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| Central Banks Data: Securities Lending
The securities purchased by the ECB and Eurosystem central banks under the various large scale asset purchase programmes (PSPP, CBPP, CBPP) are made available for securities lending since mid-2015.Go to source
The aim of the securities lending framework is to support bond and repo market liquidity through various lending arrangements ranging from bilateral lending to lending relying on specialized securities lending agents or on the lending infrastructure of international central securities depositories.
The terms of the lending contracts, i.e. collateral eligibility, pricing, haircut, term and counterparty eligibility; are determined at the individual central bank level to accommodate domestic infrastructures and market practices.
| Eurex Repo Data: GC Pooling Baskets
GC Pooling offers different pre-defined baskets for trading:Go to source
• GC Pooling® ECB Basket
• GC Pooling® ECB EXTended Basket
• GC Pooling® INT MXQ Basket
• GC Pooling® Equity Basket
The respective components and haircuts are listed in the files below.
• GC Pooling® ECB Basket
Based on the Eligible Assets Database (EAD) the GC Pooling® ECB Basket covers approximately 3,000 ECB eligible securities. The basket composition is adapted to LCR Level 1 criteria. This basket enables the re-use of received collateral for refinancing within the framework of ECB/Bundesbank open market operations, the GC Pooling® market and Eurex Clearing Margining (possible for customers with Xemac access).
• GC Pooling® ECB EXTended Basket
Based on the Eligible Assets Database (EAD) the GC Pooling® ECB EXTended Basket covers around 14,000 ECB eligible securities. This basket enables the re-use... read more
| German historical financial data
Freely data available for Germany for the period 1871-1914.Go to source
In addition, 8 other data sets have been collected from previous work at the Center for Financial Studies.
| histat - Historical Time Series
Histat was developed in GESIS by Jürgen Sensch, Rainer Metz, and Gabriele Franzmann and released in 2004. The online platform has the function of making time series from historical, economic and social science research accessible. On October 15, 2021, histat moved to SAFE. New studies are frequently imported into histat.Go to source
The registration, the use of histat as well as the download of data from histat are free of charge.
Quandl is a Data Platform that hosts data from hundreds of publishers on a single easy-to-use website.Go to source
| Preliminary version of the dataset historical company data 1920 - 1940
This preliminary dataset is generated from the historical source "Handbuch der Deutschen Aktiengesellschaften" and is at an early stage.Data Usage Agreement required
We provide access to researchers from the field of economic history that are providing support in finalizing the dataset.
Once completed, the dataset will be made publicly available.
| Bloomberg terminal
Bloomberg offers a wide range of data on the world's leading public and private companies.Access from data room only
Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; exchange rates; fully adjusted pricing and dividends information, including high, low, close, price/earnings ratio, yield, earnings per share, market value, volume traded & shares outstanding.
| ESG + Datastream + Worldscope data by Refinitiv
SAFE Research Data Center makes available periodically downloaded data: see links "*: content guide" in section 'Documentation'.Access from data room only
Data are stored in shared folder accessible from each workstation.
FactSet offers comprehensive data and analytics on global financial and economic markets and companies. Data coverage includes:Access from data room only
• Financial data on 70,000+ public and private companies worldwide;
• Up to 2.000 historical financial metrics data items for close to 100 countries;
• Historical financial data on 5.000 global indices, as well as fixed income, commodities, alternative investments markets, and more.
Platform used to analyze financial data from global equity and fixed income markets. Coverage includes data and information on ownership and private equity and venture capital investments. It also includes SharkWatch (formerly SharkRepellent) and Mergerstat data.
FactSet features comprehensive data and analytics on global financial and economic markets and companies, in a flexible, easy-to-use, environment.
| Nexis Uni
Nexis Uni delivers unmatched depth and quality when it comes to content. With more than 15,000 news, legal and business sources, Nexis Uni helps students find credible sources including:Go to source (Goethe IP required)
• Print and online journals, television and radio broadcasts, newswires and blogs;
• Local, regional, national and international newspapers with deep archives;
• Extensive legal sources for federal and state cases and statutes, including U.S. Supreme Court decisions since 1790;
• Unparalleled business information on more than 80 million U.S. and international companies and more than 75 million executives.
| Refinitiv : Datastream Data Loader feed
DDL delivers the content available within Datastream via FTP.Data download managed by SAFE Data Center
With history back to the 1950’s, over 4000 million time series and over 17,000 different fields, it provides the following feeds:
• Fixed Income EJV
• ESG - Core & Premium
• Datastream Equities & Indices
• Datastream Commodities
• Datastream Futures
• Datastream Economics
• Security Master
DDL allows to customize the needed data, output files are delivered in flat files via CSV format.
