Research Resources


DATABASES – ACCESSIBLE VIA MONASH UNIVERSITY LIBRARY AUSTRALIA

  • EIU Country Reports and Profiles
  • Global Development Finance (GDF) Online, World Bank
  • World Development Indicators Online, World Bank
  • Australian Bureau of Statistics
  • Indiastat.com
  • Penn World Table (Mark 6.2) via NBER
  • Global Market Information Database

DATABASES – FREE ONLINE ACCESS

Online Data Collection Software

Login page businessmy.qualtrics.com

For account please contact the research office

Bloomberg Terminal

Located in Room 6-4-37

High Speed Terminal Room

Located in Room 6-4-38, High Speed computer facilities booking calendar

Please fill up the Booking Form to book the the computer terminal.

DATABASES – ACCESSIBLE VIA MONASH UNIVERSITY SUNWAY CAMPUS

Database Description Accessibility
ABS National Accounts A systematic summary of Australian national economic activity on a fiscal year basis, detailing the transactions of the major institutional sectors. via ECONDATA on campus only
ABS Time Series Plus

Data for Australia in the following areas:

  • Agricultural
  • Balance of Payment
  • Building and Construction
  • Demography
  • Exports and Imports
  • Finance
  • Retail Trade
  • Mining
  • Business Surveys
  • Labour
  • Manufacturing Production
  • National Accounts
via ECONDATA on campus only
ABS Treasury Model Database

Data from the Treasury Macroeconomic (TRYM) Model and the National Income Forecasting Model of the Australian Economy:

  • National accounts
  • Banking and investment
  • Price indexes
  • Interest rates
  • Population and labour statistics
  • Wage and tax rates
via ECONDATA on campus only
Bloomberg Real-time and historical financial information

Designated PC at the Research Asisstant room

(Room #: 6-4-48)

*permits only 1 user to access at any one time

CEIC CEIC Database specializes in high-quality macro & micro economic and sector time-series data for emerging and developed economies, with access to extensive research coverage from prime national, regional and international statistical agencies and data-issuing organizations in over 195+ countries. CEIC has built a reputable database, with high data accuracy, timeliness and comprehensiveness, and is used by financial institutions, government agencies, universities and corporations across the globe. CEIC’s Global database contains over 2.8million data series with quick country reference on key indicators, detailed & hard-to-find information over 18 macroeconomic and 14 industrial sectors. CEIC provides academic institutions with the ability to easily find emerging trends in various markets and gain unique insights into the historical performance of numerous emerging & developed countries.

 https://insights.ceicdata.com

* New user need to register before using CEIC for the first time.

Compustat Standard & Poor Capital IQ

(A) Access through database shared drive:

The modules subscribed to are listed below:

  • North America Xpressfeed
  • Global-ex-North America XpressFeed
  • North America Historical XpressFeed
  • Back data Geographic & Industry Segments for Active and Inactive Companies
  • Bank Current Annual and Quarterly
  • Bank Current Annual and Quarterly XpressFeed
  • Bank historical Annual and Quarterly Xpressfeed
  • Point-In-Time
  • Unrestated Quarterly
  • Preliminary History
  • Global Industry Classification Standard History
  • Research Insight

(B) Access via WRDS:

The modules subscribed to are:

  • North America Database - Full University Subscription
  • Global-ex-North America
  • North America Historical
  • Back Data Geographic & Industry Segments for Active and Inactive Companies
  • Bank Current Annual and Quarterly
  • Bank Historical Annual and Quarterly
  • S&P Filing Dates Database
GMI Ratings is the leading independent provider of global corporate governance and ESG ratings for companies worldwide. Ratings are built on extensive research and modeling that incorporates a broad spectrum of Environmental, Social and Governance(ESG) metrics as well as incorporating accounting transparency issues, to support the goal of identifying companies at risk. GMI Ratings is a signatory to the United Nations-backed Principles for Responsible Investment Initiative (PRI), a network committed to incorporating ESG research into the investment process.

Can be accessed either through a database shared drive, or via Wharton Research Data Services (WRDS):-

(A) Access through database shared drive:

  • You may request James (by email) to install the drive on your desktop.
  • We have access for an unlimited number of staff members and research students.

