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intro_to_wrds.html
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<body>
<div id="content">
<h1 class="title">Introduction to WRDS</h1>
<div id="table-of-contents">
<h2>Table of Contents</h2>
<div id="text-table-of-contents">
<ul>
<li><a href="#orgc1fc46a">1. Facts: empirical research and data</a>
<ul>
<li><a href="#org06c4603">1.1. Empirical research</a></li>
<li><a href="#orga4d541a">1.2. Popular data in finance</a></li>
<li><a href="#org5ee6817">1.3. Where to find data</a></li>
</ul>
</li>
<li><a href="#org9e12865">2. What is WRDS?</a></li>
<li><a href="#orge5c8d88">3. How to access</a>
<ul>
<li><a href="#org7a5c1ce">3.1. WRDS website</a></li>
<li><a href="#org202f173">3.2. X-WRDS connection</a></li>
<li><a href="#org4f49b58">3.3. Unix</a></li>
</ul>
</li>
<li><a href="#org9c03dfb">4. How to search data</a></li>
<li><a href="#org5baffb7">5. Demo</a>
<ul>
<li><a href="#orgcc820d6">5.1. Understand CRSP</a>
<ul>
<li><a href="#org3bc441e">5.1.1. Overview</a></li>
<li><a href="#orgb3f088f">5.1.2. <code>exchcd</code>: stock exchange code</a></li>
<li><a href="#orgf6dfca2">5.1.3. <code>shrcd</code>: share code</a></li>
<li><a href="#org3c0f49f">5.1.4. <code>prc</code>: stock price</a></li>
<li><a href="#org014c16d">5.1.5. Market value</a></li>
</ul>
</li>
<li><a href="#org6397c97">5.2. Understand Compustat</a>
<ul>
<li><a href="#orga212d3e">5.2.1. Overview</a></li>
<li><a href="#org04bf376">5.2.2. Compustat-security daily/monthly</a></li>
</ul>
</li>
<li><a href="#orge924bbc">5.3. Download data from WRDS website</a></li>
<li><a href="#orga7fd0e5">5.4. Download data by Python-WRDS</a></li>
<li><a href="#org054e549">5.5. The problem of Excel</a></li>
</ul>
</li>
<li><a href="#org57503e9">6. Help</a></li>
</ul>
</div>
</div>
<div id="outline-container-orgc1fc46a" class="outline-2">
<h2 id="orgc1fc46a"><span class="section-number-2">1</span> Facts: empirical research and data</h2>
<div class="outline-text-2" id="text-1">
</div>
<div id="outline-container-org06c4603" class="outline-3">
<h3 id="org06c4603"><span class="section-number-3">1.1</span> Empirical research</h3>
<div class="outline-text-3" id="text-1-1">
<div class="figure">
<p><img src="./png/publication.png" alt="publication.png" width="80%" height="80%" />
</p>
</div>
</div>
</div>
<div id="outline-container-orga4d541a" class="outline-3">
<h3 id="orga4d541a"><span class="section-number-3">1.2</span> Popular data in finance</h3>
<div class="outline-text-3" id="text-1-2">
<div class="figure">
<p><img src="./png/popdata.png" alt="popdata.png" width="80%" height="80%" />
</p>
</div>
</div>
</div>
<div id="outline-container-org5ee6817" class="outline-3">
<h3 id="org5ee6817"><span class="section-number-3">1.3</span> Where to find data</h3>
<div class="outline-text-3" id="text-1-3">
<div class="org-center">
<p>
<b>WRDS</b>
</p>
</div>
</div>
</div>
</div>
<div id="outline-container-org9e12865" class="outline-2">
<h2 id="org9e12865"><span class="section-number-2">2</span> What is WRDS?</h2>
<div class="outline-text-2" id="text-2">
<p>
Wharton Research Data Service
</p>
<div class="figure">
<p><img src="./png/website.png" alt="website.png" width="80%" height="80%" />
