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Databases

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Title: Databases


1
University of Arizona Department of Finance
Research Databases
By Andrew Zhang
2
What is Covered?
  • Database Introduction
  • What is it?
  • Where is it?
  • How to access it?
  • Where to get data documentation?
  • Where to get help?
  • Online help and support files
  • How to get sample codes?
  • SAS, Fortran, and C?
  • Unix Introduction
  • WRDS Data Retrieving Techniques

3
What is NOT covered
  • How to pull data?
  • How to program SAS or Fortran 77 or 95?
  • How to compile program in Unix?
  • It is time for you to decide whether you need
    continue to stay here or NOT
  • ??? Or !!!
  • finance.eller.arizona.edu/research/dataresources.a
    spx

4
Database Resources
  • Compustat
  • CRSP Stocks
  • Others
  • TAQ
  • CRSP Mutual Fund
  • ExecuComp
  • IBES
  • Berkeley Options
  • SDC MA data
  • FISD fixed income database
  • Thompson Mutual Fund data
  • Global Insight

5
Compustat
  • Annual, Quarterly, and Segment Financial
    Statement Data
  • Active and Inactive Files
  • North American Public Firms
  • Updated annually
  • moving window of 20 years
  • 40 years data on WRDS

6
How to Access Compustat
  • Z drive
  • 2000-2004
  • Unix of UA Fortran or SAS
  • No update available any longer
  • WRDS web querying
  • Unix of WRDS Fortran or SAS

7
CRSP Stock
  • Provides stock market data for NYSE, AMEX, and
    Nasdaq firms
  • Prices, Return, etc.
  • Monthly and Daily
  • How to Access
  • ts-print
  • Unix of UA Fortran or SAS
  • No updating available any longer
  • WRDS web querying
  • Unix of WRDS Fortran or SAS

8
NYSE Trade and Quoting (TAQ) Data
  • Intraday transactions data for all securities
    listed on NYSE, AMEX, and Nasdaq.
  • Data available 1/93 1/04
  • Access through TAQ2.exe
  • No subscription in WRDS

9
CRSP Mutual Fund
  • Provides open-ended mutual fund data
  • 1962 to 2005
  • Equity Funds
  • Bond and hybrid funds
  • Money market funds
  • Tax free funds
  • How to access
  • Z drive
  • SAS or Microsoft Access

10
Standard Poors ExecuComp
  • Executive and Director Compensation
  • Including option and stock holding by insiders
  • Dates of coverage 1992 2004
  • Updated annually
  • How to Access
  • Z drive with MSFT Access
  • WRDS
  • Web Querying
  • Unix of WRDS

11
Institutional Brokers Estimates System (IBES)
  • Monthly analyst forecast on earnings
  • 1987 to 2004
  • Maintained by Accounting dept
  • US companies and International companies
  • It is free subscription but working paper
    submitted to Thompson
  • Documentation
  • www.ic.arizona.edu/ic/trombley/dbdocs/ibesdocs/ibe
    sdocs.html
  • Password needed
  • /fa/finacct/passwords.txt

12
How to Access IBES
  • Unix of UA Finacct user group
  • Where is data?
  • /fa/databases/ibes/2004/us/detail
  • /fa/databases/ibes/2004/us/summary
  • SAS program to access it
  • Where is sample SAS program?
  • /fa/finacct/ibes_summary_us.sas
  • /fa/finacct/ibes_detail_us.sas
  • Intl vs. us
  • Copy it to your own directory and sas it
  • cp file /fa/fa4/andrew/myfile.sas

13
Berkeley Options Data
  • Derived from the CBOE's Market Data Retrieval
    tapes
  • Data begins August 1976 1994.
  • Historical record of trades and quotes,
    time-stamped to the nearest second, for
    standardized contracts traded on the CBOE.
  • How to Access
  • Z drive
  • Database format

14
SDC MA data
  • Our subscription permission
  • Merge and Acquisition Only
  • 1962-present
  • How to access
  • Install SDC setup file
  • Access online only
  • Txt and Excel format available

15
FISD database
  • Fixed Income Transaction Data
  • Real bond buy and sell transaction
  • Not quote or matrix price
  • Issuer and Issue specific information
  • 1994-2004
  • How to access
  • Z drive
  • Access or SAS

16
Thompson Mutual Fund Data
  • Mutual funds holding data
  • 1992-2002
  • Annually, semi-annually, or quarterly
  • Stock holdings only
  • Quantity and amount of stocks held by mutual
    funds with 13f SEC filings
  • Maybe incomplete
  • How to Access
  • Z drive
  • Txt or Excel format

17
Global Insight
  • Macroeconomics Datasets
  • provides data on national income accounts,
    balance of payments, foreign debt, exchange
    rates, money supply and employment - among other
    national level categories. Also provides data on
    the IMF series and the OCDE series.
  • XLS format
  • Up to September 2004