(B) Access via WRDS:

  • Online access to Compustat Capital IQ via WRDS requires you to apply for your own username and password via http://wrds.wharton.upenn.edu
  • Please use your Monash email address or the application will be rejected.
Corporate Library GMI Ratings is the leading independent provider of global corporate governance and ESG ratings for companies worldwide. Ratings are built on extensive research and modeling that incorporates a broad spectrum of Environmental, Social and Governance(ESG) metrics as well as incorporating accounting transparency issues, to support the goal of identifying companies at risk. GMI Ratings is a signatory to the United Nations-backed Principles for Responsible Investment Initiative (PRI), a network committed to incorporating ESG research into the investment process. Access Thru to WRDS. Refer to WRDS for more details
IMF International Financial Statistics

Data available for all countries:

  • Exchange rates
  • International liquidity
  • Money and Banking
  • International transactions
  • Consumer prices
  • Commodity prices
  • Production
  • Government Finance
  • Interest rates
  • Balance of payments
  • Key national accounts aggregates
  • Monetary and financial statistics

Frequency: Monthly / Quarterly / Annual

Coverage: 1948 - 2007

via ECONDATA on campus only
OECD Economic Outlook

Time series data and one year forecast for OECD countries:

  • Macroeconomic indicators
  • Financial and monetary indicators
  • Labour market
  • Balance of payment and trade
via ECONDATA on campus only
OECD Main Economic Indicators

For OECD countries:

  • Employment, Unemployment and Vacancies
  • Prices, Wages and Unit Labour costs
  • Industrial Production
  • Retal Sales
  • Construction
  • Deliveries, Stocks and Orders
  • Money Supply, Interest Rates
  • Share Prices and Exchange Rates
  • National Accounts Aggregates
  • Exports and Imports
  • Balance of Trade and the Current Account
via ECONDATA on campus only
OECD Quarterly National Accounts National accounts statistics for OECD countries via ECONDATA on campus only
Penn World Table [Mark 5.6]

National accounts data compiled by Summers and Heston:

  • Population
  • Real GDP per Capita
  • Real GDP Components
  • Price Levels and Exchange Rates
  • Openness
  • Standard of Living Index
  • Gross Domestic
  • Private Investment
  • Capital Stocks
via ECONDATA on campus only
RBA Bulletin Database

Time series data from the Reserve Bank of Australia Bulletin:

  • Money Supply
  • Credit by Financial Intermediaries
  • Reserve Bank Assets and Liabilities
  • Assets and Liabilities of Other Financial Institutions
  • Commonwealth Budget Sector Transactions and Financing
  • Public Sector Deficits and Debt
  • Interest Rates and Yields, and Share Prices
  • Exchange Rates
  • Balance of Payments and Foreign Debt
  • Indicators of Economic Activity
  • RBA Index of Commodity Prices
  • Selected Overseas Economic Statistics
via ECONDATA on campus only
RBA Preliminary Annual Database (1900 - 1974)

Historical macroeconomic time series data for Australia:

  • National Accounting Aggregates
  • Implicit Price Deflators
  • Average Earnings, Awards and Standard Hours
  • Workforce, Employment and Unemployment
  • Private and Public Capital Stocks
  • Money supply and Government Securities
  • Balance of Payments
  • Exchange Rates
  • Taxes and Benefits
via ECONDATA on campus only
Thomson: Datastream Advance Premium Package with add-on IBES Current & Historical Consensus Estimates (over 20 year).

Designated PC at the Research Asisstant room

(Room #: 6-4-48)

*permits only 1 user to access at any one time

World Bank World Tables

For over 200 countries:

  • Current GNP per Capita & Population
  • National Accounts
  • Domestic Prices and Deflators
  • Manufacturing Activity
  • Money
  • Government Budget
  • Foreign Trade
  • Balance of Payments and Exchange Rate
  • External Debt
  • Social Indicators
via ECONDATA on campus only
Wharton Research Data Services (WRDS)

Wharton Research Data Services (WRDS) is the leading, comprehensive, internet-based data research service used by academic, government, non-profit institutions, and corporate firms, WRDS manages the data and delivers it in a seamless, unified and consistent form. WRDS provides the user with one location to access over 200 terabytes of data across multiple disciplines including Finance, Marketing and Economics.

