| 00 Test Restricted to SAFE researchers Web site |
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| Alpha Vantage Alpha Vantage is an external service that provides an API to download financial and economic data. It includes security prices, macroeconomic data, news, company fundamentals etc. Users can get a free API key in order to download data. The standard API usage limit is 5 API requests per minute and 500 API requests per day. A single API request can provide a full time series for a single company. A Premium Membership allows a user to download more data. Web site |
Alpha Vantage sample code |
| Bloomberg terminal Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; exchange rates; fully adjusted pricing and dividends information, including high, low, close, price/earnings ratio, yield, earnings per share, market value, volume traded & shares outstanding. Products certification (for free) are available typing "BCER" command in terminal Web site |
Bloomberg: Getting started guide for students - 2014 Getting Started on the Terminal (video) Register at 'Bbg for education' with your *.uni-frankfurt address Bloomberg: Cheat sheet |
| Central Banks Data: Securities Lending The securities purchased by the ECB and Eurosystem central banks under the various large scale asset purchase programmes (PSPP, CSPP) are made available for securities lending since mid-2015. The aim of the securities lending framework is to support bond and repo market liquidity through various lending arrangements ranging from bilateral lending to lending relying on specialized securities lending agents or on the lending infrastructure of international central securities depositories. The terms of the lending contracts, i.e. collateral eligibility, pricing, haircut, term and counterparty eligibility; are determined at the individual central bank level to accommodate domestic infrastructures and market practices. Web site |
Documentation of Securities Lending Data National EU Banks PSPP National EU Banks CSPP |
| ESG + Datastream + Worldscope pre-downloaded data SAFE Research Data Center makes available pre-downloaded data for the period 2002-2022 including more than 10.000 companies and 500 datatypes: see links "*: content guide" in section 'Documentation'. Data are stored in shared folder accessible from each workstation. Web site |
ESG: content guide (Refinitiv) Datastream daily data: content guide Worldscope yearly data: content guide |
| Eurex Repo Data: GC Pooling Baskets GC Pooling offers different pre-defined baskets for trading: • GC Pooling® ECB Basket • GC Pooling® ECB EXTended Basket • GC Pooling® INT MXQ Basket • GC Pooling® Equity Basket The respective components and haircuts are listed in the files below. • GC Pooling® ECB Basket Based on the Eligible Assets Database (EAD) the GC Pooling® ECB Basket covers approximately 3,000 ECB eligible securities. The basket composition is adapted to LCR Level 1 criteria. This basket enables the re-use of received collateral for refinancing within the framework of ECB/Bundesbank open market operations, the GC Pooling® market and Eurex Clearing Margining (possible for customers with Xemac access). • GC Pooling® ECB EXTended Basket Based on the Eligible Assets Database (EAD) the GC Pooling® ECB EXTended Basket covers around 14,000 ECB eligible securities. This basket enables the re-use within the GC Pooling Market and the Eurex Clearing Margining process. • GC Pooling® INT MXQ Basket Based on the Admissible Securities list of Eurex Clearing AG. This basket contains securities... Web site |
Eurex Repo original source |
| FactSet FactSet offers comprehensive data and analytics on global financial and economic markets and companies. Data coverage includes: • Financial data on 70,000+ public and private companies worldwide; • Up to 2.000 historical financial metrics data items for close to 100 countries; • Historical financial data on 5.000 global indices, as well as fixed income, commodities, alternative investments markets, and more. Platform used to analyze financial data from global equity and fixed income markets. Coverage includes data and information on ownership and private equity and venture capital investments. It also includes SharkWatch (formerly SharkRepellent) and Mergerstat data. FactSet features comprehensive data and analytics on global financial and economic markets and companies, in a flexible, easy-to-use, environment. Web site |
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| German historical financial data Freely data available for Germany for the period 1871-1914. In addition, 8 other data sets have been collected from previous work at the Center for Financial Studies. Web site |
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| histat - Historical Time Series Histat was developed in GESIS by Jürgen Sensch, Rainer Metz, and Gabriele Franzmann and released in 2004. The online platform has the function of making time series from historical, economic and social science research accessible. On October 15, 2021, histat moved to SAFE. New studies are frequently imported into histat. The registration, the use of histat as well as the download of data from histat are free of charge. Web site |
