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FINDING AND USING FINANCIAL DATA AT PRINCETON UNIVERSITY
To match equities from databases (CRSP, Compustat, Datastream, Execucomp, NYSE TAQ, SDC), see the Matching Guide. For hints on finding specific items in these databases as well as additional sources, see the Economics and Finance FAQ.
I. Major Sources
Datastream International.*: Datastream International contains up to date as well as historical international data on stocks, indices, bonds, commodities, futures, options, earning forecasts (IBES), economic conditions, interest rates, exchange rates, and economic forecasts. Minimum frequency is daily for financial information. Data is derived from national governments, central banks, the International Monetary Fund, OECD, major investment houses, stock exchanges, and Datastream's own researchers. Available in SSRC and Stokes Library.
Global Insight (formerly DRI University Program)* Daily data for interest rates, government bond yields, commodity prices, exchange rates, select futures and options, and monthly data for economic indicators.
Wharton Research Data Service* Wharton Research Data Service (WRDS) is an interface to various financial and economic databases including Compustat, CRSP, IBES, TAQ, and Philadephia Stock Exchange Currency Options. Requires user to validate through password (request may take up to 48 hours and is for academic purposes at Princeton University only; undergraduates should request a research assistant account and list your adviser as your faculty member).
Global Financial Data Data on bonds, commodities, interest rates, stock markets and indices, futures, exchange rates, GDP, prices, and unemployment. World exchange rates back to 1624, inflation rates back to 1748, and wholesale prices back to 1720. Major commodities going back to 1784. Some annual series go back to the 1200s. Methodology and sources are documented. Stock market indices go back to 1693. Also included are data on stock market capitalization, dividend yields, price/earnings ratios, total return performance indices, and Global Financial Data's World Stock Market Indices.
Bloomberg* contains up to date as well as historical (though generally not before 1989) international data on stocks, preferred stock, indices, bonds (corporate, governmental, and municipal), commodities, futures, options, exchange rates, mortgages, and money market instruments. Frequency varies but is typically daily for financial information and in some cases intradaily. Intradaily data is typically kept from 30 to 90 days only. Available in SSRC. Tips for using Bloomberg .
Thomson One Banker* Web version of several SDC databases (VenturXpert, Mergers and Acquisitions, Global New Issues) and most recent years of Thomson Ownership Data.
Handbook of World Stock, Derivative and Commodity Exchanges.
1994, 1997-
HG4551.H319q (Current edition on SSRC Ready Reference)
Provides a country by country listing of exchanges. Gives a brief history and other pertinent information.
II. Stocks
a. Data
Datastream is our most comprehensive source for current international stock prices. Select emerging market stocks may also be found in the Emerging Markets Database. Stock index data can also be found on Global Financial Data. Bloomberg is useful for pink sheet stocks and smaller markets. Links to international stock exchanges, can be found at http://firestone.princeton.edu/econlib/intlex.html. For a guide to Datastream coverage of stock indices, see http://firestone.princeton.edu/econlib/ds/indices.html#cover1. The following sources also provide stock data.
CRSP. *: CRSP contains daily and monthly trading data back to 1925 on stocks trading on the NYSE, AMEX, and NASDAQ exchanges. The data includes closing price, shares outstanding, and return for the stock. Also includes index level data. Available through WRDS (see section I). Updated quarterly.
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CRSP Tips:
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CRSP reports prices as they were traded (not adjusted for splits). Holding returns are adjusted however. To adjust prices for a long time series comparison, the best variable to use is the cumulative factor (query item: CFAPR-- Cumulative Factor to Adjust Price) that WRDS computes from the factors CRSP provides for a particular trading day or month. Use this formula: PRC_SPLITADJ = PRC/ CFACPR
Dividends can be adjusted the same way. For shares, use CFACSHR as the cumulative factor. (In most cases, the two cumulative factors are the same, but not always.)
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For the latest data, see quarterly updates at the bottom of the CRSP screen.
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CRSP also contains information on betas. To access this data, go to CRSP --> Indices --> Portfolio Assignment. Under Step One, choose the appropriate year-end assignment beta decile. Under Step Four, choose BETAV and Date.
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Prc is the closing price or the negative bid/ask average for a trading day. If the closing price is not available on 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. Please note that in this field the negative sign is a symbol and that the value of the bid/ask average is not negative.