Database currently available inside WRDS

AuditAnalytics

  • Audit Analytics is a premium company intelligence service providing independent research to the investment, accounting, insurance, legal, regulatory and academic communities.
  • Audit Analytics provides detailed research on over 150,000 active audits and more than 10,000 accounting firms. Access to the Audit Analytics data is available via an online user subscription, email notifications, enterprise data-feed subscription and custom research reports.
  • Audit Analytics data includes detailed categorizations of issues and is considered by many professionals to be the best primary data source for tracking and analysis of public company disclosures related to the audit, compliance, governance, corporate actions and federal litigation.
  • Audit and Compliance datasets covers all SEC registrants. It is used daily by researchers around the world for market intelligence, due diligence, compliance monitoring and trend analysis. Please refer to WRDS E-Learning "Overview of AuditAnalytics" for detail on how these datasets are integrated into WRDS. Audit Analytics data feeds to WRDS are updated quarterly. Please visit AuditAnalytics.com for more current data to supplement your research if necessary.

Bank Regulatory

  • 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 Commercial Bank Database, from the Federal Reserve Bank of Chicago (FRB Chicago), contains data of all banks filing the Report of Condition and Income (named "Call Report") that are regulated by the Federal Reserve System, Federal Deposit Insurance Corporation (FDIC), and the Comptroller of the Currency. These reports include balance sheet, income statements, risk-based capital measures and off-balance sheet data. The Commercial Bank Database has data available quarterly from 1976. The time range is broader than the RIS database (described below). It includes basically commercial banks and savings banks. It does not have data from savings institutions (e.g. S&L associations) that file the Thrift Financial Report (TFR) with the Office of Thrift Supervision (OTS).
  • The Bank Holding Companies Database, from the FRB Chicago, collects financial data from bank holding companies included in the FRY-9 reports. The bank holding companies may include parent, blank and nonblank entities. These reports contain balance sheet, income information, risk-based capital measures and additional supporting schedules. The FR Y-9 filing initiated in 1978, but this Database has data available quarterly from 1986.
  • The FDIC/OTS Deposit Database collects deposit data on each office of every FDIC-insured bank and savings association. Data are collected annually (as of June 30) and are available from 1994. The FDIC takes data from all FDIC-insured commercial banks, savings banks and U.S. branches of foreign banks. The OTS collects deposit data from all savings associations.
  • The Merger Description Database from the FRB Chicago provides acquisition/merger data and other useful records about circumstances under which a financial institution ceased to exist. It provides information about the survivor and non-survivor entity, dates and merging codes from 1986.
  • The Research Information System (RIS) Database, from the Federal Deposit Insurance Corporation (FDIC), contains financial data and history of all entities filing the Call Report and some savings institutions filing the OTS Thrift Financial Report (TFR). These reports include balance sheet, income statements and off-balance sheet data. The entities that file these reports include commercial banks, savings banks, or savings and loans (The Federal Deposit Insurance Corporation Database). This data was collected from 1984 to 1998 and contains structure data, financial time series data, complex derived integers data, ratio data and merger history data. Different from the Commercial Bank Database, it contains data for S&L institutions and derived data.

Blockholders

  • This dataset contains standardized data for Blockholders of 1,913 companies. The data was cleaned from biases and mistakes usually observed in the standard source for this particular type of data. Blockholders' data is reported by firm for the period 1996-2001. The data cleaning procedure is explained in detail by Jennifer Dlugosz, Rudiger Fahlenbrach, Paul A. Gompers, and Andrew Metrick in their study "Large Blocks of Stocks: Prevalance, Size, and Measurement".

CBOE Indexes

  • The CBOE (Chicago Board Options Exchange) Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The Vix Index was introduced in 1993 by Professor Robert E. Whaley of Duke University in his paper "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives 1 (Fall 1993), pp. 71-84. Since then, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.
  • The New VIX still measures the market's expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility "skew" by using a wider range of strike prices rather than just at-the-money series.