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| LSEG Workspace LSEG Workspace (formerly Refinitiv Workspace for Students) is a library database that provides financial news, financials, global pricing data and analytics, analyst research reports, and more. LSEG Workspace is the next generation of Eikon Desktop; it incorporates Datastream, Worldscope datatypes and ThomsonONE.com which used to be on separate platforms. Refinitiv Workspace for Microsoft Office is an add-in available in MS Excel. N.B. data download through Excel has a limit of 10m data points per month. In order to download data is strongly suggested to use APIs: CodeBook (app that provides a ready to use environment hosted in the cloud preloaded with popular APIs and software libraries) or Python IDE (Jupyter Notebook and PyCharm are installed in each workstation). Refinitiv offers product certification (for free) at https://training.refinitiv.com/cert/ Web site |
Quick Start Guide Refinitiv Learning Centre Eikon Data API documentation Fetching data using Python Technical contents from Developer Community (free registration) Refinitiv Q&A forum |
| Nexis Uni Nexis Uni delivers unmatched depth and quality when it comes to content. With more than 15,000 news, legal and business sources, Nexis Uni helps students find credible sources including: • Print and online journals, television and radio broadcasts, newswires and blogs; • Local, regional, national and international newspapers with deep archives; • Extensive legal sources for federal and state cases and statutes, including U.S. Supreme Court decisions since 1790; • Unparalleled business information on more than 80 million U.S. and international companies and more than 75 million executives. Web site |
Nexis Uni Overview Nexis Uni Help Nexis Uni for Students-Start course |
| Preliminary version of the dataset historical company data 1920 - 1940 This preliminary dataset is generated from the historical source "Handbuch der Deutschen Aktiengesellschaften" and is at an early stage. We provide access to researchers from the field of economic history that are providing support in finalizing the dataset. Once completed, the dataset will be made publicly available. Web site |
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| S&P Capital IQ Pro (SNL Financial) S&P Capital IQ Pro (former SNL Financial) is the premier provider of breaking news, financial data and expert analysis on business sectors critical to the global economy: Banking, Insurance, Financial Services, Real Estate, Energy, Media & Communications and Metals & Mining. Data Rooms provide 'S&P Capital IQ pro' web portal access and Microsoft Office add-in for Excel. Web site |
S&P Capital IQ pro Starter's Guide S&P Global: MI Office Reference Guide |
| WRDS : Bank Regulatory The Bank Regulatory Database provides accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions Web site |
Bank Regulatory Starter's Guide |
| WRDS : Blockholders Blockholders is a free database of large-block shareholders created by researchers in 2004. The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data. Web site |
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| WRDS : Bureau Van Dijk : ORBIS Orbis contains information on medium, large and very large companies across the world and focuses on private company information. Coverge includes: • Financials for Industrial Companies • Financials for Banks • Financials for Insurance Companies • Interim Financials for Industrial Companies • Interim Financials for Banks • All Current Shareholders First Level • All Subsidiaries First Level Web site |
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| WRDS : Capital IQ Capital IQ (from Standard & Poor's) provides data on public and private companies, investment firms, capital transactions, and people. Web site |
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| WRDS : CBOE Indexes The CBOE (Chicago Board Options Exchange) Volatility Index (VIX) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The Vix Index was introduced in 1993 by Professor Robert E. Whaley of Duke University in his paper 'Derivatives on Market Volatility: Hedging Tools Long Overdue,' Journal of Derivatives 1 (Fall 1993), pp. 71-84. Since then, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility. The New VIX still measures the market's expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility 'skew' by using a wider range of strike prices rather than just at-the-money series. Web site |
Introduction to VIX Options and Futures (CBOE) |
| WRDS : Compustat Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies. Web site |
Compustat Starter's Guide |
| WRDS : CRSP The CRSP US Stock Database provides a unique research source characterized by its unmatched breadth, depth, and completeness. It includes CRSP's unique permanent identifiers allowing for clean and accurate backtesting, time-series and event studies, measurement of performance, accurate benchmarking, and securities analysis. Annual Update: once each year, in early February. It includes CRSP/Compustat Merged database (CCM), a convenient way to link CRSP market and corporate action data with Compustat fundamental data. Quarterly Update: in February, May, August, and November. It includes Mutual Funds Web site |
CRSP Starter's Guide |