</p>
</div>
</div>
</div>
<div id="outline-container-orge5c8d88" class="outline-2">
<h2 id="orge5c8d88"><span class="section-number-2">3</span> How to access</h2>
<div class="outline-text-2" id="text-3">
<ul class="org-ul">
<li>WRDS website</li>
<li>X-WRDS connection</li>
<li>Unix (not open to master students)</li>
</ul>
</div>
<div id="outline-container-org7a5c1ce" class="outline-3">
<h3 id="org7a5c1ce"><span class="section-number-3">3.1</span> WRDS website</h3>
<div class="outline-text-3" id="text-3-1">
<p>
<a href="https://wrds-www.wharton.upenn.edu/">https://wrds-www.wharton.upenn.edu/</a>
</p>
<ul class="org-ul">
<li>User friendly interface</li>
<li>Easy to use</li>
</ul>
</div>
</div>
<div id="outline-container-org202f173" class="outline-3">
<h3 id="org202f173"><span class="section-number-3">3.2</span> X-WRDS connection</h3>
<div class="outline-text-3" id="text-3-2">
<ul class="org-ul">
<li>What is <b>X</b>?
<ul class="org-ul">
<li>Python</li>
<li>R</li>
<li>SAS</li>
<li>Stata</li>
</ul></li>
<li>Need knowledge of computer language or software skills</li>
</ul>
</div>
</div>
<div id="outline-container-org4f49b58" class="outline-3">
<h3 id="org4f49b58"><span class="section-number-3">3.3</span> Unix</h3>
<div class="outline-text-3" id="text-3-3">
<ul class="org-ul">
<li>Need to know some Unix commands</li>
</ul>
</div>
</div>
</div>
<div id="outline-container-org9c03dfb" class="outline-2">
<h2 id="org9c03dfb"><span class="section-number-2">4</span> How to search data</h2>
<div class="outline-text-2" id="text-4">
<ul class="org-ul">
<li>Concept</li>
</ul>
<div class="figure">
<p><img src="./png/concept1.png" alt="concept1.png" width="80%" height="80%" />
</p>
</div>
<div class="figure">
<p><img src="./png/concept2.png" alt="concept2.png" width="80%" height="80%" />
</p>
</div>
</div>
</div>
<div id="outline-container-org5baffb7" class="outline-2">
<h2 id="org5baffb7"><span class="section-number-2">5</span> Demo</h2>
<div class="outline-text-2" id="text-5">
<ul class="org-ul">
<li>CRSP</li>
<li>Compustat</li>
</ul>
</div>
<div id="outline-container-orgcc820d6" class="outline-3">
<h3 id="orgcc820d6"><span class="section-number-3">5.1</span> Understand CRSP</h3>
<div class="outline-text-3" id="text-5-1">
</div>
<div id="outline-container-org3bc441e" class="outline-4">
<h4 id="org3bc441e"><span class="section-number-4">5.1.1</span> Overview</h4>
<div class="outline-text-4" id="text-5-1-1">
<ul class="org-ul">
<li>USA</li>
<li>1925 to 2018</li>
<li>stock price, volume, number of shares, …</li>
</ul>
</div>
</div>
<div id="outline-container-orgb3f088f" class="outline-4">
<h4 id="orgb3f088f"><span class="section-number-4">5.1.2</span> <code>exchcd</code>: stock exchange code</h4>
<div class="outline-text-4" id="text-5-1-2">
<table border="2" cellspacing="0" cellpadding="6" rules="groups" frame="hsides">
<colgroup>
<col class="org-right" />
<col class="org-left" />
</colgroup>
<thead>
<tr>
<th scope="col" class="org-right">exchcd</th>
<th scope="col" class="org-left">stock exchange</th>
</tr>
</thead>
<tbody>
<tr>
<td class="org-right">1</td>
<td class="org-left">NYSE</td>
</tr>
<tr>
<td class="org-right">2</td>