CRSP - The Center for Research in Security Prices

  • The Center for Research in Security Prices (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX and NASDAQ stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolios, treasury bond and risk-free rates, mutual funds, and real estate data.
  • The CRSP® US Stock Database provides a unique research source characterized by its unmatched breadth, depth, and completeness. It includes CRSP's unique permanent identifiers allowing for clean and accurate backtesting, time-series and event studies, measurement of performance, accurate benchmarking, and securities analysis.
  • The CRSP US Stock Database contains end-of-day and month-end prices on all listed NYSE, Amex, and NASDAQ common stocks along with basic market indices, and includes the most comprehensive distribution information available, with the most accurate total return calculations.
  • CRSP's unique historical Indices Databases serve as benchmarks for the investment community, and as a foundation for academic research. Created according to clear, unbiased and systematic processes, these indexes undergo rigorous procedures to promote data accuracy, timeliness and consistency. Each CRSP index is offered as a series that contains decile subsets for market analysis.
  • The CRSP Indices database contains five groups of CRSP indices: the CRSP Stock File Indices, the CRSP Cap-Based Portfolios, the CRSP Indices for the S&P 500 Universe, the CRSP Treasury and Inflation (CTI) Indices, and the CRSP Select Treasury Indices.
  • The CRSP US Treasury and Inflation Series contain returns and index levels on the US Government Bond Fixed Term Index Series, and the Risk Free Rates File. The US Treasury database begins in 1925 for month-end data and in 1961 for daily data. Over 1.6 million end-of-day price observations for 3,350 US Treasury bills, notes, and bonds and over 101,500 prices for 5,300 month-end issues are included in the databases.
  • Mutual Funds: As the provider of the only complete database of both active and inactive mutual funds, CRSP leads the way in mutual fund research. The CRSP Survivor-Bias-Free US Mutual Fund Database serves as a foundation for research in and benchmarking for this asset class. Central to this work is the use of survivor-bias-free data to insure the accuracy of performance benchmarks, and the validity of analyses. Created according to clear, unbiased and systematic processes, this database undergoes rigorous procedures employed to promote data accuracy, timeliness and consistency.
  • The CRSP Survivor-Bias-Free US Mutual Fund Database was initially developed by Mark M. Carhart of Goldman Sachs Asset Management for his 1995 dissertation (Chicago GSB) entitled, "Survivor Bias and Persistence in Mutual Fund Performance", to fill a need for lacking survivor-bias-free data coverage.
  • The gold standard in academic research, The CRSP/COMPUSTAT Merged Database allows for concurrent database access to CRSP's stock data and Compustat's fundamental data. The CRSP Link accurately maps complex, many-to-many relationships over time between CRSP's unique permanent identifiers (PERMNO and PERMCO), and Compustat's unique permanent identifier (GVKEY). This link permits the seamless time series examination of CRSP and of Compustat companies and securities side by side, regardless of CUSIP or ticker changes. CRSPLink is a product and is trademarked by CRSP.
  • The CRSP/Ziman Real Estate Data Series represents a collaborative effort between the Richard S. Ziman Center for Real Estate at the UCLA Anderson School of Management and The Center for Research in Security Prices at the University of Chicago. The REIT data series is a unique research resource whose development merges CRSP experience in academic-quality financial database and indices creation with the Ziman Center's expertise in markets and the collection of real estate data.

CUSIP

  • The CUSIP Service Bureau, which is operated by Standard & Poor's for the American Bankers Association, exists for the primary purpose of uniquely identifying issuers and issues of financial instruments within a standard framework, and disseminating this data to the financial marketplace via various media. The CUSIP Master Files provide CUSIP numbers, standardized descriptions and additional data attributes for over 5 million corporate, municipal and government securities offered in North America.
  • CUSIP numbers and standardized descriptions are used by virtually all sectors of the financial industry, and are critical for the accurate and efficient clearance and settlement of securities and other financial instruments as well as back-office processing. The CUSIP number consists of nine characters: a base number of six characters known as the issuer number, (the 4th, 5th and/or 6th position may be alpha or numeric) and a two character suffix (either numeric or alphabetic or both) known as the issue number. The ninth character is a check digit.
  • Note: The CUSIP Service Bureau seeks to assign unique numbers and standardized descriptions in a timely and accurate manner, using its best efforts to use primary or reliable sources of information. However, because of the possibility of human or mechanical error by issuers and borrowers, CUSIP's sources, Standard & Poor's or others, neither Standard & Poor's nor the American Bankers Association guarantees the accuracy, adequacy or completeness of any information, and Standard & Poor's and the American Bankers Association are not responsible for any errors or omissions or for the results obtained from use of such information.

