Slides. - Maug

Introduction to Financial Databases
Stefan Obernberger
Chair of Corporate Finance, Prof. Ernst Maug, PhD

Financial databases at the University of Mannheim (excerpt)
Financial statement data (e.g. balance sheet and income statement information)
US: Compustat North America
Rest of the World: Compustat Global
Europe: AMADEUS (for 10 million listed and non-listed companies in 41 European countries)
Worldwide: Worldscope via Datastream (not available via WRDS)
Stock price and indices data
US: CRSP (Center for Research in Security Prices)
Worldwide: Datastream (not available via WRDS)
SDC Platinum: Worldwide IPOs, SEOs M&As, spin-offs, and repurchases (not available via WRDS)
Capital IQ: Comprehensive & worldwide financial data platform (not available via WRDS)
Compustat Execucomp: US compensation data
Compustat Bank Fundamentals: Accounting data for US banks
I/B/E/S: Worldwide analyst forecast data
Thomson Mutual Funds: Mutual fund data
TAQ: Trades and quotes from US stock markets
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Important Links
Overview on available financial databases on the homepage of the Chair of Corporate Finance
http://cf.bwl.uni-mannheim.de/data.html
Similar (but better) overview on the library‘s homepage (includes direct access to AMADEUS)
http://www.bib.uni-mannheim.de/1147.html?&L=1
General overview on electronic media
http://www.bib.uni-mannheim.de/132.html?&L=0
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Access to WRDS, SDC Platinum & Datastream
WRDS - Wharton Research Data Service Information service provider
Gives access to various economic and financial databases
WRDS only provides the service of managing and accessing the data
The data itself is collected and provided by the data providers (e.g. Thomson Reuters, S&P, etc.)
Available online at http://wrds-web.wharton.upenn.edu
SDC Platinum is a software allowing you to download transaction and new issue data from Thomson‘s
databases
Accessible at the chair of Prof. Maug
You have to reserve at time slot in our forum: http://cf.bwl.uni-mannheim.de/forum/
Datastream is accessible in the library, via remote desktop (faculty access only) and at the chair of Prof.
Maug (for the latter two options you again need to reserve a time slot)
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WRDS query
Whatever database you use via WRDS, the query algorithm always stays the same:
Step 1: Data Range (i.e. period covered)
Step 2: Search Dataset
Name type of company codes
Specify where company codes come from
Manually
Upload
Retrieve saved codes from myWRDS
Search entire database
Use conditional statements
Step 3: Select variables
Step 4: Run query
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CRSP - Identifier
CRSP’s unique and permanent issue identification number (permno) is automatically included as
identifier.
Further identifiers are:
permco = CRSP Permanent Company Number
Cusip = is the latest eight-character CUSIP identifier from Cusip Service bureau, Standard &
Poor‘s
Ticker = the combination of ticker, exchange, and date uniquely identifies a security. A ticker
may be one to three characters for NYSE and AMEX securities or four or five characters for
Nasdaq securities
you should use the unique company identifier permco. while permco applies to only one company,
more than one permno may be associated with one permco.
date comnam cusip permno permco ret
30. Nov 95 GENERAL MOTORS CORP 37044283 68451 20799 0,1335
30. Nov 95 GENERAL MOTORS CORP 37044240 66931 20799 0,0744
30. Nov 95 GENERAL MOTORS CORP 37044210 12079 20799 0,1154
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CRSP – Share Code
Usually you include share codes “10“ and “11“
First Digit
Second Digit
Code Definition
1 Ordinary Common Shares
2 Certificates
3 ADRs (American Depository Receipts)
4 SBIs (Shares of Beneficial Interest)
7 Units
Code Definition
0 Securities which have not been further defined.
1 Securities which need not be further defined.
2 Companies incorporated outside the US
3 Americus Trust Components (Primes and Scores).
4 Closed-end funds.
5 Closed-end fund companies incorporated outside the US
8 REIT's (Real Estate Investment Trusts).
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CRSP – Stock Prices and Returns
Price:
Price is the closing price. If the closing
price is not available for any given
trading day, the number in the price field
has a negative sign to indicate that it is
a bid/ask average and not an actual
closing price.
Holding Period Return:
A return is the change in the total value
of an investment in a common stock
over some period of time per dollar of
initial investment.
is adjusted for dividends, stock
splits,…
Click on the
question mark
button to get
detailed
information
about the data
item
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CRSP – Adjustment for stock splits
Factors to adjust prices
and shares outstanding for
stock splits
Adjusted price = PRC /
CFACPR
Adjusted shares
outstanding = SHROUT *
CFACSHR
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COMPUSTAT
If you want to merge Compustat with CRSP, click on the CSRP link and choose the CRSP/Compustat
Merged database.
This database includes a direct connection variable between CRSP and Compustat data.
Merging (via lpermno or lpermco) the data becomes easier.
Important: Merge on datadate and NOT on fiscal year and fiscal quarter
Make your company and variable choice from the data query:
1. Data Range: time horizon of the request
2. Choose company identifier (gvkey is Compustat standard)
3. Search: company selection (you can manually search firms, upload a file with companies, or search the
entire database)
4. Choose the unique link to gvkey and LC and LU as link types
5. Variables: choose your variables
6. Output: choose STATA file (*.dta)
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DATASTREAM
Either use one of the Datatstream terminals in the library or reserve slot for accessing DATASTREAM on
the CF forum (topic: DATASTREAM)
Open Request Table in EXCEL
Add-Ins -> Datastream -> New Request Table
or use Request_Table_DS5.xls document for stock price request
For each line plug in:
1. Update: YES
2. Request Type: TS (for time series requests)
3. Format: RC (Line 1); C (following lines)
4. Series Lookup: Plug in identifier list (e.g. Cusip) in this column
5. Datatype: RI (Total Return Index) for stock price data (browse datatypes for other items)
6. Enter start & end date, frequency
7. Data destination is designed for time series stock data requests
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