Software and Data Sets
Below is a list of the data sets available to College of Business Faculty:
Via Wharton Research Data Services (WRDS)
- AuditAnalytics -Access detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies. Audit Analytics provides detailed research on over 150,000 active audits and more than 10,000 accounting firms. Know who is auditing whom and how much they are paying for what services. Create reports by auditor, fees, location, industry, etc.
- Bank Regulatory - The Bank Regulatory 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 filled for supervising purposes. Access is limited to College of Business.
- Blockholders - This dataset 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".
- 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.
- COMPUSTAT - COMPUSTAT (from Standard & Poor's) provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items on more than 24,000 publicly held companies. The COMPUSTAT databases available through FSU's WRDS subscription include Full Package, Bank, BackData Segment, Back Data, Global Package; and EXECUCOMP. Access is limited to College of Business.
- CRSP - Center for Research in Security Prices maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and Nasdaq stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolio, treasury bond and risk-free rates, and mutual fund databases. 1925 to date.
- CUSIP -The CUSIP Service Bureau, which is operated by Standard & Poor's for the American Bankers Association, exists for the primary purpose of uniquely identifying issuers and issues of financial instruments within a standard framework, and disseminating this data to the financial marketplace via various media. The CUSIP Master Files provide CUSIP numbers, standardized descriptions and additional data attributes for over 5 million corporate, municipal and government securities offered in North America.
- DMEF Academic Data - 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.
- Dow Jones - 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.
- Eventus - Eventus performs event studies using data read directly from CRSP stock databases or pre-extracted from any source. The Eventus system includes utility programs to convert calendar dates to CRSP trading day numbers, convert CUSIP identifiers to CRSP permanent identification numbers, and extract event study cumulative or compounded abnormal returns for cross-sectional analysis. Eventus provides user control over estimation periods and cumulative return windows, a choice of raw, comparison period mean adjusted, market adjusted or market model abnormal returns. Simple statements allow the researcher to run a complete event study, from reading the CRSP stock database to print results, with a program as short of as four lines.
- FDIC - The Federal Deposit Insurance Corporation (FDIC) datasets contains historical financial data for all entities filing the Report of Condition and Income (Call Report) and some savings institutions filing the OTS Thrift Financial Report (TFR). These entities include commercial banks, savings banks, or savings and loans. FDIC files include details on structure and merger history, financial time series and ratios, plus complex derived integers data.
- 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. The Pastor-Stambaugh Liquidity series are described by L. Pastor and R. F. Stambaugh in “Liquidity risk and expected stock returns” (2003, Journal of Political Economy 111, 642-685). This set includes ‘non-traded’ and ‘traded’ liquidity factors, with the latter series derived from dividing common stocks (in the CRSP monthly stocks file data) into 10 groups based on each stock’s sensitivity to the ‘non-traded’ liquidity innovation factor (as described in the paper). The Sadka Liquidity measures are described in R. Sadka in “Momentum and Post-Earnings- Announcement Drift Anomailes: The Role of Liquidity Risk” (Journal of Financial Economics 80, 309-349). The measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.
- Federal Reserve Bank - Contains financial data and history of all entities filing the Report Of Condition and Income (Call Report) and some savings institutions filing the OTS Thrift Financial Report (TFR). These entities include Commercial banks, savings banks, or savings and loans. FDIC files include structure data, financial time series data, complex derived integers data, ratio data, and merger history data.
- IBES - I/B/E/S International Inc. created their Academic Research Program over 30 years ago to provide both summary and individual analyst forecasts of company earnings, cash flows, and other important financial items, as well as buy-sell-hold recommendations. In 2000, I/B/E/S was integrated with Thomson Reuters / First Call, and in 2012 First Call was discontinued.
- 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.
- 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. Data comes from Alan Heston, Robert Summers and Bettina Aten, Penn World Table Version 6.1, Center for International Comparisons at the University of Pennsylvania, October 2002 (CICUP).
- Risk Metrics - RiskMetrics (through ISS Governance Services) is a leader in corporate governance data. IRRC was initially the data provider for WRDS. IRRC, however, was acquired by ISS in 2005. This acquisition did not initially affect the data provided through WRDS, but that changed in 2007 when RiskMetrics changed the methodology to collect data to follow ISS specifications. Also, the new methodology does not collect all the variables needed to create the Governance Index (GIndex). As a consequence, beginning with data for 2007, WRDS keeps the old IRRC-methodology data (Legacy version) separated from the GCQ type of data. RiskMetrics delivers to data for the new methodology to WRDS in four datasets identified as: RiskMetrics Group Historical Governance, Historical Directors data, Voting Results data, and Shareholder Proposal data.