| WRDS : Direct Marketing Educational Foundation (DMEF) Direct Marketing Educational Foundation (DMEF) Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses are available through DMEF to approved academic researchers for use within academic situations. Corporate names are anonymous and customer names and addresses have been removed, but the business type is indicated. ZIP codes have been retained (if possible) to provide a potential link to Census ZIP level demographics. Web site |
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| WRDS : Fama French Portfolios and Factors The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see 'Common Risk Factors in the Returns on Stocks and Bonds', Journal of Financial Economics 33, 1993). The Fama-French data source is Kenneth French's web site at Dartmouth. Web site |
Kenneth French Data Library |
| WRDS : Federal Judicial Center The Federal Judicial Center's (FJC) Integrated Database (IDB) contains data on all federal civil, criminal, bankruptcy, and appellate court case information reported by the courts to the Administrative Office of the U.S. Courts (AOUSC), beginning in 1970. Web site |
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| WRDS : Federal Reserve Bank Reports The Federal Reserve Bank Reports in WRDS contain two databases collected from Federal Reserve Banks. Foreign Exchange Rates (Federal Reserve Board's H.10 Report). The WRDS FX database is based upon the Federal Reserve Board's H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices. WRDS carries all of these FX rates in currency units per U.S. dollar (e.g. yen/$ and a few are also available in 'inverted form' (e.g. $/pound). Interest Rates (Federal Reserve Board's H.15 Report). The WRDS RATES database is based upon the Federal Reserve Board's H.15 release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments. All rates are reported in annual terms. Daily figures are for Business days and Monthly figures are averages of Business days unless otherwise noted. Web site |
Banking Research Datasets (New York FRB) |
| WRDS : Historical SPDJI Access the largest global resource for essential index-based concepts, data and research. Web site |
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| WRDS : IBES Academic I/B/E/S, the Institutional Brokers' Estimate System, is a database from Refinitiv. It is an historical earnings estimate database containing analyst estimates for more than 20 forecast measures - including EPS (earnings per share), revenue, price targets, EBITDA and pre-tax profits - available on both consensus and detailed levels, covering both U.S. and international companies. The database also includes buy-hold-sell recommendation. While many brokers allow all I/B/E/S clients to access their estimates, certain brokers require licenses directly with each client to use their estimates. The detailed estimates for these brokers do not appear in the academic version, but are still included in the calculation of the consensus figures. The consensus estimates are the same for both Academic and Institutional versions. Web site |
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| WRDS : IRI Access point-of-sale information for more than 11,000 grocery stores and 7,500 drug stores. Information Resources, Inc. (IRI) uses industry-leading research and analytic techniques to provide data across 20 countries. Web site |
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| WRDS : Macro Finance Society The Macro Finance Society curates a list of datasets from several influential papers broadly in the area of macro finance. The mission of the Macro Finance Society is to advance and disseminate high-quality research in Macro Finance, which is a broad area at the intersection of financial economics and macroeconomics. The research conducted at The Society emphasizes microeconomic foundations via (dynamic) structural modeling, while being grounded in the data. Members of The Society consist of both financial economists and macroeconomists, who share the common goal of advancing and disseminating high-quality research in Macro Finance. For more information, please see https://macrofinancesociety.org/ Web site |
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| WRDS : Markit Securities Finance Institutional License expiring on March 2024 IHS Markit is a leading, global financial information services company providing daily updated data. Markit Securities Finance Institutional includes Bonds and Equity (America, Asia, Europa, Other). Gain insight into the market of security lending — valuable tool for understanding market efficiency and limits to arbitrage. Web site |
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| WRDS : MFLinks The MFLINKS tables provide a reliable means to link CRSP Mutual Fund (MFDB) data that covers mutual fund performance, expenses, and related information to equity holdings data in the Thomson Reuters Mutual Fund Ownership data (formerly known as the CDA S12 data). Web site |
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| WRDS : Municipal Securities Rulemaking Board (MSRB) As the primary regulator of the $3.7 trillion municipal security market, the MSRB collects and makes publicly available 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. Web site |