SAFE Research Data Center makes available periodically downloaded data: see links "*: content guide" in below section 'Documentation'.
| Refinitiv : Eikon
Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets.Go to source (Eikon credentials required)
It covers all the major financial markets – equity, fixed income, commodities, foreign exchange – and provides effective compliance and risk management, investment management and wealth management solutions.
The content and analytics package includes pricing data, financial research, global financial news and commentary, financial estimates, fundamentals analysis, and visual analysis through charting.
It comprises all the Thomson 1 legacy products as well as IBES, Datastream, Worldscope.
Refinitiv offers product certification (for free) at https://training.refinitiv.com/cert/
| S&P Capital IQ Pro (SNL Financial)
S&P Capital IQ Pro (former SNL Financial) is the premier provider of breaking news, financial data and expert analysis on business sectors critical to the global economy: Banking, Insurance, Financial Services, Real Estate, Energy, Media & Communications and Metals & Mining.Go to source (S&P global credentials required)
Data Rooms provide 'S&P Capital IQ pro' web portal access and Microsoft Office add-in for Excel.
| WRDS : Bank Regulatory
The Bank Regulatory Database provides accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutionsGo to source (WRDS credentials required)
| WRDS : Blockholders
Blockholders is a free database of large-block shareholders created by researchers in 2004.Go to source (WRDS credentials required)
The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data.
| WRDS : BoardEX
BoardEx covers educational background, prior employment, and connections of directors and executives for North America.Go to source (WRDS credentials required)
Analyze the proportion of politically connected directors, using CEO-level controls such as age, gender, and experience. Extract executive stock option holdings.
| WRDS : Bureau van Dijk : Amadeus
AMADEUS contains comprehensive information on around 21 million companies across Europe.Go to source (WRDS credentials required)
Goethe University has full version license which covers about 24 millions firms.
You can use it to research individual companies, search for companies with specific profiles and for analysis. It contains:
• Company information for both Western and Eastern Europe, with a focus on private company information
• Company financials in a standard format so you can compare companies across borders
• Financial strength indicators
• Images of report and accounts for listed companies
• Stock prices for listed companies
• Detailed corporate structures
• Market research
• Business and company-related news
• M&A deals and rumors
| WRDS : Bureau Van Dijk : ORBIS
NEW from January 2023Go to source (WRDS credentials required)
Orbis contains information on companies across the world and focuses on private company information.
• Financials for Industrial Companies
• Financials for Banks
• Financials for Insurance Companies
• Interim Financials for Industrial Companies
• Interim Financials for Banks
• All Current Shareholders First Level
• All Subsidiaries First Level
| WRDS : Capital IQ
Capital IQ (from Standard & Poor's) provides data on public and private companies, investment firms, capital transactions, and people.Go to source (WRDS credentials required)
| WRDS : CBOE Indexes
The CBOE (Chicago Board Options Exchange) 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 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. Since then, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.Go to source (WRDS credentials required)
The New VIX still measures the market's expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility 'skew' by using a wider range... read more
| WRDS : Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.Go to source (WRDS credentials required)
| WRDS : CRSP
The CRSP US Stock Database provides a unique research source characterized by its unmatched breadth, depth, and completeness. It includes CRSP's unique permanent identifiers allowing for clean and accurate backtesting, time-series and event studies, measurement of performance, accurate benchmarking, and securities analysis.Go to source (WRDS credentials required)
Annual Update: once each year, in early February.
It includes CRSP/Compustat Merged database (CCM), a convenient way to link CRSP market and corporate action data with Compustat fundamental data.
| WRDS : Direct Marketing Educational Foundation (DMEF)
Direct Marketing Educational Foundation (DMEF)Go to source (WRDS credentials required)
Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalog and non-profit database marketing businesses are available through DMEF to approved academic researchers for use within academic situations.
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.
| WRDS : Fama French Portfolios and Factors
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 Fama-French data source is Kenneth French's web site at Dartmouth.Go to source (WRDS credentials required)
| WRDS : Federal Judicial Center
The Federal Judicial Center's (FJC) Integrated Database (IDB) contains data on all federal civil, criminal, bankruptcy, and appellate court case information reported by the courts to the Administrative Office of the U.S. Courts (AOUSC), beginning in 1970.Go to source (WRDS credentials required)
| WRDS : Federal Reserve Bank Reports
The Federal Reserve Bank Reports in WRDS contain two databases collected from Federal Reserve Banks.Go to source (WRDS credentials required)
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... read more
| WRDS : Historical SPDJI
Access the largest global resource for essential index-based concepts, data and research.Go to source (WRDS credentials required)
| WRDS : Macro Finance Society
The Macro Finance Society curates a list of datasets from several influential papers broadly in the area of macro finance.Go to source (WRDS credentials required)
The mission of the Macro Finance Society is to advance and disseminate high-quality research in Macro Finance, which is a broad area at the intersection of financial economics and macroeconomics.