Emerging Markets Database*: The EMDB, from S&P/COMPUSTAT, is a compilation of emerging market information. It covers 60 markets and more than 3,000 stocks. Included are market performance, indicators, market capitalization, monthly value traded, local stock market price indexes, prices in local currency and US dollars, etc. In addition, this database includes two series of indexes, the S&P Global (S&P/IFCG) Index (which represents stock market performance without taking into account restrictions on foreign investors) and the IFC Investible (IFCI) index series (which reflects new opportunities for investment since the mid-1980s). These indexes are calculated for prices and returns. Depending on the country, annual coverage starts as early as 1975, while monthly coverage starts in 1986. There are 35 Major Emerging Markets (countries) and they include: Argentina, Bahrain, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Israel, Jordan, Korea, Malaysia, Mexico, Morocco, Nigeria, Oman, Pakistan, Peru, Philippines, Poland, Portugal, Russia, Saudi Arabia, Slovakia, South Africa, Sri Lanka, Taiwan, Thailand, Turkey, Venezuela, and Zimbabwe. There are 20 Frontier Emerging Markets (countries) and they include: Bangladesh, Botswana, Bulgaria, Cote d'Ivoire, Croatia, Ecuador, Estonia, Ghana, Jamaica, Kenya, Latvia, Lebanon, Lithuania, Mauritius, Namibia, Romania, Slovenia, Trin. & Tobago, Tunisia, and Ukraine. Daily data covers the period from June 30, 1995 to present. Monthly data covers the periods from December 1975 to present for Major Market (countries) and from January 1996 to present for Frontier Markets (countries). Available through WRDS (see Section I). The print counterpart which has additional qualitative information is Global Stock Markets Factbook. Princeton holdings begin in 1989. HG4551.E43 (Current edition on SSRC Ready Reference). This is supplemented by Emerging stock markets review : performance, valuations, and constituents of IFC daily index markets. Princeton holdings begin in April 2006. HG5993.E572 (current issues in SSRC).
NYSE TAQ* : NYSE TAQ provides tick data for equities traded on the New York Stock Exchange, American Stock Exchange, and NASDAQ. Data for 1993 to the present is available through WRDS (see Section I). Additional data for the NYSE and AMEX is available for 1983-1992 and for the NASDAQ for 1987-1992 through ISSM which is also found on WRDS (see Section I).
NYSE Short Sales*. January 2005 - July 6, 2007 is available through WRDS (see Section I). July 2007 - December 2008 is available locally.
NASDAQ Trade and Quote Database*: NASTRAQ provides intraday trades and quotes for all stocks traded on the NASDAQ. Trades, inside quotes, and dealer quotes are provided for January 1999 to the present. One is able to view the actual market in which the trade was made. Available on WRDS (see Section I).
CSMAR China Stock Market Trading Database*. Consists of 2 parts: (1) China Stock Market Trading Database which provides data on stocks returns, market return, and aggregated market returns. Provides comparable closing prices adjusted for effects on share prices due to rights offering, cash dividend, stock dividend, etc. Data Interval: From December 19, 1990 (for Shanghai A Share); From February 21, 1992 (for Shanghai B Share); From July 3, 1991 (for Shenzhen A Share); From February 28, 1992 (for Shenzhen B Share). (2) CSMAR China Stock Market Financial Database Annual, Quarterly, and Interim Reports which contains the financial data on report of all A share companies in general industry since 1990. Available on WRDS (see Section I). For the most up to date data, see the native interface.
Russell Index Constituents* (Princeton University Only)
Contains constituent lists for the Russell 1000, 2000, and 3000 indexes from 1983-2001. The variables include ticker symbol, company name, and market capitalization. The files are EXCEL spreadsheets.
S&P 500 Constituents* (accessed through CRSP on WRDS)
CRSP created a PERMNO-based historical list of S&P 500 constituents as part of their Indices product. It can be extracted using the CRSPAccess stk_print utility (using the /g16 option, see the CRSPAccess manual for details). A SAS dataset can be found at /wrds/crsp/sasdata/msp500list.sas7bdat. The daily SP500 version is dsp500list. (The S&P 500 started later as a daily published index. It has the same members as the monthly for the overlapping date range, and for most purposes the dsp500list can be safely ignored even if you are interested in daily data.) Please note that this list does not show exactly 500 members at any point in time. The index had only 90 members until March 1957 and S &P does not always remove a delisted security from the list immediately. For more detail on the CRSP S&P 500 members list, see the CRSP Data Definitions Guide in CRSP Index Methodologies under "CRSP Indices for the S&P Universe".
Domini Social 400 Constituents* (Inception through November 7, 2008) (Princeton University only)
S & P History Files: S & P Industry Groups by Date 500* (Princeton University Only)
This Excel format file CD contains a list of stocks that have made up the S&P 500 and its industry groups from January 1990 to 2002; S&P Midcap 400 from July 1991 to 2002; and S&P Smallcap 600 from January 1994 to 2002. DSS Study 2473
Fama-French Research 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 . Available on WRDS (see Section I).
When needing the original, unadjusted prices of stocks the following sources are useful:
Daily Stock Price Record. New York Stock Exchange. New York:
Standard & Poor's, 1962-2003.
HG4915.I23
Daily Stock Price Record. American Stock Exchange.
New York: Standard & Poor's, 1962-2003.
HG4915.I22
Daily Stock Price Record. NASDAQ.
New York: Standard & Poor's, 1993-2003.
HG4915.S665
continues:
Daily Stock Price Record. Over-the-Counter.
New York: Standard & Poor's, 1973-1992.
HG4915.S665
b. Guides for Stock Research
Warfield, Gerald. The Investor's Guide to Stock Quotations and other financial listings.
New York: Perennial Library, 1990.
(SSRC) HG4636.W28 1990
Detailed descriptions are provided for reading stock, bond, mutual fund, options, and futures quotes.
Ticker Symbol Book.
New York: McGraw-Hill, 1999.
