Databases
Access to some of these databases is limited to the Department of Finance faculty and graduate students. Please email SmealDataBases@smeal.psu.edu for further details.
Rogers Family Trading Room
Bloomberg: News plus both Historical and Current pricing for Equity, Fixed Income, Commodity, and FX.
Capital IQ: Data on loan level, fixed income, and equity.
FactSet: Financial statement and price data, ShareRepellent dataset, Lionshares Institutional Ownership data, Mergerstat, Transcripts of conference calls and more.
LESG: Eikon and Thomson One Banker have been combined to create Refinitv. It has SDC, DataStream, VentureXpert and other databases that were part of Eikon and Thomson One.
WRDS
Please note: You may need to log into the WRDS account to access the database.
AuditAnalytics: Provides data for tracking and analysis of public company disclosures related to the audit, compliance, governance, corporate actions and federal litigation
Bank Regulatory by WRDS: Provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions.
Beta Suite by WRDS: Tool for calculating common risk factors on stock loadings via regressions.
Blockholders: Includes standardized data for blockholders of 1,913 companies.
BoardEx: Provides educational background, prior employment, and connections of directors and executives.
Bond Returns by WRDS: Cleaned datasets of corporate bond transactions, sourced from TRACE Standard and TRACE Enhanced datasets, along with a separate dataset for monthly price, return, coupon and yield information for all corporate bonds traded since July 2002. Data easily link to TRACE and CRSP databases.
CBOE Options: Volatility measure is a key measure of market-implied expectations of near-term volatility as conveyed by S&P 500 stock index option price.
COMPUSTAT - Capital IQ: Database of U.S. and Canadian fundamentals and market information on active and inactive publicly held companies.
Contributed data at WRDS: KPSS Technological Innovation, Resource Allocation, and Growth: value of patents and link to companies in CRSP by Kogan, Papanikolaou, Seru, and Stoffman.
Characteristic Returns: Benchmark returns from “Characteristic-Based Benchmark Returns and Corporate events” by Bessembinder, Cooper, and Zhang.
China Factors by Stambaugh, Liu, Yuan: Financial factors of China by Stambaugh, Liu, and Yuan.
Compustat Marginal Tax Rates: Devised marginal tax rate returns by Blouin, Core, and Guay.
Deal Scan Lender Link Tables: Tables presenting links between Compustat and BankScope identifies and Link DealScan lender names by Schwert.
Factset – Stock Ownership Summary: Data on stockholder ownership by Ferreira and Matos.
GGL Measures of Common Ownership: Measures of common stock ownership by Gilje, Gormley, and Levit.
Guillen-Capron Shareholder Protections Index: Index of shareholder protections by Guillen and Capron.
MFLINKS: Linkings of mutual fund holdings from Thomson s12 and mutual fund performance from CRSP by Wermers and WRDS.
Peters and Taylor Total Q: An improvement on the measure for replacement cost of intangible assets by Tobin (Tobin’s Q) by Peters and Taylor.
Long-term Investor Value Appropriation (LIVA): Long-term value measure by Siggelkow and Wibbens.
Roberts Dealscan-Compustat Linking Database: Linkings of Compustat to Links Dealscan by Chava and Robers (maintained by Roberts and WRDS staff).
Forced CEO Turnover: Data on timing of forced CEO turnovers by Peters and Wagner.
Shale Well Data: Data on gas wells owned by Shale by Gilje.
Better Market Betas: Measures of market beta by Welch.
Common Risk Factors in International Stock Markets: Measures of common risk factors within the international stock market by Schmidt, von Arx, Schrimpf, Wagner, and Ziegler.
CRSP: Stock and mutual fund prices and returns.
DMEF Academic Data: Four data sets containing the buying history of customers of nationally known catalog and non-profit database marketing businesses.
Efficient Frontier by WRDS: Tool for calculating the efficient frontier of various portfolio compositions and optimizing for the optimal risk portfolio and optimal complete portfolio.
Environmental Suite by WRDS: Includes data from EPAs ECHO ptrogram for air and water for public firms. Data is avaialble organized at the facilty level or across the Census Block.
Event Study by WRDS: Perform daily and long run event studies by uploading your own events.
Fama - French Portfolios and Factors: ME, BE/ME factors of F-F, as well as the Pastor-Stambaugh Liquidity series and the Sadka Liquidity measure. FF measures available on daily and monthly basis (also available on Ken French's webpage).
Federal Judicial Center: Data on various court cases (bankruptcy, civil, federal, appellate, criminal, etc.).
Federal Reserve Bank: Data on foreign exchange rates and interest rates from H.10 and H.15 release from the Federal Reserve Board.
Financial Ratios Suite by WRDS: Data on financial ratios (profitability, valuation, liquidity, etc.) for U.S. companies.
Historical SPDJI: Dow Jones Daily & Dow Jones Monthly indices
Data Axle (formerly Infogroup): Data on geographical and residential information, made public and business-related (credit card billing, yellow pages, etc.).
Intraday Indicators by WRDS: Data on NYSE and NASDAQ stock market daily indicators.