The research conducted at The Society emphasizes microeconomic foundations via (dynamic) structural modeling, while being grounded in the data.
Members of The Society consist of both financial economists and macroeconomists, who share the common goal of advancing and disseminating high-quality research in Macro Finance.
For more information, please see https://macrofinancesociety.org/
| WRDS : Municipal Securities Rulemaking Board (MSRB)
As the primary regulator of the $3.7 trillion municipal security market, the MSRB collects and makes publicly available through its Electronic Municipal Market Access (EMMA). The trades represent transactions by investors and dealers in the over-the-counter market for municipal securities issued by municipal entities, including states, counties, cities and special tax districts.Go to source (WRDS credentials required)
| WRDS : Option Metrics
OptionMetrics EUROPE license expiring at the end of December 2022Go to source (WRDS credentials required)
OptionMetrics' Ivy DB is a comprehensive source of historical price and implied volatility data for the US and Europe equity and index options markets. Ivy DB OptionMetrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. With Ivy DB OptionMetrics, you'll be able to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment.
| WRDS : OTC Markets
Access the most comprehensive closing quote, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink MarketplacesGo to source (WRDS credentials required)
| WRDS : Penn World Tables
The Penn World Tables provides national income accounts-type of variables converted to international prices.Go to source (WRDS credentials required)
The homogenization of national accounts to a common numeraire allows valid comparisons of income among countries.
| WRDS : Peters and Taylor Total Q
Data on firms Total q ratio (an improved Tobins q proxy) and the replacement cost of firms intangible capital.Go to source (WRDS credentials required)
| WRDS : Philadelphia Stock Exchange (PHLX)
The Philadelphia Stock Exchange founded in 1790 is the oldest organized stock exchange in the nation. As one of North America?s primary marketplaces for the trading of stocks, equity options, index options and currency options, the PHLX continues to be a market leader in the development and introduction of innovative new products and services.Go to source (WRDS credentials required)
The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options and 100 currency pairs. On the equity floor, PHLX?s PACE (Philadelphia Automated Communication and Execution) system was one of the first automated equity trading systems on any exchange.
| WRDS : Public Data: Bureau of Economic Analysis
Macro Economics data. Bureau of Economic Analysis (BEA publishes the top series on GDP, Consumer Spending, and other national accounts.Go to source (WRDS credentials required)
| WRDS : Public Data: Bureau of Labor Statistics
Macro Economics data. Bureau of Labor Statistics (BLS publishes the top series from each of the main surveys, including the CPI, PPI, CES, and others.Go to source (WRDS credentials required)
| WRDS : Public Data: Healthcare
HCUP (Healthcare Cost and Utilization Project) examines individuals as patients, covering procedures and diagnoses during hospital inpatient stays and emergency department visits.Go to source (WRDS credentials required)
MEPS (Medical Expenditure Panel Survey) tables examine individuals as consumers, covering insurance coverage, and the use and cost of health services -- access insurance tables, covering employers in the private sector and state and local governments on the health insurance coverage offered to their employees.
| WRDS : RavenPack
License expiring at the end of October 2022; will be back 1 st of January 2023Go to source (WRDS credentials required)
RavenPack analyzes unstructured content from thousands of publications to extract information on named entities with sentiment, and financially-relevant events.
| WRDS : Refinitiv Ownership
Information about large-scale holders of specific securitiesGo to source (WRDS credentials required)
| WRDS : Research Quotient
Analyze and measure the effectiveness of a firm's R&D.Go to source (WRDS credentials required)
Research Quotient (RQ) is the percentage increase in revenue from a 1% increase in R&D. RQ is the output elasticity of R&D. RQ offers a universal, uniform, and reliable measure of a firm's R&D productivity.
| WRDS : SEC Analytics Suite
License expiring at the end of September 2022Go to source (WRDS credentials required)
SEC Analytics Suite with NEW SEC Sentiment and Readability data is positioned for broad business usage – from due diligence and forensic accounting to disclosure research and investment management.
Simplify research - quickly and easily develop tailored datasets from all SEC filings, parsing millions of regulatory reports based on custom criteria.