18
Getting familiar with data
  • Go to finance database website
  • http//finance.eller.arizona.edu/research/datareso
    urces.aspx
  • http//www.ic.arizona.edu/ic/trombley/
  • http//www.ic.arizona.edu/ic/trombley/dbdocs/ibes.
    html
  • Go to finance server Z drive
  • Get database manual

19
Where to get help?
  • WRDS http//wrds.wharton.upenn.edu/support/dataov
    erview.shtml
  • CRSP, Compustat and IBES documentation
  • UA www.ic.arizona.edu/ic/trombley/dbdocs/docs.htm
    l
  • WRDS wrds.wharton.upenn.edu/support/docs/manual.s
    html
  • Unix Programming
  • UA www.u.arizona.edu
  • WRDS wrds.wharton.upenn.edu/support/index.shtml
  • SAS programming
  • support.sas.com/onlinedoc/913/docMainpage.jsp
  • Fortran 77 or 95 programming
  • http//docs.sun.com/app/docs/doc/802-2998

20
Unix of UA and WRDS
  • How to get account
  • finacct group
  • Email Mark at accounting department
  • Each account 12 MB
  • WRDS same username and password
  • Each account 750 MB
  • Where to download SSH
  • http//www.u.arizona.edu/ssh/
  • Help for programming in Unix
  • http//www.u.arizona.edu
  • http//wrds.wharton.upenn.edu/support/index.shtml

21
WRDS
  • Request account
  • wrds.wharton.upenn.edu/wrdsauth/account_req.shtml
  • Our subscription
  • http//wrds.wharton.upenn.edu/mywrds/dslist_desc.s
    html
  • CRSP
  • Compustat
  • ExeuComp
  • A lot of free data Fama French factors, etc.

22
Data Not Available Through WRDS
  • Finance server Z drive
  • Trade and Quote (TAQ) Data
  • Fixed Income Securities Database (FISD)
  • Global Insight (monthly and quarterly files)
  • SDC Mergers and Acquisitions Data
  • Unix of UA
  • IBES

23
Some Common DataNowhere to Get
  • CRSP / Compustat Merged Database
  • Thomson Financial Institutional Ownership and
    Insider Trading Data
  • Compustat Bank and Utilities Data

24
Database in WRDS
  • How to access?
  • Web Querying?
  • If files are too large, you may have to split
  • Unix of WRDS
  • Where is the data in Unix of WRDS
  • /wrds/crsp/sasdata (fortran C etc)
  • How to access data in Unix?
  • Download directly
  • SSH file transfer
  • Program to retrieve data
  • SAS
  • Fortran and C

25
Database in WRDSContd.
  • Where is sample program codes?
  • wrds.wharton.upenn.edu/support/dslist/dslist.shtml
  • Unix of WRDS
  • /wrds/compustat/samples
  • Free SAS viewer
  • www.sas.com

26
How to SAS in WRDS?
  • Three Ways
  • PC SAS
  • Remote Submit
  • Remote Library Services (RLS)
  • SAS in Unix of WRDS
  • Where to get help?
  • wrds.wharton.upenn.edu/support/index.shtml

27
PC SAS Remote Submit
  • Where to get help?
  • wrds.wharton.upenn.edu/support/docs/wrdsSASConnect
    .shtml
  • Use WRDS server to remote execute SAS
  • Good for stupid old computers
  • Easily get disconnected
  • Not always so fast

28
PC SASRemote SubmitSample Codes
  • let wrdswrds.wharton.upenn.edu 4016options
    comamidTCP remoteWRDSsignon
    username_prompt_rsubmitlibname comp
    '/wrds/compustat/sasdata'data mydataset
    comp.compannwhere yeara2002proc print
    datamydata (obs30)runendrsubmit

29
PC SASRemote Library Services (RLS)
  • To use local libraries and remote libraries in
    the same time
  • SAS dataset in WRDS server and the dataset in
    your own computer
  • Your computer cannot be too old
  • It is in fact using your computer CPU and memory
    to execute program

30
Sample CodesRLS
  • let wrds wrds.wharton.upenn.edu 4016
  • options comamidTCP remoteWRDS
  • signon username_prompt_
  • options linesize72 nocenter nodate
  • libname crsplib remote '/wrds/crsp/sasdata'
    serverwrds
  • libname locallib 'c\sas'
  • data a
  • set crsplib.msi
  • where '01JAN2000'd lt date lt '31DEC2000'd
  • run
  • data b
  • set locallib.msi_local
  • where '01JAN2001'd lt date lt '31DEC2001'd
  • run
  • data c
  • set a b
  • run
  • proc print datac

31
SAS in Unix of WRDS
  • Write program and compile it
  • Use WRDS server, and is faster than UA Unix
  • Personal account 750 MB
  • Nearly unlimited temporary capacity
  • /wrds/sastemp01-09
  • Only 48 hours or even shorter

32
Sample SASin Unix of WRDS
  • cp /wrds/crsp/samples/ina.sas my_ina.sas
  • sas my_ina.sas
  • How to read the results?
  • SAS viewer
  • File transfer to download to your local PC
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