Introduction to CRSP and Computstat via WRDS

In this post we will explore how we can use Compustat and CRSP databases both together and separately to find company accounts and market information.

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Contents

1. Using Compustat to find accounts data for one company
2. Using Compustat to find accounts data for a few companies
3. Using CRSP to find market data for a list of many companies
4. Using CRSP to find market data for all companies matching a filter
5. Further support

Introduction

Wharton Research Data Services or WRDS (sometimes pronounced ‘wards’) is a platform of financial databases. It is developed by researchers, for researchers, and is widely used and well respected. It contains several databases which are subscribed to individually. It is easy to search and provides support for bulk download of data. Some of the databases have global coverage but many are limited to specific markets, mostly North America. See our help page for details on how to access WRDS.

This guide features two databases available with WRDS:

• CRSP —covers price data for US-listed companies
• Compustat — covers accounts data; it is separated into a database covering North America and a ‘Global’ database covering everywhere else

There is also the CRSP-Compustat Merged database called CCM; we will not cover CCM here, instead we will follow a series of increasingly demanding examples using Compustat then CRSP. This post will help you to:

• understand how to use these databases, and
• gain confidence working with data.

Note: The order of these activities is important. We will create and edit text files, CSV files and Excel files in some activities which we will then use in later ones. We suggest you start here, then work through all the parts.

Part 1. Using Compustat to find accounts data for one company

We will start by using Compustat North America database to look up one company, search for accounts data, then download that data to a comma-delimited/separated values (CSV) file.

In Part 1 we will:

1. See the overall process of running an Compustat query
2. Navigate to the ‘Compustat Daily Updates — Fundamentals Annual’ page
3. Download Apple’s total revenue 2012–2017

Introduction to CRSP and Computstat via WRDS: Part 1

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Part 2. Using Compustat to find accounts data for a few companies

In the remainder of this post, we will be running queries on multiple companies at a time. WRDS is designed for efficient, bulk study and there are several ways we can specify which companies to include in a query. We will see all of these approaches in the rest of this post:

• Select each company one-by-one
• Upload a list of many companies
• Search entire database, except conditions

In Part 2, we will:

1. Look up three companies in Compustat: Apple, Dr Pepper Snapple and Microsoft (similar to the process above)
2. Download revenue data and save to a CSV file
3. Carefully open the CSV file to preserve the correct CUSIP codes
4. Prepare a new list of company codes to use in CRSP

Introduction to CRSP and Computstat via WRDS: Part 2

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Part 3. Using CRSP to find market data for a list of many companies

We will now move on to looking at the CRSP database. We will provide a list of three companies, search for some market data then download that data to a CSV file.

In Part 3 we will look at:

1. Navigating to the ‘CRSP Daily Stock’ page
2. Downloading daily price data for a list of companies from CRSP
3. Documentation of variables

Introduction to CRSP and Computstat via WRDS: Part 3

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Part 4. Using CRSP to find market data for all companies matching a filter

We will continue to look at the CRSP database. We will not provide the selection of companies; instead, we will search the entire CRSP database and filter it to only return companies matching a chosen criteria. Again, we will search for some market data then download that data to a CSV file.

In Part 4 we will look at:

1. What is the conditional statement builder?
2. Downloading daily price data for all companies matching a criteria from CRSP

Introduction to CRSP and Computstat via WRDS: Part 4

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Further support

• Specialist Library Support — workshops and online tutorials

See also our previously asked questions featuring WRDS on Library Help, including:

• Where can I find help using Wharton Research Data Services (WRDS)?
• How can I get access to Wharton Research Data Services (WRDS)?
• How do I access WRDS via Python?
• How do I access WRDS via SAS?

The first question above includes details of the help offered by WRDS themselves, such as their guide to Understanding Identifiers, and their support desk.

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