Introduction to WRDS data platform Savvas Papadopoulos PhD in Financial Accounting ©2016

Find WRDS in library’s web page Go to the library’s web page and search for WRDS in databases

Find WRDS in library’s web page Then click on “WRDS”

Register to WRDS Go to “Login” to create a new account

Register to WRDS Fill out the information. Some time after registration you will receive an e-mail with your user name and password. Don’t forget to write your student e-mail!

Extract data from WRDS After you login you can see which data bases we are subscribed for

Extract data from WRDS You can find accounting data in the “Compustat – Capital IQ” database

Extract data from WRDS Within “Compustat – Capital IQ” you can get data for the USA and Canada (i.e. “North America” tab) and the rest of the world (i.e. “Global” tab)

Extract data from WRDS As an illustration I will use Compustat Global. Exactly the same applies to Compustat North America. The only difference is that in Compustat North America you have access to some additional data.

Extract data from WRDS You can have, e.g., annual (i.e. “Fundamentals Annual) and quarterly (i.e. “Fundamentals Quarterly”) accounting data, and stock data (i.e. “Security Daily”)

Extract data from WRDS In each data set (e.g. Fundamentals Annual) the process of extracting data consist of 4 steps (see following slides).

Extract data from WRDS Step 1: here you choose the time period for which you want data. In the “Data Variable” I suggest you to choose “Data Date”!

Extract data from WRDS Step 2: here you specify the firms for which you want data. Important! the first time you submit a query you must choose “Search the entire database” (i.e. the 4th option). This will return all firms in the database. Subsequently, you “clean up” the sample (e.g. remove firms with missing data). After that you can create a list with the codes of those firms left after “cleaning” the initial sample and for every time you want to run a new query you just upload this list in the “Browse” field (I will give more details about this process in subsequent slides). In the “Screening Variables” you can choose country/ies for which you want data. My suggestion is not to change anything of the default selected options for Consolidation level, Industry Format etc. Skip also “Conditional Statements” since it might complicate things more. Of course you can use this option if you want. You can find information about how the conditional statements work in the “Support” tab from the main menu on the top of the page. (See next slide)

Extract data from WRDS Step 2 screenshot.

Extract data from WRDS Step 3: here you choose the variables you want to extract To the right side of each variable there is a question mark. By clicking on it you get detailed information about the corresponding variable. You choose the variables you want by just clicking on them. (See next slide)

Extract data from WRDS Step 3 screenshot

Extract data from WRDS Step 4: here you can choose the output format of your query. I personally prefer to extract the data in Excel because for me it is easier to work with data in Excel before I import it in STATA. Others prefer to have the data directly in a STATA format. After all it is a matter of taste which output format to choose! After choosing the output format you submit your query. (See next slide)

Extract data from WRDS Step 4 screenshot

Extract data from WRDS The submitted query opens in a new tab in your browser. Based on the number of firms and the length of the time period the query might take some time to be completed. When the query is ready you see it on your screen. By clicking on it you download it in your computer.

How to create a list of company codes As I mention before, it is very efficient to create a list of company codes for your final sample so every time you want to run a new query you can simply use this code list. The process is as follows:

How to create a list of company codes If you choose to export the data in Excel format what you get is the following:

How to create a list of company codes You create the company code list you use the “Global Company Key” variable (i.e. column A in the Excel spreadsheet). You select all cells with numerical values from this column and save them in a plain text format (.tex). I personally do this by first pasting the codes in a Word document and subsequently I save it as a “Plain Text”.

How to upload a company code list in WRDS To upload the list you created, you just choose the “Browse” option in the “Step 2: Apply your company codes” and upload your list (see slide 13). You can now ask for new variables. You can also ask data for a longer/sorter period of time than that in your first query or choose another output format. Practically you can do what ever changes you want, but keep in mind that these changes apply only to the firms included in the code list you use!

Some general comments You can find bank data for US banks in the “Bank Regulatory” database. “Compustat North America” has data for all US and Canada industries except banks. “Compustat Global” has data for all industries including banks. If you are interested in US stock data go to “CRSP” database. For US bond data search in “TRACE” database. Stock data for non-US firms in “Compustat Global”. The process I describe here applies to all databases in the WRDS platform. For any question/help you can always go to the “Support” tab in the main menu.