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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.
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Getting started guide for students - 2014 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, CBPP, CBPP) 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.
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Eurex Repo Data: GC Pooling Baskets
GC Pooling offers different pre-defined baskets for trading.
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 from public and supranational issuers and covers around 2,600 eligible securities. It enables the re-use within the GC Pooling...
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Eurex Repo original source
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.
Go to source
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.
Go to source (Goethe IP required)
Nexis Uni Overview
Quandl
Quandl is a Data Platform that hosts data from hundreds of publishers on a single easy-to-use website.
Go to source
Refinitiv : Eikon
Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets.
It covers all the major financial markets – equity, fixed income, commodities, foreign exchange – and provides effective compliance and risk management, investment management and wealth management solutions.
The content and analytics package includes pricing data, financial research, global financial news and commentary, financial estimates, fundamentals analysis, and visual analysis through charting.
It comprises all the Thomson 1 legacy products as well as IBES, Datastream, Worldscope.
Go to source (Eikon credentials required)
Eikon Starter's Guide Training videos (Refinitiv) Eikon Data API documentation Datastream for Office (DFO - 2.1) Fetching data using Python
Refinitiv : Transcripts and Briefs
It offers the largest available archive of global transcripts, briefs, events and calendar information for the retail and institutional markets.
Briefs and Transcripts cover more than 5.500 companies; they are delivered to your server 2-4 minutes after they are published. Preliminary and final transcripts are delivered to your server in a standard XML file format with the body of the transcript in the file.
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StreetEvents Data Feed User Guide
SNL Financial
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 SNL web portal access and 'Market Intelligence' add-in for MS Excel.
Go to source (SNL credentials required)
SNL Starter's Guide MI Office Reference Guide
WRDS : Bank Regulatory
The Bank Regulatory Database contains five databases for regulated depository financial institutions. These databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. The source of the data comes from the required regulatory forms filed for supervising purposes.
Go to source (WRDS credentials required)
Bank Regulatory Starter's Guide
WRDS : Blockholders
Blockholders contains standardized data for blockholders of 1,913 companies.
The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data. Blockholders' data is reported by firm for the period 1996-2001.
The data cleaning procedure is explained in detail by Jennifer Dlugosz, Rudiger Fahlenbrach, Paul A. Gompers, and Andrew Metrick in their study 'Large Blocks of Stocks: Prevalance, Size, and Measurement'.
Go to source (WRDS credentials required)
WRDS : BoardEX
BoardEx is the most comprehensive, highly accurate, continuously growing business leadership database.
Covering more than 1.8 million public, private, and non-profit global organizations and the 1.2+M individuals that lead them.
In-depth profiles allow our clients to enhance business development efforts and improve executive talent identification.
Go to source (WRDS credentials required)
WRDS : Bureau van Dijk : Amadeus
AMADEUS contains comprehensive information on around 21 million companies across Europe.
Goethe University has full version license which covers about 24 millions firms.
You can use it to research individual companies, search for companies with specific profiles and for analysis. It contains:
  • Company information for both Western and Eastern Europe, with a focus on private company information
  • Company financials in a standard format so you can compare companies across borders
  • Financial strength indicators
  • Directors
  • Images of report and accounts for listed companies
  • Stock prices for listed companies
  • Detailed corporate structures
  • Market research
  • Business and company-related news
  • M&A deals and rumors
  • Maps
Go to source (WRDS credentials required)
Amadeus Starter's Guide
WRDS : Bureau Van Dijk : BankFocus
BankFocus contains information on public and private banks throughout the world.
It includes detailed information on 43,000 banks worldwide (28,000 US and 15,000 Non-US). The backfile is often less than 10 years.
Go to source (WRDS credentials required)
WRDS : Capital IQ
Capital IQ  (from Standard & Poor's) provides data on public and private companies, investment firms, capital transactions, and people.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
CRSP Starter's Guide
WRDS : CRSP Treasuries
US Treasury database is a complete historical descriptive information and market data including prices, returns, accrued interest, yields and durations for US Treasury bills, notes and bonds.
The monthly product contains data for approximately 5,000 bonds, notes, and bills since 1925.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
WRDS : Dow Jones Averages & Total Return Indexes
The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite (DJA), as well as The Dow Jones Industrial (DJI), The Dow Jones Transportation (DJT), The Dow Jones Utility (DJU), The Dow 10, and The Dow 5. The Dow Jones Industrial Average, the best known U.S. stock index, and the Dow Jones Transportation Average, the oldest U.S. stock index were created by Charles Henry Dow, co-founder of Dow Jones & Company, and maintained and reviewed by the editors of The Wall Street Journal. Dow Jones Indexes is the source of Dow Jones information and the provider of this data.
The Dow Jones Total Return Indexes are introduced by Dow Jones Indexes as part of the Dow Jones Total Market Index Series. The Total Return Indexes account for reinvested dividends. Data for the Total Return Indexes is available after 1987.
Go to source (WRDS credentials required)
WRDS : Execucomp
Compustat Executive Compensation Data (Execucomp) provides executive compensation data collected directly from each company’s annual proxy (DEF14A SEC form). Detailed information on salary, bonus, options and stock awards, non-equity incentive plans, pensions and other compensation items are available.
Go to source (WRDS credentials required)
WRDS : Fama French & Liquidity 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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
Banking Research Datasets (New York FRB)
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/
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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
Go to source (WRDS credentials required)
WRDS : Penn World Tables
The Penn World Tables provides national income accounts-type of variables converted to international prices.
The homogenization of national accounts to a common numeraire allows valid comparisons of income among countries.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
WRDS : Public Data: NYC Yellow Taxi Trips
This dataset includes trip records from all trips completed in NYC yellow taxis
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
WRDS : SEC-mandated Disclosure of Order Execution Statistics
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.
Go to source (WRDS credentials required)
WRDS : TRACE
TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. Bringing transparency to the corporate bond market, it helps create a level playing field for all market participants by providing comprehensive, real-time access to corporate bond price information.
Introduced in July of 2002, TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.
The TRACE Historical Time and Sales data is available through WRDS. The information collected and disseminated for all publicly traded corporate bonds by TRACE includes the time of execution, price, yield, and volume.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
WRDS- Factors
The WRDS Factors (Backtester) provides a platform for users to test the historical performance of common asset pricing signals for the U.S. equity market.
It also gives the users the flexibility of uploading their own signal values and getting the output leveraging on the back test engine.
  • Backtest Basic – contains 103 signals that were created using common databases: CRSP Stocks, Compustat and CRSP CCM product.
  • Upload Your Own Signal – users can upload a txt file that contains the time series of customized signal values and test the signal performance
Go to source (WRDS credentials required)
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.
Go to source (WRDS credentials required)
WRDS- Intraday indicators - SEC MIDAS
SEC offers Market Information Data and Analytics System (MIDAS) 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).
Go to source (WRDS credentials required)
WRDS- Linking Suite
The WRDS Linking Suite 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.
  • 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 abreviated Customer Segment (Supply Chain) Company Names to GVKEY.
Go to source (WRDS credentials required)
WRDS- Option Suite
Option and equity level indicators (e.g. Implied Volatility, Put/Call Ratio) derived from underlying option pricing data.
Go to source (WRDS credentials required)