Treasury Bill Tender 1M (UKTBT1M) and UK Treasury Bill Tender 3M (UKTBTND)
- Under Bonds and convertibles search using gilt in name
- Under Bond Indices and CDS there are DS-TR benchmark indices – search for “Datastream Mnemonic starts TRUK” for benchmarks in the UK list LTRUKBMK, or using gilt in name or gilts as market.
Use Bloomberg function BTMM and select UK, or search for a specific rate.
Use Global Financial Database GFDatabase – GFD Filter Search: Country – United Kingdom and Series Type – Treasury Bill Yields or Government Bond Yields
See also those posts tagged with risk free rate.