intro_to_wrds_presentation.org

Introduction to WRDS

1 Facts: empirical research and data

1.1 Empirical research

1.2 Popular data in finance

1.3 Where to find data

WRDS

2 What is WRDS?

Wharton Research Data Service

3 How to access

• WRDS website
• X-WRDS connection
• Unix (not open to master students)

3.1 WRDS website

https://wrds-www.wharton.upenn.edu/

• User friendly interface
• Easy to use

3.2 X-WRDS connection

• What is X?
  • Python
  • R
  • SAS
  • Stata
• Need knowledge of computer language or software skills

3.3 Unix

• Need to know some Unix commands

4 How to search data

• Concept

5 Demo

• CRSP
• Compustat

5.1 Understand CRSP

5.1.1 Overview

• USA
• 1925 to 2018
• stock price, volume, number of shares, …

5.1.2 exchcd: stock exchange code

exchcd	stock exchange
1	NYSE
2	AMEX
3	NASDAQ

5.1.3 shrcd: share code

shrcd	share type
10	common shares
11	common shares

5.1.4 prc: stock price

• Negative stock price
• Take absolute value to convert negative price to positive

5.1.5 Market value

market value = stock price * number of shares

$$\text{market value} = \left|prc\right| × shrout$$

5.2 Understand Compustat

5.2.1 Overview

• Compustat North Amercia (NA)
  • USA and Canada
  • Fundamental Annual: accounting information
  • Security Daily/Monthly: stock price
• Compustat Global
  • China, France, Nigeria, Thailand, UK, …
  • Fundamental Annual: accounting information
  • Security Daily: stock price

5.2.2 Compustat-security daily/monthly

• tpci: share type
  • tpci = 0: common shares
• fic: country code

fic	Name
GBR	United Kingdom
DEU	Germany

Country code list: https://en.wikipedia.org/wiki/ISO_3166-1_alpha-3

• prccd: unadjusted closing price
  • Unadjusted stock price cannot reflect true performance of stock return
  • Need to adjust stock price before calculating stock return

• Need another two variables to adjust stock price
  • ajexdi: adjusted factor
  • trfd: return factor

$$\text{adjusted price} = \frac{prccd}{ajexdi} × trfd$$

5.3 Download data from WRDS website

• In class demo.

5.4 Download data by Python-WRDS

import pandas as pd
import wrds

conn = wrds.Connection()
crsp = conn.raw_sql("""
 select permno, date, ret, abs(prc) as price_adj, shrout 
 from crsp.msf
 where exchcd between 1 and 3
  and shrcd between 10 and 11
  and date>='2015-01-01'
""")

5.5 The problem of Excel

Two problems if you download data in Excel:

• Missing leading zeros
• Scientific notation (E-notation)

6 Help

• My email: p.li@leeds.ac.uk
• My Github: https://github.com/mk0417