- SEC Order Execution - 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 concerning their quality of executions 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 - the spreads actually paid by investors whose orders are routed to a particular market center. In addition, market centers must disclose the extent to which they provide executions at prices better than the public quotes to investors using limit orders. Data is available on WRDS through 2005, and is no longer updated.
- TRACE -Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. The system captures and disseminates consolidated information on secondary market transactions in publicly traded TRACE-eligible securities (investment grade, high yield and convertible corporate debt) - representing all over-the-counter market activity in these bonds. The market aggregate statistics available on the following page provides an end-of-day recap of corporate bond market activity including the number of securities and total par amount traded as well as advances, declines, and 52-week highs and lows. In addition, the ten most active investment grade, high yield and convertible bonds for the day are listed. The data is updated by approximately 7:00 p.m. ET daily, Monday through Friday, except holidays.
- Thomson Reuters-
- 13F Institutions
Thomson-Reuters Institutional Holdings (13F) Database provides Institutional Common Stock Holdings and Transactions, as reported on Form 13F filed with the SEC. This database is formerly known as CDA/Spectrum 3 4 database, and contains ownership information by institutional managers with $100 million or more in Assets Under Management (Section 13(f) Securities).
- Insider Filings
The Insider Filing Data Feed (IFDF) is designed to capture all U.S. insider activity as reported on Forms 3, 4, 5, and 144 in line-by-line detail. In addition, a unique cleansing process is used by Thomson Reuters that adds value by making systematic interpretations on the accuracy of as-reported data and inserts "cleansed" fields for comparison. A cleanse code is also included to denote the overall level of confidence in each record. Additionally, the Insider Filing Data Feed includes performance calculations revealing which insiders' prior trades have been most predictive of subsequent stock returns.
- Tools - Stock Ownership Summary tool
- Zacks Trial - Zacks data can be used to empirically analyze analysts’ forecasts and their revisions, price targets and recommendations (e.g., construct popular measures such as consensus forecast, earnings surprises, analyst track records, etc). Zacks Investment Research, based in Chicago, Ill., has been a leading provider of research, market data, and quantitative models to institutional investment management firms in the US and Canada for over 30 years. Recognized for quality, consistency and reliability, Zacks provides institutional and individual investors with the analytical tools and financial information necessary to the success of their investment process. Founded in 1978, Zacks' early contribution to investment analysis was the discovery that earnings per share estimate revisions are the most powerful force affecting stock prices. This discovery is built into the Zacks Rank proprietary methodology for predicting stock price performance. The Zacks Rank has produced average annual returns in excess of 28% since 1988. The premier source of analysts' earnings forecasts, today Zacks produces data feeds for estimates, ratings, earnings report data, fundamental data, and institutional holdings for US and Canadian traded equities, as well as investment research reports and research software tools for investors.
Other Sources of Data
- American Hospital Directory - The American Hospital Directory provides data and statistics about more than 6,000 hospitals nationwide. AHD hospital information includes both public and private sources such as Medicare claims data, hospital cost reports, and commercial licensors. Please contact the IT Department for a username and password. The AHD website is only available from FSU's network; if you're off-campus, you'll need to establish a VPN connection in order to access it.
- Factiva - Factiva provides access to thousands of premium news and information sources, all in one place. Through its powerful search and alerting, it provides you with the exact information you need, when you need it. Factiva’s unique level of insight cuts through the noise to help you discover new, business-critical information. If you’re accessing Factiva from off of FSU’s network, you’ll be prompted to enter your FSUID and password.
- Incentive Lab via the K: Drive - Incentive Lab is rooted in academic research, enabling us to develop data solutions that meet the requirements of quality, depth and breadth of coverage to support academic research initiatives. With performance-based pay now the largest component of total CEO pay, performance compensation data provides unique insight into the strategy, expectations and motivations of companies, boards and management. Understanding and valuing incentive awards is essential to conducting quality research on executive compensation.
- SNL Financial Data - SNL Financial is the premier multisector-focused information and research firm in the financial information marketplace. SNL Financial collects, standardizes and disseminates relevant corporate, financial, market and M&A data plus news and analysis for the following industries: banking, specialized financial services, insurance, real estate, energy and media/communications.
- Bloomberg (see Finance Dept) -Bloomberg integrates information, analytics, research and pricing for several market sectors, while providing business news and articles. Access is limited to Department of Finance students.
- From the FSU Libraries, see their website.
Software Available Upon Request
- SDC Platinum
- SPSS Modeler