To inquire about access to these data sets on the Wharton Research Data Services platform, contact Jonathan Whittinghill, Research Consultant in the Foster School of Business.
SEC registrants on active audits, accounting firms, fees paid, restatements, federal litigation data, SEC staff reviews and company responses, and IPOs, bankruptcies, and shareholder activism information.
Balance sheets, income statements, acquisitions and mergers, and off-balance sheet data from institutions regulated by the FDIC, the Federal Reserve, and the Comptroller of the Currency.
Compact Disclosure data on large-block of stock holdings. Reportedly cleaned of mistakes and biases, and made freely available by the researchers.
Boards memberships of publicly-traded companies and some private companies in North America.
VIX index of a stock index option’s expected 30-day volatility for S&P 500 companies. Includes S&P 500, Dow Jones, and NASDAQ indexes.
Compustat North America includes company- and executive-level information on publicly held companies.
Datasets updated either quarterly or annually on security prices and other financial instruments.
DMEF Academic Data
Anonymized buying history for approximately 100,000 customers of catalog businesses.
Daily and monthly information on the Dow Jones Composites.
Fama French & Liquidity Factors
Fama French factors as constructed from the returns from the intersection of various portfolios. Pastor-Stambaugh and Sadka liquidity factors are also included.
Federal Reserve Bank Reports
Foreign exchange rates, interest rates on treasuries, and other select instruments.
Treasury benchmark intraday prices for active and off-the-run treasury issues (2003-2008).
Earnings estimates for more than 5,800 U.S. and 12,400 international companies (1970- ).
Infogroup Historical Business & Consumer Data
Geo-referenced information on U.S. household consumer profiles and U.S. business establishment address-level data.
Institutional Shareholder Services (ISS)
Data on governance decisions, executive compensation, individual board directors, voting analytics and shareholder proposals.
Tick-by-tick data from NYSE and AMEX (1983-1992), and NASDAQ (1987-1992).
Mergent Fixed Income Securities (FISD)
U.S. public bond issues and issuers, bond ratings, redemptions, and insurance-company bond purchases and sales.
Municipal Securities Rulemaking Board (MSRB)
Over-the-counter municipal securities transactions by municipal entities (states, counties, cities, etc.).
End-of-day pricing on 10K securities traded on OTCQX, OTCQB and OTC Pink.
Penn World Tables
National income accounts data converted to international prices for ease of comparison (1950-2010).
Peters and Taylor Total Q
A variation of Tobin’s Q, Total Q is a ratio of a firm’s market value to their total assets. Includes replacement costs of intangible capital in the denominator.
Philadelphia Stock Exchange Currency Options and Implied Volatility (1983-1997).
Public domain datasets from various sources: New York Yellow taxi trips, Bureau of Economic Analysis, Bureau of Labor Statistics, and health care-related data on procedures and diagnoses, expenditures, and prescriptions.
RavenPack News Analytics
Named entities and financially relevant events as reported in Dow Jones publications, Wall Street Journal, press releases.
Estimated change in revenue resulting from a 1-percent increase in research and development.
SEC Order Execution
Execution of stock orders routed through major U.S. market centers (2000-2005).
Intraday transactions for NYSE, AMEX, and NASDAQ securities. Plus short sales data.
Mutual fund holdings, institutional holdings, and Dealscan (commercial loan market)
Corporate bond price information.
WRDS Bond Returns
Corporate bonds maintained by WRDS and linking with TRACE and CRSP information.