<td class="org-left">AMEX</td>
</tr>
<tr>
<td class="org-right">3</td>
<td class="org-left">NASDAQ</td>
</tr>
</tbody>
</table>
</div>
</div>
<div id="outline-container-orgf6dfca2" class="outline-4">
<h4 id="orgf6dfca2"><span class="section-number-4">5.1.3</span> <code>shrcd</code>: share code</h4>
<div class="outline-text-4" id="text-5-1-3">
<table border="2" cellspacing="0" cellpadding="6" rules="groups" frame="hsides">
<colgroup>
<col class="org-right" />
<col class="org-left" />
</colgroup>
<thead>
<tr>
<th scope="col" class="org-right">shrcd</th>
<th scope="col" class="org-left">share type</th>
</tr>
</thead>
<tbody>
<tr>
<td class="org-right">10</td>
<td class="org-left">common shares</td>
</tr>
<tr>
<td class="org-right">11</td>
<td class="org-left">common shares</td>
</tr>
</tbody>
</table>
</div>
</div>
<div id="outline-container-org3c0f49f" class="outline-4">
<h4 id="org3c0f49f"><span class="section-number-4">5.1.4</span> <code>prc</code>: stock price</h4>
<div class="outline-text-4" id="text-5-1-4">
<ul class="org-ul">
<li>Negative stock price</li>
<li>Take absolute value to convert negative price to positive</li>
</ul>
</div>
</div>
<div id="outline-container-org014c16d" class="outline-4">
<h4 id="org014c16d"><span class="section-number-4">5.1.5</span> Market value</h4>
<div class="outline-text-4" id="text-5-1-5">
<p>
<b>market value</b> = stock price * number of shares
</p>
<p>
<img src="ltximg/intro_to_wrds_358b28cab84aac0d9652ca43b3ce6d147eee578b.png" alt="intro_to_wrds_358b28cab84aac0d9652ca43b3ce6d147eee578b.png" />
</p>
</div>
</div>
</div>
<div id="outline-container-org6397c97" class="outline-3">
<h3 id="org6397c97"><span class="section-number-3">5.2</span> Understand Compustat</h3>
<div class="outline-text-3" id="text-5-2">
</div>
<div id="outline-container-orga212d3e" class="outline-4">
<h4 id="orga212d3e"><span class="section-number-4">5.2.1</span> Overview</h4>
<div class="outline-text-4" id="text-5-2-1">
<ul class="org-ul">
<li>Compustat North Amercia (NA)
<ul class="org-ul">
<li>USA and Canada</li>
<li><b>Fundamental Annual</b>: accounting information</li>
<li><b>Security Daily/Monthly</b>: stock price</li>
</ul></li>
<li>Compustat Global
<ul class="org-ul">
<li>China, France, Nigeria, Thailand, UK, …</li>
<li><b>Fundamental Annual</b>: accounting information</li>
<li><b>Security Daily</b>: stock price</li>
</ul></li>
</ul>
</div>
</div>
<div id="outline-container-org04bf376" class="outline-4">
<h4 id="org04bf376"><span class="section-number-4">5.2.2</span> Compustat-security daily/monthly</h4>
<div class="outline-text-4" id="text-5-2-2">
<ul class="org-ul">
<li><code>tpci</code>: share type
<ul class="org-ul">
<li>tpci = 0: common shares</li>
</ul></li>
<li><code>fic</code>: country code</li>
</ul>
<table border="2" cellspacing="0" cellpadding="6" rules="groups" frame="hsides">
<colgroup>
<col class="org-left" />
<col class="org-left" />
</colgroup>
<thead>
<tr>
<th scope="col" class="org-left">fic</th>
<th scope="col" class="org-left">Name</th>
</tr>
</thead>
<tbody>
<tr>
<td class="org-left">GBR</td>
<td class="org-left">United Kingdom</td>
</tr>
<tr>
<td class="org-left">DEU</td>
<td class="org-left">Germany</td>
