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

Transcription

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

2 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 3

3 Important Links Overview on available financial databases on the homepage of the Chair of Corporate Finance Similar (but better) overview on the library s homepage (includes direct access to AMADEUS) General overview on electronic media 4

4 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 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: 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) 5

5 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 6

6 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 , Nov 95 GENERAL MOTORS CORP , Nov 95 GENERAL MOTORS CORP ,1154 7

7 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). 8

8 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 9

9 CRSP Adjustment for stock splits Factors to adjust prices and shares outstanding for stock splits Adjusted price = PRC / CFACPR Adjusted shares outstanding = SHROUT * CFACSHR 10

10 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) 11

11 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 12