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University of Arizona Department of Finance. Research Databases . By: Andrew Zhang. What is Covered?. Database Introduction What is it? Where is it? How to access it? Where to get data documentation? Where to get help? Online help and support files How to get sample codes?

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slide1

University of Arizona Department of Finance

Research Databases

By: Andrew Zhang

what is covered
What is Covered?
  • Database Introduction
    • What is it?
    • Where is it?
    • How to access it?
    • Where to get data documentation?
  • Where to get help?
    • Online help and support files
    • How to get sample codes?
      • SAS, Fortran, and C++?
  • Unix Introduction
  • WRDS Data Retrieving Techniques
what is not covered
What is NOT covered
    • How to pull data?
    • How to program SAS or Fortran 77 or 95?
    • How to compile program in Unix?
  • It is time for you to decide whether you need continue to stay here or NOT
    • ??? Or !!!
  • finance.eller.arizona.edu/research/dataresources.aspx
database resources
Database Resources
  • Compustat
  • CRSP Stocks
  • Others
    • TAQ
    • CRSP Mutual Fund
    • ExecuComp
    • IBES
    • Berkeley Options
    • SDC M&A data
    • FISD fixed income database
    • Thompson Mutual Fund data
    • Global Insight
compustat
Compustat
  • Annual, Quarterly, and Segment Financial Statement Data:
    • Active and Inactive Files
    • North American Public Firms
  • Updated annually
    • moving window of 20 years
    • 40 years data on WRDS
how to access compustat
How to Access Compustat
  • Z drive:
    • 2000-2004
  • Unix of UA: Fortran or SAS
    • No update available any longer
  • WRDS: web querying
  • Unix of WRDS: Fortran or SAS
crsp stock
CRSP Stock
  • Provides stock market data for NYSE, AMEX, and Nasdaq firms
    • Prices, Return, etc.
    • Monthly and Daily
  • How to Access
    • ts-print
    • Unix of UA: Fortran or SAS
      • No updating available any longer
    • WRDS: web querying
    • Unix of WRDS: Fortran or SAS
nyse trade and quoting taq data
NYSE Trade and Quoting (TAQ) Data
  • Intraday transactions data for all securities listed on NYSE, AMEX, and Nasdaq.
  • Data available 1/93 – 1/04
  • Access through TAQ2.exe
  • No subscription in WRDS
crsp mutual fund
CRSP Mutual Fund
  • Provides open-ended mutual fund data
    • 1962 to 2005
      • Equity Funds
      • Bond and hybrid funds
      • Money market funds
      • Tax free funds
  • How to access
    • Z drive
      • SAS or Microsoft Access
standard poor s execucomp
Standard & Poor’s ExecuComp
  • Executive and Director Compensation
    • Including option and stock holding by insiders
  • Dates of coverage 1992 – 2004
  • Updated annually
  • How to Access:
    • Z drive with MSFT Access
    • WRDS
      • Web Querying
      • Unix of WRDS
institutional brokers estimates system ibes
Institutional Brokers Estimates System (IBES)
  • Monthly analyst forecast on earnings
    • 1987 to 2004
    • Maintained by Accounting dept
    • US companies and International companies
    • It is free subscription but working paper submitted to Thompson
  • Documentation
    • www.ic.arizona.edu/ic/trombley/dbdocs/ibesdocs/ibesdocs.html
    • Password needed
      • /fa/finacct/passwords.txt
how to access ibes
How to Access IBES
  • Unix of UA: Finacct user group
    • Where is data?
      • /fa/databases/ibes/2004/us/detail
      • /fa/databases/ibes/2004/us/summary
  • SAS program to access it
    • Where is sample SAS program?
      • /fa/finacct/ibes_summary_us.sas
      • /fa/finacct/ibes_detail_us.sas
      • Intl vs. us
    • Copy it to your own directory and sas it
      • cp file /fa/fa4/andrew/myfile.sas
berkeley options data
Berkeley Options Data
  • Derived from the CBOE's Market Data Retrieval tapes
  • Data begins August 1976 – 1994.
  • Historical record of trades and quotes, time-stamped to the nearest second, for standardized contracts traded on the CBOE.
  • How to Access
    • Z drive
    • Database format
sdc m a data
SDC M&A data
  • Our subscription permission
    • Merge and Acquisition Only
    • 1962-present
  • How to access
    • Install SDC setup file
    • Access online only
    • Txt and Excel format available
fisd database
FISD database
  • Fixed Income Transaction Data
    • Real bond buy and sell transaction
      • Not quote or matrix price
    • Issuer and Issue specific information
    • 1994-2004
  • How to access
    • Z drive
    • Access or SAS
thompson mutual fund data
Thompson Mutual Fund Data
  • Mutual funds holding data
    • 1992-2002
    • Annually, semi-annually, or quarterly
    • Stock holdings only
      • Quantity and amount of stocks held by mutual funds with 13f SEC filings
    • Maybe incomplete
  • How to Access
    • Z drive
      • Txt or Excel format
global insight
Global Insight
  • Macroeconomics Datasets