The ready-to-use parsed contents and filings archives are updated daily, allowing users to quickly explore data and effectively retrieve widely-used information including; the full list of exhibits, filing size, SEC acceptance date and time, conformed period of report, historical information on state of incorporation and headquarters, and SIC code.
The WRDS SEC Readability and Sentiment database extends the SEC Analytics Suite by providing, for the first time to academic researchers, a clean set of... read more
| WRDS : SEC Order Execution
License expiring at the end of September 2022Go to source (WRDS credentials required)
SEC-mandated Disclosure of Order Execution Statistics
Electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis.
On November 15, 2000, the SEC adopted new rules aimed at improving public disclosure of order execution and routing practices. As a result of Rule 11Ac1-5, market centers that trade national market system securities must make monthly, electronic disclosures of basic information.
Data is available on WRDS through 2005, and is no longer updated.
| WRDS : TRACE
TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service.Go to source (WRDS credentials required)
All broker-dealers who are FINRA member firms have an obligation to report transactions in TRACE-eligible securities FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It was formed in the summer of 2007 from the NYSE and the NASD.
There are several categories of securities in TRACE:
- BTDS: corporate bonds (U.S. dollar-denominated, investment grade and high yield).
- ATDS: US government agency bonds.
- SPDS: securitized products including asset-backed securities and mortgage-backed securities. WRDS separates SPDS by
- Sub-Product Type into SPDS-ABS, SPDS-CMO, SPDS-MBS, SPDS-TBA.
- BTDS144A: corporate bonds falling under Rule 144a of the Securities Act of 1933.
- SPDS144A: securitized products falling under Rule 144a of the Securities Act of... read more
| WRDS- Beta Suite
Beta Suite is a powerful web based tool allowing researchers to calculate stocks’ loading on various risk factors in a timely way.Go to source (WRDS credentials required)
The tool is designed with flexibly in mind, capable of handling monthly, weekly and daily rolling regression on common set of market risk factors.
| WRDS- European Short Data
Implemented after the previous global financial crisis to increase market transparency, this data encompasses all significant short positions reported by institutional investors under the EU236 Rule.Go to source (WRDS credentials required)
| WRDS- Event Study
the Event studies are widely used by empirical researchers in finance, economics, accounting, law, and other business disciplines to analyze the market reaction to firm specific and market-wide events using either returns or volume around the time when event occurred.Go to source (WRDS credentials required)
Some examples include: earnings announcements, M&As, new capital issues, and announcements of macroeconomic variables (unemployment or trade deficit), measure impact on the value of a firm resulting from a change in the regulatory environment, or to assess the damages.
| WRDS- Financial Ratios Suite
WRDS Financial Ratio is a web based engine that delivers over 70 pre-calculated financial ratios for all U.S. companies across eight different categories (Valuation, Liquidity, Profitability, and etc).Go to source (WRDS credentials required)
Researchers can easily obtain both firm-level and industry-level ratios through point-and-click on the web query. This product can be used by researchers as a convenient tool to obtain firm-level and/or industry-level ratios as characteristics for controls in empirical research.
| WRDS- Intraday indicators - SEC MIDAS
The WRDS Intraday Indicator Database (IID) contains daily stock market indicators obtained from NYSE TAQ data. At daily frequency, it provides, per stock variables such as Volume, Returns, and a variety of others.Go to source (WRDS credentials required)
SEC offers MIDAS (Market Information Data and Analytics System) to promote better understanding of the U.S. equity markets and market structure. WRDS SEC MIDAS contains the Individual Security Metrics published by SEC MIDAS. The Individual Security Metrics provides market trading metrics for over 8,300 securities (stocks and exchange-traded portfolios).
| WRDS- Linking Suite
The WRDS Linking Suite allows to easily download link table between various heavily used databases on WRDS platform:Go to source (WRDS credentials required)
• Bond CRSP Link allows users to directly link fixed income data at the individual bond level to the equity data from the CRSP database.
• Option Metrics CRSP Link provides the link between OptionMetrics SECID and CRSP PERMNO
• BoardEx CRSP Compustat Link provides the link of Boardex companies with CRSP-Compustat universe
• TAQ CRSP Link provides the link between TAQ SYMBOL and CRSP PERMNO
• FactSet CRSP Link links Factset’s security id as well as entity id with CRSP identifiers
| WRDS- Option Suite
Option and equity level indicators (e.g. Implied Volatility, Put/Call Ratio) derived from underlying option pricing data.Go to source (WRDS credentials required)