1. Research databases at KU Leuven: Compustat and Audit Analytics 1

2. WRDS Overview Single and flexible source to extract data from leading research databases –Variety of disciplines: Accounting, Finance, Economics, Banking… –Standardized queries: Every database webpage has the same format: query + variable documentation + list of manuals, overviews, & research applications –Easy data linking: e.g. Compustat and Audit Analytics Internet-based platform with multiple access options –Web queries: compatible with various browsers and operating systems Standardized, easy-to-use, point-and-click interface, unlimited downloads (~ 2GB size limit per query) Easy variable and company name searches, and other tools –PC SAS CONNECT remote libraries Full-time research and technical support –Online help (variable definitions, data sources, equations, manuals, tutorials, sample programs, FAQs), email support, and 24/7 network monitoring –Data Overviews, Research Applications, Knowledge Base

3. How do I log in to WRDS? WRDS is available at http://wrds-web.wharton.upenn.edu http://wrds-web.wharton.upenn.edu

4. What is available in WRDS?

5. What are our current subscriptions? AuditAnalytics AuditAnalytics provides detailed audit information on over 1,200 accounting firms and 15,000 publicly registered companies. Know auditing details and fees paid for specific services. Create reports by auditor, fees, location, and industry. 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. 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.

6. 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 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. Compustat North America - Compustat North America is a database of U.S. and Canadian fundamental and market information on active and inactive publicly held companies. - It provides more than 300 annual and 100 quarterly Income Statement, Balance Sheet, Statement of Cash Flows, and supplemental data items. - It is available in both annual and quarterly formats. For most companies, annual history is available back to 1950 and quarterly history back to 1962 with monthly market history back to 1962. What are our current subscriptions?

7. Compustat Bank Bank fundamentals on both quarterly and annually basis. Execucomp - Annual/Deferred/Director Compensation - Long term incentive awards - Outstanding equity awards - Pension benefits - Stock option grants CUSIP Master File 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. Direct Marketing Educational Foundation (DMEF): Four individual data sets, each containing customer buying history for about 100,000 customers of nationally known catalog and non- profit database marketing businesses are available through DMEF to approved academic researchers for use within academic situations. What are our current subscriptions?

8. 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 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. 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. - The Pastor-Stambaugh Liquidity series - The Sadka Liquidity What are our current subscriptions?

9. Federal Deposit Insurance Corporation (FDIC) It 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. Federal Reserve Bank Reports The Federal Reserve Bank Reports in WRDS contain three databases collected from Federal Reserve Banks: Foreign Exchange Rates, Interest Rates (Federal Reserve Board’s H.15 Report), and FRB-Philadelphia State Indexes. What are our current subscriptions?

10. 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. Philadelphia Stock Exchange (PHLX) 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. What are our current subscriptions?

11. SEC-mandated Disclosure of Order Execution Statistics 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. What are our current subscriptions?

12. Compustat: Accounting and Financial Data Compustat North-America Compustat Global Compustat Bank Execucomp

13. 1. Compustat North America US and Canadian active and inactive publicly listed companies Coverage: –> 300 annual and 100 quarterly accounting data items –For North-American companies, Compustat is the most comprehensive database in the world Structure: –Fundamental data available on annual and quarterly frequencies with thousands of Income Statement, Balance sheet, Statement of Cash Flow and supplemental data –Market data available on monthly and daily frequencies with prices, dividends, returns, trading volume, shares outstanding and short-term interest infomation. –Specific industry data (airlines, gaming, homebuilding, healthcare, lodging, mining, oil & gas, retail) –Index prices Look for Fundamentals Annual or Fundamentals Quarterly in Compustat North America

14. 2. Compustat Global Coverage: –Non-US and Non-Canadian publicly listed companies –Fundamentals and market data for up to 90% of the world's total market capitalization except North America, from 1987 until now Structure: –Fundamental data available on annual and quarterly frequencies with thousands of Income Statement, Balance sheet, Statement of Cash Flow and supplemental data –Market data available on daily frequencies with prices, dividends, returns, trading volume, shares outstanding and short-term interest infomation. –Index prices –NOTE: Coverage is not is big as in Worldscope Look for Fundamentals Annual or Fundamentals Quarterly in Compustat Global