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| WRDS : Option Metrics OptionMetrics' Ivy DB is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. Ivy DB OptionMetrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. With Ivy DB OptionMetrics, you'll be able to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment. Web site |
Option Metrics Starter's Guide |
| WRDS : OTC Markets Access the most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces Web site |
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| WRDS : Pastor-Stambaugh and Other Liquidity Factors Featuring Pastor-Stambaugh, China, and Sadka Factors Web site |
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| WRDS : Peters and Taylor Total Q Data on firms Total q ratio (an improved Tobins q proxy) and the replacement cost of firms intangible capital. Web site |
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| WRDS : Philadelphia Stock Exchange (PHLX) The Philadelphia Stock Exchange founded in 1790 is the oldest organized stock exchange in the nation. As one of North America?s primary marketplaces for the trading of stocks, equity options, index options and currency options, the PHLX continues to be a market leader in the development and introduction of innovative new products and services. The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options and 100 currency pairs. On the equity floor, PHLX?s PACE (Philadelphia Automated Communication and Execution) system was one of the first automated equity trading systems on any exchange. Web site |
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| WRDS : Public Data: Bureau of Economic Analysis Macro Economics data. Bureau of Economic Analysis (BEA publishes the top series on GDP, Consumer Spending, and other national accounts. Web site |
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| WRDS : Public Data: Bureau of Labor Statistics Macro Economics data. Bureau of Labor Statistics (BLS publishes the top series from each of the main surveys, including the CPI, PPI, CES, and others. Web site |
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| WRDS : Public Data: Healthcare HCUP (Healthcare Cost and Utilization Project) examines individuals as patients, covering procedures and diagnoses during hospital inpatient stays and emergency department visits. MEPS (Medical Expenditure Panel Survey) tables examine individuals as consumers, covering insurance coverage, and the use and cost of health services -- access insurance tables, covering employers in the private sector and state and local governments on the health insurance coverage offered to their employees. Web site |
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| WRDS : RavenPack RavenPack analyzes unstructured content from thousands of publications to extract information on named entities with sentiment, and financially-relevant events. Web site |
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| WRDS : Refinitiv Mutual Fund Holdings (S12) The S12 mutual fund holdings database covers almost all historical US mutual funds, with the addition of a large collection of international funds from 2017Q4. Web site |
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| WRDS : Research Quotient Analyze and measure the effectiveness of a firm's R&D. Research Quotient (RQ) is the percentage increase in revenue from a 1% increase in R&D. RQ is the output elasticity of R&D. RQ offers a universal, uniform, and reliable measure of a firm's R&D productivity. Web site |
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| WRDS : SEC Analytics Suite SEC Analytics Suite is positioned for broad business usage – from due diligence and forensic accounting to disclosure research and investment management. Simplify research and easily develop tailored datasets from all SEC filings, parsing millions of regulatory reports based on custom criteria. Effectively retrieve widely-used information including; the full list of exhibits, filing size, SEC acceptance date and time, conformed period of the report, historical information on the state of incorporation and headquarters, and SIC code. The WRDS SEC Readability and Sentiment database extends the SEC Analytics Suite by providing, for the first time to academic researchers, a clean set of readability and sentiment measures for every filing since 1994. Web site |
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| WRDS : SEC Order Execution License expired on December 2022 SEC-mandated Disclosure of Order Execution Statistics Electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis. On November 15, 2000, the SEC adopted new rules aimed at improving public disclosure of order execution and routing practices. As a result of Rule 11Ac1-5, market centers that trade national market system securities must make monthly, electronic disclosures of basic information. Data is available on WRDS through 2005, and is no longer updated. Web site |