IRI: The IRI Marketing Fact Book contains data on grocery store purchases from a representative sample of static qualifying U.S. panelist households to help make intelligent inferences for strategic planning and decision making. These purchases are continuously tracked across all UPC-coded brand-items in all categories.
ISSM: Tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992.
Linking Queries by WRDS: Tables presenting links between most-used WRDS databases.
LSEG: Data on hedge fund, mutual fund, common stockholders, insider activity, and global syndicated bank loans. Also includes tools to composite Thomson Reuters S34 data.
LSEG IBES: Summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations.
LSEG Mergent: FISD contains issue details on over 140,000 corporate, corporate MTN (medium term note), supranational, U.S. Agency, and U.S. Treasury debt securities and includes more than 550 data items. FISD provides details on debt issues and the issuers, as well as transactions by insurance companies.
Macro Finance Society: Data from four papers on macroeconomics concentrated in finance.
MSRB: MSRB collects and makes publicly available data on the municipal security market through its Electronic Municipal Market Access (EMMA). The trades represent transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities, including states, counties, cities and special tax districts.
Option Metrics: Includes historical price, implied volatility, and sensitivity information for US equity and index options, covering all US listed index and equity options beginning in 1996.
Option Suite by WRDS: Data derived from option pricing data on indicators of options and equity.
OTC Markets: End-of-Day pricing on 10,000+ securities that trade on the OTCQX, OTCQB, and OTC Pink Marketplaces
Pastor-Stambaugh and Other Liquidity Factors: Liquidity Factors: China, Pastor-Stambaugh, and Sadka Factors
Peters and Taylor Total Q: Dataset constructed to extract firms' "Total q" ratio (includes intangible capital in denominator) and the replacement cost of firms' intangible capital for COMPUTSTAT firms from 1950-2015.
PHLX: Information regarding the Philadelphia Stock Exchange and the stocks, equity options, sector index options and currency pairs traded therein.
RavenPack: Analyze text from thousands of publications for companies or events. Includes measures of sentiment. Edge transcript data also available.
RepRisk: Provides ESG Data for both private and public global companies.
Research Quotient: Database made available to subsribers of COMPUSTAT that helps analyze and measure the effectiveness of the firm's R&D. Research Quotient measures the output elasticity of R&D (i.e. % increase in revenue from 1% increase in R&D).
SEC Order Execution: Data for 2000-2005 on quality of executions at various exchanges on a stock-by-stock basis, including how market orders of various sizes are executed relative to the public quotes and information about effective spreads.
TAQ: Contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues. DATA IS NON-CURRENT AND LIMITED TO SEVERAL YEARS.
TRACE: Trade Reporting and Compliance Engine is a source of over-the-counter (OTC) corporate bond market prices.
WDRS Analytics and "by WRDS": In addition to the databases, WRDS offers an extensive suite of analytical tools for US Patents, private placements, corporate subsidiaries, Institutional ownership and much more.
WRDS MFLINKS: Tables presenting links between mutual fund performance data from CRSP Mutual Fund data and equity holdings data from Thomson Reuters Mutual Fund Ownership data.
WRDS Public Data: Variety of data from public sources (e.g., Bureau of Economic Analysis, Bureau of Labor Statistics, Healthcare data, NYC Taxi service information), that WRDS aggregates, updates, and makes available in consistent format.
Other
Mergent Municipal Bond Database: Details for more than two million municipal bond issues.
Hedge Fund Databases:
Kaiko: Historical cryptocurrency trade data, order books, and aggregated prices.
Pitchbook: Private capital data both at the fund and deal levels for real estate, private equity, venture capital, debt, and real asset funds.
FactSet Supply Chain Relationships: Extensive data on the network of company relationships. Relationships categories include customer, supplier, partner and competitor.
FactSet Geographic Revenue Exposure: Provides a company's revenue exposure to country-level geopolitical, macroeconomic, and market risk.
TAQ: Daily trade and quote data for all issues traded on the NYSE, Nasdaq, and regional stock exchanges.
Activist Short Seller Data from Activist Insights: Data on short selling campaigns launched by activists.
MSCI: Provides ESG data for companies in the MSCI World Index.
Institute for Real Estate Studies
Black Knight McDash: Database with mortgage data from over 160 million first mortgage loans and over 20 million home equity loans.
CompStak: Gathers and validates lease and sales comps from commercial real estate properties in the U.S. since 2000
Corelogic: Provides real estate data including property details, comparable sales, and transaction history reports
CRSP/Ziman REIT: Prices returns on other data for REITs and REIT indices.
New Century: Subprime mortgages (origination and performance) originated and/or serviced by bankrupt New Century.
Financial Data on REITs
S&P CIQ Pro: Contains financial data on U.S. equity and mortgage REITs as well as information on the properties (financial assets) held by those firms.
Trepp: Provides data on commercial mortgage-backed securities and performance on commercial real estate loans.
YardiMatrix: Extensive data on multifamily, student housing, office, industrial and self storage properties across the United States.
RCA – MSCI: Granular data for commercial property transactions.