November 2007

WRDS IN THE NEWS

WELCOME to the new subscribers who recently joined WRDS:

Babson College, Massachusetts, U.S.A.
California State Polytechnic University, Pomona, California, U.S.A.
Chapman University, California, U.S.A.
DePaul University, Illinois, U.S.A.
Hong Kong Polytechnic University, Kowloon, Hong Kong
North Carolina Central University, North Carolina, U.S.A.
Pepperdine University , California, U.S.A.
Simon Fraser University, British Columbia, Canada
University of Alabama at Birmingham, Alabama, U.S.A.
University of Albany, New York, U.S.A.
University of Cyprus, Nicosia, Cyprus
University of Houston, Clear Lake, Texas, U.S.A.
University of Louisville, Kentucky, U.S.A.
University of North Texas, Texas, U.S.A.
University of South Florida, Florida, U.S.A.
University of Windsor, Ontario, Canada
Washington and Lee University, Virginia, U.S.A.
Vrije University, Amsterdam, The Netherlands
Yuan Ze University, Taiwan

2007 WRDS Users Conference Thank you to all who attended the Users Conference to celebrate the 10th anniversary of WRDS at The Wharton School, University of Pennsylvania on Monday, October 1 and Tuesday, October 2.

Over 120 Wharton Research Data Services users and data vendor partners attended from both national and international universities and government institutions.

We were honored to have The Wharton School Dean, Tom Robertson, as our luncheon guest speaker. Dinner guest speakers included: The Wharton School Deputy Dean Michael Gibbons, Professor of Accounting and Finance Robert Holthausen, and Assistant Professor of Finance Michael Roberts.

Session presentations are available on our WRDS site. See Users Conference under WRDS News.

Some sessions included:

General:

Overview of WRDS: Web interface, Queries, Tools and Support
This session was a general presentation of the web interface functionality, which included data downloads examples, search tools examples, and support materials.

Comparison of Web, Unix and PC/SAS access
This session described three methods of accessing WRDS data: the web query, the remote connection to the WRDS Unix machine, and the connection via PC/SAS. Each method has its strength and they work as complements of each other.

What is an Event Study? Introduction to Intra-Day Stock Market Data
This session covered two topics: (1) An explanation of 'Event study' methods that measure the impact of specific types of events on the stock prices of specific firms, with an example showing how Eventus on WRDS can be used to test whether the addition of a stock to the S&P 500 index has a noticeable effect on its trading price; (2) An introduction to intra-day stock market data and how trades and quotes are presented in the TAQ database on WRDS.

Introduction to Compustat Xpressfeed presented the new features of the Compustat Xpressfeed North America database and comparisons to the previous FTP version.

Comparing and Choosing Statistical Software
This session compared econometric software with an emphasis on two of the most popular packages: SAS and MATLAB.

Research and Datasets::

Working with Analyst Data: Overview and Empirical Issues
This session provided a detailed overview of various empirical research issues in IBES Adjusted and Unadjusted Detail and Summary History files (e.g., IBES treatment of stock splits and linking of estimate and actual data), described techniques which can be used to replicate Summary History from the Detail file, and offered advice on linking Detail and Recommendations History files. It also contained useful tips on working with IBES international data and explains the potential differences between coverage in IBES, First Call, and Compustat.

Corporate Bonds and Ratings: Overview and Research Issues
This presentation included an overview of the coverage, file structure, and contents of bond-related databases on WRDS that contain bond characteristics, transactions, and ratings. Particular attention was given to the (non) uniqueness of mapping between primary and secondary identifiers and concerns in linking. The session also contained a detailed description of S&P Ratings Xpress product and highlighted potential issues in linking it to the other datasets.

Overview of Corporate Executive Compensation Data on WRDS
This session presented the new features of the Compustat Executive Compensation database that are due to the new reporting requirements under FASB 123.

Hands-On::

Merging CRSP and Compustat presented two merging procedures: by using CUSIPs (with an exploration of fuzzy matching) and by using the CRSP-Compustat Merge database.

Techniques and Applications in Portfolio Construction demonstrated procedures for constructing portfolios by Size and Momentum.

Governance Data Sources and Portfolio Construction gave an overview of Governance Data for Research and presented the procedure for constructing portfolios on Gompers-Ishii-Metrick governance index.

NEW ADDITIONS

Compustat Xpressfeed North America. The university package for the most popular Compustat datasets, including Industrial Annual (COMPANN) and Industrial Quarterly (COMPQTR), has been upgraded to the Standard and Poor's Compustat Xpressfeed North America format. For more detail on the changes and additional data items that are available in Compustat Xpressfeed North America, see Overview of Compustat Xpressfeed for additional information. Note that the Compustat datasets that are based in the old format (Compustat FTP) were also updated in August, and this is the last posting in this format.

ASK US ABOUT...FREE DATA ON WRDS

The Bank Regulatory Database contains five databases for regulated depository financial institutions. These databases provide accounting data for bank holding companies, commercial banks, savings banks, and savings and loans institutions. The source of the data comes from the required regulatory forms filed for supervising purposes.

The Fama-French Portfolios and Factors 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.

Federal Reserve Bank Reports Reports in WRDS contains three databases collected from the Federal Reserve Banks. Two of the databases come from Reports published from the Federal Reserve Board: Foreign Exchange Rates and Interest Rates. The other database comes from the Federal Reserve Bank of Philadelphia.

The 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 (CICUP).

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.

UPCOMING CONFERENCES AND EVENTS

Southern Finance Association (SFA) sponsorship of Best Paper Award, Charleston, SC, November 14-17, 2007.

Allied Social Sciences Association (ASSA) conference in New Orleans, LA, January 4-6, 2008. Please visit us in booth #240 and receive a WRDS gift.

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 send an email message to Robin Nussbaum-Gold at rnuss@wharton.upenn.edu

Wharton Research Data Services, 102 Vance Hall, 3733 Spruce Street,
Philadelphia, PA 19104, phone: 215-898-9065

If you wish to unsubscribe to WRDS Newsletter, please contact rnuss@wharton.upenn.edu