</tr>
</tbody>
</table>
<p>
Country code list: <a href="https://en.wikipedia.org/wiki/ISO_3166-1_alpha-3">https://en.wikipedia.org/wiki/ISO_3166-1_alpha-3</a>
</p>
<ul class="org-ul">
<li><code>prccd</code>: unadjusted closing price
<ul class="org-ul">
<li>Unadjusted stock price cannot reflect true performance of stock return</li>
<li>Need to adjust stock price before calculating stock return</li>
</ul></li>
</ul>
<div class="figure">
<p><img src="./png/adjprc.png" alt="adjprc.png" width="80%" height="80%" />
</p>
</div>
<ul class="org-ul">
<li>Need another two variables to adjust stock price
<ul class="org-ul">
<li><code>ajexdi</code>: adjusted factor</li>
<li><code>trfd</code>: return factor</li>
</ul></li>
</ul>
<p>
<img src="ltximg/intro_to_wrds_3afcede792aa226ae97a5cdc6fba69caf39385b9.png" alt="intro_to_wrds_3afcede792aa226ae97a5cdc6fba69caf39385b9.png" />
</p>
</div>
</div>
</div>
<div id="outline-container-orge924bbc" class="outline-3">
<h3 id="orge924bbc"><span class="section-number-3">5.3</span> Download data from WRDS website</h3>
<div class="outline-text-3" id="text-5-3">
<ul class="org-ul">
<li>In class demo.</li>
</ul>
</div>
</div>
<div id="outline-container-orga7fd0e5" class="outline-3">
<h3 id="orga7fd0e5"><span class="section-number-3">5.4</span> Download data by Python-WRDS</h3>
<div class="outline-text-3" id="text-5-4">
<div class="org-src-container">
<pre class="src src-python"><span style="color: #e45649;">import</span> pandas <span style="color: #e45649;">as</span> pd
<span style="color: #e45649;">import</span> wrds
<span style="color: #6a1868;">conn</span> = wrds.Connection<span style="color: #4078f2;">()</span>
<span style="color: #6a1868;">crsp</span> = conn.raw_sql<span style="color: #4078f2;">(</span><span style="color: #50a14f;">"""</span>
<span style="color: #50a14f;"> select permno, date, ret, abs(prc) as price_adj, shrout </span>
<span style="color: #50a14f;"> from crsp.msf</span>
<span style="color: #50a14f;"> where exchcd between 1 and 3</span>
<span style="color: #50a14f;"> and shrcd between 10 and 11</span>
<span style="color: #50a14f;"> and date>='2015-01-01'</span>
<span style="color: #50a14f;">"""</span><span style="color: #4078f2;">)</span>
</pre>
</div>
</div>
</div>
<div id="outline-container-org054e549" class="outline-3">
<h3 id="org054e549"><span class="section-number-3">5.5</span> The problem of Excel</h3>
<div class="outline-text-3" id="text-5-5">
<p>
There are two problems if you download data in Excel:
</p>
<ul class="org-ul">
<li>Missing leading zeros</li>
<li>Scientific notation (E-notation)</li>
</ul>
<div class="figure">
<p><img src="./png/cusip_error.png" alt="cusip_error.png" width="80%" height="80%" />
</p>
</div>
</div>
</div>
</div>
<div id="outline-container-org57503e9" class="outline-2">
<h2 id="org57503e9"><span class="section-number-2">6</span> Help</h2>
<div class="outline-text-2" id="text-6">
<ul class="org-ul">
<li>My email: p.li@leeds.ac.uk</li>
<li>My Github: <a href="https://github.com/mk0417">https://github.com/mk0417</a></li>
</ul>
</div>
</div>
</div>
<div id="postamble" class="status">
<p class="date">Created: 2019-11-17 Sun 14:21</p>
</div>
</body>
</html>