WRDS WebEx ISB

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  • WRDS WebEx ISB

    1. 1. Using WRDS effectively: Research and Teaching Indian School of Business August 08, 2008 (07:00 EDT) By Anil Mishra Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    2. 2. Agenda <ul><li>The WRDS system </li></ul><ul><li>Accounts </li></ul><ul><li>Getting data from WRDS </li></ul><ul><li>Analyzing data using WRDS </li></ul><ul><li>Samples, Tools and other utilities </li></ul><ul><li>Documentation </li></ul><ul><li>Knowledgebase and Support </li></ul><ul><li>Tips to speed up your Research on WRDS </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    3. 3. The WRDS System <ul><li>Point and Click </li></ul><ul><li>Web : data retrieval, documentation, knowledgebase, tools and utilities. </li></ul><ul><li>Programming </li></ul><ul><li>SAS (local) (SAS for Windows, etc.): data retrieval, tools, utilities and analysis </li></ul><ul><li>Unix : data retrieval, tools, utilities and analysis . </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    4. 4. Accounts Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania Account Type Access Storage Notes Home Temp Faculty Full 750 MB Deleted after 48 HRS Standing faculty Staff Full 750 MB Deleted after 48 HRS Support Personnel PhD Students Full 750 MB Deleted after 48 HRS Current PhD students Class Web N/A N/A Library/Lab Web N/A N/A
    5. 5. Using the WEB Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania Step 1 Visit http://wrds.wharton.upenn.edu Step 2 Login Step 3 Select your dataset (Compustat Annual, CRSP Monthly, IBES etc.) Step 4 Select your filters (Ticker, Dates, Variables etc.) or select all data Step 5 Output your data in desired format (text, CSV, SAS, STATA etc.) Step 6 Download data to your computer or other device
    6. 6. Web Demo http:// wrds.wharton.upenn.edu Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    7. 7. USING THE WEB: Summary <ul><li>General </li></ul><ul><li>Ease of use, No programming, Quick results, Uniform interface, Data Exploration, Download up to 2 GB. Knowledgebase, Documentation, Limited Conditional Filtering </li></ul><ul><li>Examples of tasks that you can do with the WRDS web query: </li></ul><ul><li>Create dataset of stock returns for a day, month, one firm, one-hundred firms, or all-firms/all-days ( Example Dataset: CRSP). </li></ul><ul><li>Find all companies in Industry X and study Sales/Asset ratios for 10 years (Example Dataset: Compustat). </li></ul><ul><li>Measure the average abnormal return when a stock is added to the S&P 500 (Example Dataset: Eventus) </li></ul><ul><li>Balance Sheet for Teaching </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    8. 8. Using SAS on your PC or Locally Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania Step 1 Connect to wrds.wharton.upenn.edu using WRDS SAS connection program Step 2 Write your SAS program to obtain desired data Step 3 Submit your program Step 4 Download your data to your computer Step 5 Analyze your data using SAS or other analysis software on your PC or other device.
    9. 9. SAS on your PC Demo Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    10. 10. Using SAS Locally: Summary <ul><li>General </li></ul><ul><li>Familiarity with local resources, On-line SAS Help, Work Offline, Requires programming, Eliminate Processing contention with other WRDS subscribers. </li></ul><ul><li>Examples of tasks you can do using SAS locally: </li></ul><ul><li>Link financial statement reports to stock market performance (Merge CRSP and COMPUSTAT databases). </li></ul><ul><li>Construct Portfolios: Size, Book-to-Market, etc. </li></ul><ul><li>Estimate & Test portfolio ‘alpha’ using Fama-French Factors. </li></ul><ul><li>Filter your data with unlimited conditionals. </li></ul><ul><li>Execute WRDS Sample SAS programs. </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    11. 11. Using UNIX Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania Step 1 Connect to wrds.wharton.upenn.edu using SSH (Secure Shell Host) protocol. Step 2 Use your favorite editor (Emacs, VI, Pico etc.) to write your SAS/other program or copy and modify WRDS samples programs. Step 3 Execute your program Step 4 Download your data or your results to your local computer
    12. 12. UNIX Demo Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    13. 13. Using Unix: Summary <ul><li>General </li></ul><ul><li>Requires basic UNIX knowledge and an Unix editor, Requires programming, Processing contention with other WRDS subscribers. </li></ul><ul><li>Examples of tasks you can do using Unix: </li></ul><ul><li>Link financial statement reports to stock market performance (Merge CRSP and COMPUSTAT databases). </li></ul><ul><li>Construct Portfolios: Size, Book-to-Market, etc. </li></ul><ul><li>Estimate & Test portfolio ‘alpha’ using Fama-French Factors. </li></ul><ul><li>Filter your data with unlimited conditionals. </li></ul><ul><li>Execute WRDS Sample SAS programs. </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    14. 14. TIPS to speed up your Research <ul><li>Use the Web query ( wrds.wharton.upenn.edu ) to get sample data for few companies. Repeat for different datasets if necessary. </li></ul><ul><li>Verify you have the appropriate data items necessary for your research. </li></ul><ul><li>If necessary, use Local SAS or SAS on UNIX to write appropriate programs using limited observations. </li></ul><ul><li>Once you are satisfied with your programs, run them with the full universe. </li></ul><ul><li>Download your data or results to your computer. </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    15. 15. Useful Links <ul><li>Support: http:// wrds.wharton.upenn.edu/support/index.shtml </li></ul><ul><li>Email: [email_address] </li></ul><ul><li>Forum: http:// forum.wharton.upenn.edu /forums/ </li></ul><ul><li>Sample programs: http:// wrds.wharton.upenn.edu/support/datasets.shtml </li></ul><ul><li>Get started with SAS for Windows: http:// wrds.wharton.upenn.edu/support/docs/wrdssas.pdf </li></ul><ul><li>Remote connection to WRDS using SSH: http:// wrds.wharton.upenn.edu/support/docs/wrdsSSH.shtml </li></ul>Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania
    16. 16. Thanks Copyright: 1994-2008 : The Wharton School of the University of Pennsylvania

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