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Subscription-based datasets:

Audit Analytics (also available directly from the vendor)

Detailed audit information on over 1,300 accounting firms and 15,000 publicly registered companies. Know who is auditing whom, and how much is paid for what services …

 

Board Analyst (Corporate Library’s historical data)

Provides independent and objective information about the corporate governance, compensation and performance of the management of publicly-traded US companies.  The data are drawn primarily from the proxy statements of publicly traded companies.  Each year’s historical data are a snapshot of the current database on June 30 of that year; began in 2001.

 

Compustat Global

Compustat Global provides data covering publicly traded companies in more than 80 countries, representing over 90% of the world’s market capitalization, including coverage of over 96% of European market capitalization and 88% of Asian market capitalization.  S&P’s EMDB covers 53 markets and more than 2,200 stocks in developing countries.

 

CRSP (Center for Research in Security Prices, University of Chicago)

A comprehensive collection of stock price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets.

 

Eventus

This is a software package that performs event studies to compute abnormal returns for specific corporate actions or events using data directly from the CRSP stock database.

 

Global Insight (also available directly from the vendor)

Economic, financial, and demographic time series data.  The Marquette subscription is mainly for US data, though there are a few international time series.  Some series go back to the 1940’s.

 

RiskMetrics Governance and Directors databases (formerly called IRRC, or Investor Responsibility Research Center)

The RiskMetrics Governance Database (formerly called the IRRC Takeover Defense Database) covers more than 4,000 companies and allows users to identify companies that have poison pills, anti-greenmail, classified boards, golden parachutes, and other devices designed to prevent hostile takeovers and weaken shareholder rights.

The RiskMetrics Directors Database provides details on the structure and practices of the boards of directors and about the board members themselves (independence, meeting attendance, stock ownership, etc.) at approximately 1,500 U.S. companies in the S&P 500, S&P MidCap, and S&P SmallCap indexes.

 

 

Free datasets:

Bank Regulatory Databases:

These provide accounting data for bank holding companies, commercial banks, saving banks, and savings & loans institutions.  The data come from the required regulatory forms filed for supervising purposes.

 

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 (Chicago Board Options Exchange):

The 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 measures the market’s expectation of 30-day volatility.  The 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.  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.

 

CISDM (Center for International Securities and Derivatives Markets):

Provides data on Hedge Funds, active CTA’s (commodity trading advisors), and CPO’s (commodity pool operators).

 

DMEF (Direct Marketing Educational Foundation):

Four individual datasets, each contains customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses.  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 Averages:

This dataset is 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 Total Return Indexes are introduced by Dow Jones Indexes as part of the Dow Jones Total Market Index Series.  The Total Return Indexes account for reinvested dividends.  Data for the Total Return Indexes is available after 1987.

 

FDIC (Federal Deposit Insurance Corporation)

Dataset 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.

 

Fama French, Momentum, and Liquidity: two separate datasets described below.

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 Pastor-Stambaugh Liquidity series are described in Pastor, L., and R. F. Stambaugh, "Liquidity risk and expected stock returns" (2003, Journal of Political Economy 111, 642-685).  This set includes the ‘traded’ liquidity factors that are based on dividing the CRSP monthly stocks file data into 10 groups based on their sensitivity to an estimated liquidity series (as described in the paper).

 

Federal Reserve Bank Reports: three databases collected from Federal Reserve Banks.

Foreign Exchange Rates (Federal Reserve Board's H.10 Report).  The WRDS FX database is based upon the Federal Reserve Board’s H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices.  WRDS carries all of these FX rates in currency units per U.S. dollar (e.g. yen/$) and a few are also available in “inverted form” (e.g. $/pound).  Interest Rates (Federal Reserve Board's H.15 Report).  The WRDS RATES database is based upon the Federal Reserve Board’s H.15 release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments.  All rates are reported in annual terms.  Daily figures are for Business days and Monthly figures are averages of Business days unless otherwise noted.  FRB-Philadelphia State Indexes.  A set of coincident indexes for the 50 states has been developed at the Federal Reserve Bank of Philadelphia, based on a national coincident index methodology developed by James Stock and Mark Watson.  For details and documentation on the development of the state indexes, see Theodore Crone, “Consistent Economic Indexes for the 50 States” Federal Reserve Bank of Philadelphia, Working Paper 02-7, May 2002.

 

PHLX (Philadelphia Stock Exchange’s United Currency Options Market, or UCOM):

Provides expiration date, strike (exercise) price, premium payment and any combination of 10 currencies currently available for a total of 100 possible currency pairs.

 

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.

 

SEC Disclosure of Order Execution:

This dataset provides the basic information concerning the quality of executions on a stock-by-stock basis that market centers trading national market system securities must make via monthly, electronic disclosures (as a result of Rule 11Ac1-S).

 

Trace (Trade Reporting and Compliance Engine; from NASDAQ):

NASD's over-thecounter (OTC) corporate bond market real-time price dissemination service, TRACE consolidates transaction data for all eligible corporate bonds – investment grade, high yield and convertible debt.  As a result, individual investors and market professionals can access information on 100% of OTC activity representing over 99% of total U.S. corporate bond market activity in over 30,000 securities.  Introduced in July of 2002.