15. 3. Execucomp Coverage: –Compensation data on the top officers for the S&P 1500 Index –Annual data from 1992 on the top 5 highest compensated officers –Summary compensation data for executives and directors Content: –Annual Compensation: provides annual data on executives’ compensation (restricted stock and option awards, exercises, and previously granted awards that are still outstanding). –Director Compensation: This section is similar to Annual Compensation, except that Director Compensation provides data on directors. Also, Director Compensation has less data-items available. –Pension Benefits: This database provides some variables on the pensions of executives. The data is available for 2006 onwards. –Plan Based Award: Similar to Pension Benefits, but it provides data on rewards other than pensions. –Selected key financial metrics for each company

16. 4. Compustat Bank Compustat Industrial Annually and Quarterly represent both industrial companies and banks, where the banks financials are represented as Industrial statements. In addition to the information available on banks in Industrial, one can supplement with Compustat Bank annually, which features bank related items on the balance sheet and income statement. Other WRDS database: Bank Regulatory  contains five databases for regulated depository financial institutions. The source of the data comes from the required regulatory forms filed for supervising purposes.

17. Compustat: company identifiers GVKEY: can be used to track a company over time, while the company name, cusip or ticker may change SMBL: is usually the ticker symbol of the company’s stock. It can be assigned to different companies and may change over time  unreliable way to identify companies over time and in different databases CUSIP: is a nine-character alphanumeric identifier assigned to individual financial assets. As a rule, the first six characters of the CUSIP can be identified with a company (CNUM); the next two characters (the seventh and eighth) identify a particular asset (e.g., a class of stock or a bond issue) issued by the company; and the ninth digit is a "check digit" to improve the accuracy of electronic transmission of CUSIPs. CIK: The Central Index Key (CIK) is used on the SEC's computer systems to identify corporations and individual people who have filed disclosure with the SEC.

18. Data Download Step 1: Choose a date range

19. Data Download Step 2: How to search the data? 1. For a specific firm or a limited set of firms

20. Data Download Step 2: How to search the data?

21. 1. For a specific firm or a limited set of firms Data Download Step 2: How to search the data?

22. 2. For a list of firms in a txt file Data Download Step 2: How to search the data?

23. 3. For all firms in the dataset Data Download Step 2: How to search the data?

24. Data Download Step 3: Choose variables Different types of data: -Identifying Information about the firm

25. Data Download Step 3: choose variables Different types of data: - selected data items

26. Data Download Step 4: Download the data

27. What can you find in Audit Analytics? A wide variety of Audit, Compliance, Corporate & Legal data from SEC disclosures and public filings –Tracking SEC Registrants –Unique Data Sets Many Audit Analytics data sets include historical information back to 2000 Timely updates (daily for event based data sets) Use of standard IDs (CIKS, Tickers, SIC, NAICS…) –Easy to use online interface - Easy to link to compustat using CIK, but be aware of differences in fiscal year classifications between compustat and AA!

28. 1) Audit & compliance module –Auditor changes (2000 to present) –Auditor engagements (2000 to present) –Auditor fees (2000 to present) –Audit opinions (2000 to present) –Section 404 internal controls (2004 to present) –Section 302 disclosure controls (2002 to present) –Financial restatements (2000 to present) Audit Analytics analysis of the reason for restatement Is the restatement a quality or technical issue? Does the restatement have a positive or negative effect on the financial statements? –Director and officer changes (2004 to present) What can you find in Audit Analytics?

29. 2)Corporate & legal module SEC comment letters –Legal Case And Legal Parties –IPO –Bankruptcy Notification –SEC Comment Letters –Tax Footnotes –Shareholder Activism What can you find in Audit Analytics?

30. How to Get Support? Research and Technical Support Online Help: http://wrds-web.wharton.upenn.edu/wrds/support/index.cfm –Database Manuals plus additional support documentation –Data manuals and overviews: “Vendor manuals & WRDS overviews” –Research Applications e.g. Portfolio Construction, Event Studies –Sample Programs: e.g. Merging CRSP and Compustat –Research macros e.g. Winsorize –PC SAS-Connect e.g. download data using SAS WRDS Knowledge Base: FAQ archive of answers to common questions http://wrds.wharton.upenn.edu/cgi-bin/mywrds/knowledgebase.cgi e.g. How to find IPO datahttp://wrds.wharton.upenn.edu/cgi-bin/mywrds/knowledgebase.cgi Contact support by email: Researchers and Technical Experts ready to assist with: –Data extraction, merging, and management. –Programming and technical problems –Other research concerns

31. How to Get Support? Research and Technical Support

32. Where can I find this presentation?! http://bib.kuleuven.be/ebib/zoeken-in-onze- collecties/handleidingen