    • provides data on national income accounts, balance of payments, foreign debt, exchange rates, money supply and employment - among other national level categories. Also provides data on the IMF series and the OCDE series.
  • XLS format
  • Up to September 2004
getting familiar with data
Getting familiar with data
  • Go to finance database website
    • http://finance.eller.arizona.edu/research/dataresources.aspx
    • http://www.ic.arizona.edu/ic/trombley/
    • http://www.ic.arizona.edu/ic/trombley/dbdocs/ibes.html
  • Go to finance server Z drive
    • Get database manual
where to get help
Where to get help?
  • WRDS: http://wrds.wharton.upenn.edu/support/dataoverview.shtml
  • CRSP, Compustat and IBES documentation
    • UA: www.ic.arizona.edu/ic/trombley/dbdocs/docs.html
    • WRDS: wrds.wharton.upenn.edu/support/docs/manual.shtml
  • Unix Programming
    • UA: www.u.arizona.edu
    • WRDS: wrds.wharton.upenn.edu/support/index.shtml
  • SAS programming
    • support.sas.com/onlinedoc/913/docMainpage.jsp
  • Fortran 77 or 95 programming
    • http://docs.sun.com/app/docs/doc/802-2998
unix of ua and wrds
Unix of UA and WRDS
  • How to get account
    • finacct group
      • Email Mark at accounting department
      • Each account: 12 MB
    • WRDS: same username and password
      • Each account: 750 MB
  • Where to download SSH
    • http://www.u.arizona.edu/ssh/
  • Help for programming in Unix
      • http://www.u.arizona.edu
      • http://wrds.wharton.upenn.edu/support/index.shtml
slide21
WRDS
  • Request account
      • wrds.wharton.upenn.edu/wrdsauth/account_req.shtml
  • Our subscription
      • http://wrds.wharton.upenn.edu/mywrds/dslist_desc.shtml
    • CRSP
    • Compustat
    • ExeuComp
    • A lot of free data: Fama French factors, etc.
data not available through wrds
Data Not Available Through WRDS
  • Finance server Z drive
    • Trade and Quote (TAQ) Data
    • Fixed Income Securities Database (FISD)
    • Global Insight (monthly and quarterly files)
    • SDC Mergers and Acquisitions Data
  • Unix of UA
    • IBES
some common data nowhere to get
Some Common Data—Nowhere to Get
  • CRSP / Compustat Merged Database
  • Thomson Financial Institutional Ownership and Insider Trading Data
  • Compustat Bank and Utilities Data
database in wrds
Database in WRDS
  • How to access?
    • Web Querying?
      • If files are too large, you may have to split
    • Unix of WRDS
      • Where is the data in Unix of WRDS
        • /wrds/crsp/sasdata (fortran C++ etc)
  • How to access data in Unix?
    • Download directly
      • SSH file transfer
    • Program to retrieve data
      • SAS
      • Fortran and C++
database in wrds contd
Database in WRDS—Contd.
  • Where is sample program codes?
      • wrds.wharton.upenn.edu/support/dslist/dslist.shtml
      • Unix of WRDS
        • /wrds/compustat/samples
  • Free SAS viewer
    • www.sas.com
how to sas in wrds
How to SAS in WRDS?
  • Three Ways:
    • PC SAS
      • Remote Submit
      • Remote Library Services (RLS)
    • SAS in Unix of WRDS
  • Where to get help?
    • wrds.wharton.upenn.edu/support/index.shtml
pc sas remote submit
PC SAS– Remote Submit
  • Where to get help?
    • wrds.wharton.upenn.edu/support/docs/wrdsSASConnect.shtml
    • Use WRDS server to remote execute SAS
      • Good for stupid old computers
      • Easily get disconnected
      • Not always so fast
pc sas remote submit sample codes
PC SAS—Remote SubmitSample Codes
  • %let wrds=wrds.wharton.upenn.edu 4016;options comamid=TCP remote=WRDS;signon username=_prompt_;rsubmit;libname comp '/wrds/compustat/sasdata';data mydata;set comp.compann;where yeara=2002;proc print data=mydata (obs=30);run;endrsubmit;
pc sas remote library services rls
PC SAS—Remote Library Services (RLS)
  • To use local libraries and remote libraries in the same time
    • SAS dataset in WRDS server and the dataset in your own computer
  • Your computer cannot be too old
    • It is in fact using your computer CPU and memory to execute program
sample codes rls
Sample Codes—RLS
  • %let wrds = wrds.wharton.upenn.edu 4016;
  • options comamid=TCP remote=WRDS;
  • signon username=_prompt_;
  • options linesize=72 nocenter nodate;
  • libname crsplib remote '/wrds/crsp/sasdata' server=wrds;
  • libname locallib 'c:\sas';
  • data a;
  • set crsplib.msi;
  • where '01JAN2000'd <= date <= '31DEC2000'd;
  • run;
  • data b;
  • set locallib.msi_local;
  • where '01JAN2001'd <= date <= '31DEC2001'd;
  • run;
  • data c;
  • set a b;
  • run;
  • proc print data=c;
  • var date vwretd ewretd;
  • run;
  • signoff;
sas in unix of wrds
SAS in Unix of WRDS
  • Write program and compile it
  • Use WRDS server, and is faster than UA Unix
  • Personal account: 750 MB
    • Nearly unlimited temporary capacity
      • /wrds/sastemp01-09
      • Only 48 hours or even shorter
sample sas in unix of wrds
Sample SAS—in Unix of WRDS
  • cp /wrds/crsp/samples/ina.sas my_ina.sas
  • sas my_ina.sas
  • How to read the results?
    • SAS viewer
    • File transfer to download to your local PC