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| WRDS : TRACE TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. All broker-dealers who are FINRA member firms have an obligation to report transactions in TRACE-eligible securities FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It was formed in the summer of 2007 from the NYSE and the NASD. There are several categories of securities in TRACE: - BTDS: corporate bonds (U.S. dollar-denominated, investment grade and high yield). - ATDS: US government agency bonds. - SPDS: securitized products including asset-backed securities and mortgage-backed securities. WRDS separates SPDS by - Sub-Product Type into SPDS-ABS, SPDS-CMO, SPDS-MBS, SPDS-TBA. - BTDS144A: corporate bonds falling under Rule 144a of the Securities Act of 1933. - SPDS144A: securitized products falling under Rule 144a of the Securities Act of 1933. Web site |
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| WRDS : Venture Capital Venture Capital access a collection of 6 different datasets from 5 different SEC filings. Examine topics including venture capital, private equity, or analyze the financials of some private companies. Web site |
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| WRDS- Beta Suite Beta Suite is a powerful web based tool allowing researchers to calculate stocks’ loading on various risk factors in a timely way. The tool is designed with flexibly in mind, capable of handling monthly, weekly and daily rolling regression on common set of market risk factors. Web site |
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| WRDS- Efficient Frontier by entering a list of security identifiers (Ticker or PERMNO) and pre-set parameters (such as Risk-Free Rate and Degree of Risk Aversion) the tool calculates the corresponding Efficient Frontier, Optimal Complete Portfolio, Optimal Risky Portfolio as well as Minimum Variance Portfolio Web site |
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| WRDS- European Short Data Implemented after the previous global financial crisis to increase market transparency, this data encompasses all significant short positions reported by institutional investors under the EU236 Rule. Web site |
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| WRDS- Event Study the Event studies are widely used by empirical researchers in finance, economics, accounting, law, and other business disciplines to analyze the market reaction to firm specific and market-wide events using either returns or volume around the time when event occurred. Some examples include: earnings announcements, M&As, new capital issues, and announcements of macroeconomic variables (unemployment or trade deficit), measure impact on the value of a firm resulting from a change in the regulatory environment, or to assess the damages. Web site |
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| WRDS- Financial Ratios Suite WRDS Financial Ratio is a web based engine that delivers over 70 pre-calculated financial ratios for all U.S. companies across eight different categories (Valuation, Liquidity, Profitability, and etc). Researchers can easily obtain both firm-level and industry-level ratios through point-and-click on the web query. This product can be used by researchers as a convenient tool to obtain firm-level and/or industry-level ratios as characteristics for controls in empirical research. Web site |
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| WRDS- Intraday indicators - SEC MIDAS The WRDS Intraday Indicator Database (IID) contains daily stock market indicators obtained from NYSE TAQ data. At daily frequency, it provides, per stock variables such as Volume, Returns, and a variety of others. SEC offers MIDAS (Market Information Data and Analytics System) to promote better understanding of the U.S. equity markets and market structure. WRDS SEC MIDAS contains the Individual Security Metrics published by SEC MIDAS. The Individual Security Metrics provides market trading metrics for over 8,300 securities (stocks and exchange-traded portfolios). Web site |
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| WRDS- Linking Queries The WRDS Linking Queries allows to easily download link table between various heavily used databases on WRDS platform: • Bond CRSP Link allows users to directly link fixed income data at the individual bond level to the equity data from the CRSP database. • FactSet CRSP Link links Factset’s security id as well as entity id with CRSP identifiers • IBES CRSP Link provides the historical matching of IBES TICKER with CRSP PERMNO. • Option Metrics CRSP Link provides the link between OptionMetrics SECID and CRSP PERMNO • Compustat Customer Segment Company Names - GVKEY Link provides the missing link between abbreviated Customer Segment (Supply Chain) Company Names to GVKEY. Web site |
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| WRDS- Option Suite Option and equity level indicators (e.g. Implied Volatility, Put/Call Ratio) derived from underlying option pricing data. Web site |
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| WRDS- Subsidiary Data Subsidiary Data by WRDS contains parent company and subsidiary relationships for companies filing with the SEC between 1995 and 2019. Web site |
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| WRDS- US Patents US Patents by WRDS provides easier access to patent data. Patent-level data is directly parsed from USPTO's XML files. The current version covers the years from 2011 to 2019. When US Patents by WRDS is officially released, the data will be updated to cover a longer period of time and will continue to be automatically updated. Web site |