October 2006
WRDS IN THE NEWS
WELCOME to the new subscribers who recently joined WRDS:
Auburn University, Auburn, Alabama, U.S.A.
Binghamton University, Binghamton, New York, U.S.A.
Brock University, Ontario, Canada
California State University, Long Beach, Long Beach, California, U.S.A.
City University, Cass Business School, London, U.K.
Clemson University, Clemson, South Carolina, U.S.A.
Durham University, Durham, U.K.
Erasmus University, Rotterdam, Netherlands
Federal Reserve Bank of Atlanta, Atlanta, Georgia, U.S.A.
George Mason University, Fairfax, Virginia, U.S.A.
HEC, Paris, France
Hunter College, New York City, New York, U.S.A.
Oklahoma State University, Stillwater, Oklahoma, U.S.A.
Queen's University, Ontario, Canada
Seton Hall University, South Orange, New Jersey, U.S.A.
St. Joseph's University, Philadelphia, Pennsylvania, U.S.A.
St. Louis University, St. Louis, Missouri, U.S.A.
University of California, San Diego, La Jolla, California, U.S.A.
University of Hawaii, Manoa, Honolulu, Hawaii, U.S.A.
University of Massachusetts-Amherst, Amherst, Massachusetts, U.S.A.
University of Melbourne, Victoria, Australia
University of North Carolina at Charlotte, Charlotte, North Carolina, U.S.A.
University of Puerto Rico at Mayaguez, Mayaguez, Puerto Rico
University of South Carolina, Columbia, South Carolina, U.S.A.
University of Texas at El Paso, El Paso, Texas, U.S.A.
Utah State University, Logan, Utah, U.S.A.
Yeshiva University, New York City, New York, U.S.A.
2006 Users Meeting. The WRDS team and the Harvard Business School hosted a Users Meeting on Wednesday, June 14 in Boston, MA. More than 70 attendees appreciated Harvard's hospitality. The WRDS web site has copies of the presentations (see Users Meeting under WRDS News) and we will keep you informed about future meetings.
WRDS has introduced Mutual Funds Links (MFLINKS) which was developed to join data items from the CRSP Survivor-Bias Free US Mutual Fund Database (MFDB) to data in the Thomson Mutual Fund Holdings Database. MFLINKS covers more than 11,000 fund share classes from the CRSP MFDB and more than 5,000 mutual fund portfolios from the Thomson set. MFLINKS is a joint project with Professor Russ Wermers (University of Maryland, Robert H. Smith School of Business) and the Wharton Financial Institutions Center. Please contact us for subscription information or feel free to have any of your faculty and PhD students to write to us at wrds-support@wharton.upenn.edu if they are doing research on mutual funds and they desire additional information about MFLINKS.
WRDS TIPS
Based on suggestions from users, WRDS recently added an IBES Enhanced Code Lookup. This tool facilitates finding company identifiers in the IBES sets and will create a list of companies that plugs directly into an IBES web query. Company lists also can be saved for later use. Please try this tool, and we welcome your feedback.
Write-ups of Research Applications are continually added to the Support section on WRDS web site. We offer these write-ups as a way for researchers to learn how common procedures can be programmed, such as computing compounded returns, or about important data topics, such as a Guide to ADRs. New entries include SAS code with explanations for Types of PROC REG Outputs, which provides examples of the SAS ODS or Output Delivery System, and Heteroscedasticity-Consistent (HC) Standard Errors, which shows methods for correcting for the presence of heteroscedasticity in a regression model. We also posted Matlab code with an explanation for DCC-GARCH (Dynamic Conditional Correlation-GARCH). Suggestions for other applications are most welcome.
WRDS VISITOR ACCOUNTS
'Visitor' accounts for using WRDS are available to qualified visiting faculty (non-permanent or part time position). Please note that these accounts are subject to additional review and may not be used after the visiting appointment ends. In particular, we require a formal relationship between the institution and the individual, and this requirement generally precludes co-authors and unpaid research associates. Use of WRDS for any commercial purpose is also not permitted. Please reach us if you have questions on the rules for permitting a ‘visitor’ at your university to use WRDS.
NEW & UPCOMING DATA
The CISDM database provides information on over 3700 active Hedge Funds and over 660 active CTAs and CPOs. In addition, the database covers 3800 inactives. For each fund in the database, detailed information related to investment strategy and style, historical monthly returns, assets under management, leverage, minimum initial investment, and fee structure is provided. This dataset is being offered by the University of Massachusetts Amherst and their Center for International Securities and Derivatives Markets (CISDM) at no charge to all WRDS subscribers for a one-year period. Following the one-year period, CISDM will give an option of subscribing to the data either through WRDS or directly. For additional information, please contact Dee Weber (weber@cisdm.org) or visit http://www.cisdm.org.
TRACE (Trade Reporting and Compliance Engine), is the NASD's real-time price dissemination service for the corporate bonds. This system was designed to bring transparency to the corporate bond market and to help create a level playing field for all participants by providing comprehensive, real-time access to bond prices and related information. The TRACE data on WRDS has transaction data for thousands of corporate bonds and is provided at no charge to academics. For more information regarding TRACE, see Free Access Data Sets on WRDS and visit the NASD TRACE homepage.
WRDS will soon add the CRSP/Ziman Real Estate Data Series and the S&P RatingsXpress dataset. The first set covers Real Estate Investment Trusts (REITs) and is based on a collaboration between the Richard S. Ziman Center for Real Estate at the UCLA Anderson School of Management and CRSP. The credit ratings data in the second set provides a long history of short term commercial credit and corporate bond ratings information at both the issuer/entity and issue/instrument level.
ASK US ABOUT...IPO Data
WRDS has partnered with GSIOnline, a division of Thomson Westlaw to help finance and accounting researchers study Initial Public Offerings (IPOs). WRDS now offers an improved interface to GSIOnline, which has an extensive database that covers new and seasoned equity security offerings, as well as debt offerings. We also offer a free demo set that covers all new equity Registrations and Prospectuses for the January-March 2004 period. For details, see the GSIOnline link on the WRDS website.
UPCOMING CONFERENCES AND EVENTS
CRSP Forum in Chicago, IL at the Gleacer Center on October 30-31.
Allied Social Sciences Association (ASSA) conference in Chicago, IL at the Hyatt Regency Chicago from January 5-7, 2007.
If you have notices that you would like to share with WRDS users, please contact us. WRDS has added a Conference Calendar to our website.
If you need additional assistance
with specific uses of data and data questions,
please send an email to wrds-support@wharton.upenn.edu
For general information on WRDS,
database access or vendor contact information, please visit http://wrds.wharton.upenn.edu
Wharton Research Data Services, 216 Vance Hall, 3733 Spruce Street,
Philadelphia, PA 19104
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