Direct Marketing Educational Foundation (DMEF) Academic Data

  • Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalogue and non-profit database marketing businesses are available through DMEF to approved academic researchers for use within academic situations.
  • Corporate names are anonymous and customer names and addresses have been removed, but the business type is indicated. ZIP codes have been retained (if possible) to provide a potential link to Census ZIP level demographics
    Dow Jones Averages & Total Return Indexes
  • The Dow Jones Averages are comprised of The Daily and Monthly Dow Jones Composite (DJA), as well as The Dow Jones Industrial (DJI), The Dow Jones Transportation (DJT), The Dow Jones Utility (DJU), The Dow 10, and The Dow 5. The Dow Jones Industrial Average, the best known U.S. stock index, and the Dow Jones Transportation Average, the oldest U.S. stock index were created by Charles Henry Dow, co-founder of Dow Jones & Company, and maintained and reviewed by the editors of The Wall Street Journal. Dow Jones Indexes is the source of Dow Jones information and the provider of this data.
  • The Dow Jones Total Return Indexes are introduced by Dow Jones Indexes as part of the Dow Jones Total Market Index Series. The Total Return Indexes account for reinvested dividends. Data for the Total Return Indexes is available after 1987.

Federal Deposit Insurance Corporation (FDIC)

  • The Federal Deposit Insurance Corporation (FDIC) datasets contains historical financial data for all entities filing the Report of Condition and Income (Call Report) and some savings institutions filing the OTS Thrift Financial Report (TFR). These entities include commercial banks, savings banks, or savings and loans.
  • FDIC files include details on structure and merger history, financial time series and ratios, plus complex derived integers data.
    Fama - French Portfolios and Factors
  • The Fama-French Portfolios 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.
  • The Pastor-Stambaugh Liquidity series are described by L. Pastor and R. F. Stambaugh in "Liquidity risk and expected stock returns" (2003, Journal of Political Economy 111, 642-685). This set includes 'non-traded' and 'traded' liquidity factors, with the latter series derived from dividing common stocks (in the CRSP monthly stocks file data) into 10 groups based on each stock's sensitivity to the 'non-traded' liquidity innovation factor (as described in the paper).
  • The Sadka Liquidity measures are described in R. Sadka in "Momentum and Post-Earnings- Announcement Drift Anomailes: The Role of Liquidity Risk" (Journal of Financial Economics 80, 309-349). The measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.
  • Fama-French Portfolios and Factors
  • The Fama-French Portfolios 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.
  • The Pastor-Stambaugh Liquidity series are described by L. Pastor and R. F. Stambaugh in "Liquidity risk and expected stock returns" (2003, Journal of Political Economy 111, 642-685). This set includes 'non-traded' and 'traded' liquidity factors, with the latter series derived from dividing common stocks (in the CRSP monthly stocks file data) into 10 groups based on each stock's sensitivity to the 'non-traded' liquidity innovation factor (as described in the paper).
  • The Sadka Liquidity measures are described in R. Sadka in "Momentum and Post-Earnings- Announcement Drift Anomailes: The Role of Liquidity Risk" (Journal of Financial Economics 80, 309-349). The measures are non-traded, market-wide, undiversifiable risk factors. Price impact is separated into permanent (variable) and transitory (fixed) price effects.

Federal Reserve Bank Reports

  • The Federal Reserve Bank Reports in WRDS contain three databases collected from Federal Reserve Banks: two of them come from Reports published from the Federal Reserve Board; the other one comes from the Federal Reserve Bank of Philadelphia.
  • Foreign Exchange Rates (Federal Reserve Board's H.10 Report). The WRDS FX database is based upon the Federal Reserve Board's H.10 release and contains Foreign Exchange rates for over 30 world currencies and trade-weighted indices. WRDS carries all of these FX rates in currency units per U.S. dollar (e.g. yen/$ and a few are also available in "inverted form" (e.g. $/pound).
  • Interest Rates (Federal Reserve Board's H.15 Report). The WRDS RATES database is based upon the Federal Reserve Board's H.15 release that contains selected interest rates for U.S. Treasuries and private money market and capital market instruments. All rates are reported in annual terms. Daily figures are for Business days and Monthly figures are averages of Business days unless otherwise noted.
  • FRB-Philadelphia State Indexes. A set of coincident indexes for the 50 states has been developed at the Federal Reserve Bank of Philadelphia, based on a national coincident index methodology developed by James Stock and Mark Watson. For details and documentation on the development of the state indexes, see Theodore Crone, "Consistent Economic Indexes for the 50 States" Federal Reserve Bank of Philadelphia, Working Paper 02-7, May 2002.

Philadelphia Stock Exchange (PHLX)

  • 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.
  • The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options and 100 currency pairs. On the equity floor, PHLX's PACE (Philadelphia Automated Communication and Execution) system was one of the first automated equity trading systems on any exchange.
  • The PHLX's Semiconductor Sector (SOX) Index Option has become one of the most actively traded sector index options offered by any exchange and serves as a widely quoted benchmark of the high-tech industry. Additionally, the Oil Service Sector (OSX) is the industry's most successful new sector index option. Furthermore, the PHLX's Gold/Silver Sector (XAU), KBW Bank Sector (BKX) and Utility Sector (UTY) are established in a highly competitive environment of other indices as leading industry indicators.
  • In perhaps one of the most important innovations since listed currency options themselves, the PHLX has created a unique market structure for the trading of currency options. Titled the United Currency Options Market (UCOM), it provides unprecedented flexibility and the availability of both standardized and customized currency options. Customized currency options offer choice of expiration date, strike (exercise) price, premium payment and any combination of 10 currencies currently available for a total of 100 possible currency pairs.

Penn World Tables

  • 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).

RiskMetrics

  • RiskMetrics (through ISS Governance Services) is a leader in corporate governance data. IRRC was initially the data provider for WRDS. IRRC, however, was acquired by ISS in 2005. This acquisition did not initially affect the data provided through WRDS, but that changed in 2007 when RiskMetrics changed the methodology to collect data to follow ISS specifications. Also, the new methodology does not collect all the variables needed to create the Governance Index (GIndex).
  • As a consequence, beginning with data for 2007, WRDS keeps the old IRRC-methodology data (Legacy version) separated from the GCQ type of data.
  • RiskMetrics delivers to data for the new methodology to WRDS in four datasets identified as: RiskMetrics Group Historical Governance, Historical Directors data, Voting Results data, and Shareholder Proposal data.
  • The Governance Legacy set, formerly known as the IRRC Takeover Defense database, was an important element in the article:
  • Gompers, Paul A., Andrew Metrick, and Joy L. Ishii, Corporate Governance and Equity Prices, The Quarterly Journal of Economics 118(1), February 2003.
  • The Directors Data includes a range of variables related to individual board directors (e.g., name, age, tenure, gender, committee memberships, independence classification, primary employer and title, number of other public company boards serving on, shares owned, etc.). This data collection began in 1996 and is updated annually. The current universe is the S&P 1500 companies, which has continued since 1996, although in earlier years the data was captured for a few hundred additional large-cap companies as well.
  • Voting Results Data, including (for years 1997 through 2006) all governance shareholder proposals and all non-routine management proposals (i.e., excluding director election and auditor ratification) for which we obtained vote results. This company universe includes all S&P 1,500 companies (as well as approximately 400-500 additional widely held companies in some years), generally covering between 900 and 1,200 companies each year (approximately 2,000+ proposals captured each year). This data set will NOT be further updated at this time.
  • Shareholder Proposal Data (governance and social responsibility) from 1997 through 2007. This includes proposals that came to a vote as well as those that did not (e.g., because they were withdrawn by the proponent or allowed to be omitted from the proxy by the SEC). Variables include the lead filer of the proposal, the meeting date, and outcome; some fields are not complete every year for every company, but the vast majority of meeting dates are present. This data set will be updated each year.

SEC-mandated Disclosure of Order Execution Statistics

  • On November 15, 2000, the SEC adopted new rules aimed at improving public disclosure of order execution and routing practices. As a result of Rule 11Ac1-5, market centers that trade national market system securities must make monthly, electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis, including how market orders of various sizes are executed relative to the public quotes and information about effective spreads - the spreads actually paid by investors whose orders are routed to a particular market center. In addition, market centers must disclose the extent to which they provide executions at prices better than the public quotes to investors using limit orders.
  • Data is available on WRDS through 2005, and is no longer updated.

OTC Corporate Bond Transaction Data (TRACE)

  • FINRA is the Financial Industry Regulatory Authority, a non-governmental regulator of the entire securities industry. It was formed in the summer of 2007 from the NYSE and the NASD.
  • TRACE - Trade Reporting and Compliance Engine is FINRA's over-the-counter (OTC) corporate bond market real-time price dissemination service. Bringing transparency to the corporate bond market, it helps create a level playing field for all market participants by providing comprehensive, real-time access to corporate bond price information.
  • Introduced in July of 2002, TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.
  • The TRACE Historical Time and Sales data is available through WRDS. The information collected and disseminated for all publicly traded corporate bonds by TRACE includes the time of execution, price, yield, and volume.

Online access to via WRDS requires you to apply your own username and password via http://wrds.wharton.upenn.edu

Please use your Monash email address or the application will be rejected.