(SSRC)HG4513.5.T53
Provides securities by ticker and company name for stocks on the New York Stock Exchange, NASDAQ, and American Stock Exchange.
Directory of Obsolete Securities
Jersey City, NJ: Financial Information Incorporated, 2005.
(SSRC) HG4961.D56 2005 Each issue is cumulative and contains a brief profile of banks and companies whose original identities have been lost as a result of one or more of the following actions: change in name, merger, acquisition, dissolution, reorganization, bankruptcy, or charter cancellation. Coverage begins in 1926. Each company listing indicates how the company became obsolete, the new name of the company (if any), and the date the action occurred. When possible, an indication is made if the stock still has some value.
Jarrell, Howard R. Common Stock Newspaper Abbreviations and Trading Symbols.
Metuchen, NJ: Scarecrow Press, 1989, 1991.
(SSRC) HG4636.J37 1989, HG4636.J37 1989 Suppl. 1
Guide to abbreviations and ticker symbols of common stock.
International Guide to Securities Market Indices.
Chicago: Fitzroy Dearborn, 1996.
(SSRC) HG4636.S544 1996
Unlike other directories, that focus on stock exchanges, this one concentrates on indices. Provides a country by country listing of stock market indices. Gives background information, computational methodology, underlying instruments, basic data. Includes indexes for bonds, money market instruments, commodities, convertible securities, mutual funds, closed end funds, and real estate.
III. Fundamental Data
Many web sites provide fundamental data through annual reports and official documents. Princeton also has many directories in print, some dating back over a century. In addition to limited fundamental data, found on Datastream International, the following sources also provide fundamental data. For China, also see CSMAR China Stock Market Trading Database.
Compustat. *: Use Compustat to find detailed fundamental data for companies trading on all of the major United States exchanges. Special files are available that contain Canadian data and bank specific data. Data date back to 1950. Available through WRDS (see section I). For more on Compustat, see http://firestone.princeton.edu/econlib/compustat.htm.
Compustat Global. *: Compustat Global contains detailed fundamental data for major companies trading on international exchanges. Special files are available that contain financial services data, currency translations, and market data. Annual data date back to 1987 . Available through WRDS (see section I)
Orbis. *: Orbis contains financial information on 51 million companies globally including private companies.
Osiris. *: Osiris contains financial information on globally listed public companies from over 120 countries. The combined industrial company dataset contains standardized and as reported financials, including restated accounts, for up to 20 years on over 52,000 companies. The bank financials offer up to 8 years of financial data for more than 2,300 listed banks. Insurance company financials, collected from annual reports and the NAIC, cover up to 9 years of data on over 440 listed insurance companies. OSIRIS strives to cover all publicly listed companies worldwide. In addition, it covers major non-listed companies when they are primary subsidiaries of publicly listed companies. Ownership data is also provided. Also available through WRDS (see section I).
Amadeus. *: Amadeus is a pan-European financial database containing information on approximately 9.8 million companies from 41 countries, including all the EU countries and Eastern Europe. Up to 10 years of detailed information (consolidated statements are also provided when available) comprising 22 balance sheet items, 24 profit and loss account items and 25 ratios. The descriptive information includes: official national identification number, address, telephone, fax, website, legal form, year of incorporation, senior managers, auditors, number of employees, quoted/unquoted indicator, industry and activity codes and, when available, a trade description in the local language and English. Also available through WRDS (see section I).
Bankscope. *: Bankscope includes data on over 28,600 (13,600 US) banks around the world including: 16 years of detailed accounts (country specific "as reported" and standardized), ratios, ratings and rating reports, ownership, country risk and country finance reports. Also available through WRDS (see section I).
Compact D/ SEC (Disclosure SEC): presents 10 years of data reported to the Securities Exchange Commission. Covers public U.S. companies only. The compact disk can be obtained at the SSRC desk and can be used on the financial services terminals. Disks from December 1993-July 2006. Ceased. Available in SSRC.
BusinessUSA: (1996, 1998, 2001, 2002): Contains information on approximately 10 million businesses in the USA. Includes private companies and branches. DSS Study Number 5109.
Factiva: Factiva (formerly Dow Jones Interactive) contains company/industry comparisons, financial reports, and profiles.
LEXIS-NEXIS Academic: Includes SEC Filings and many local and national directories. International information is extremely limited.
Compact D Worldscope: presents up to 10 years of fundamental data for major international companies. Searchable by company name, country, exchange, or fundamental items. The compact disk can be obtained at the SSRC desk and can be used on the financial services terminals. Same software as Disclosure SEC. Disks from January 1993-2006. Ceased
Mergent Webreports: collection of Moody's/Mergent Manuals. 1909+. (Bank & Finance, Industrial, International, Public Utitility, Transportation, Over the Counter Industrial, Over the Counter Unlisted).
Hoover's. Profiles on over 28 million public and private companies.
Value Line Investment Survey: provides investment analysis for U.S. publicly trade companies, industries, the economy, options, mutual funds, and convertibles. Older issues are available in paper, microfiche, or microfilm depending on the years (check the Main Catalog).
Ward's Business Directory of U.S. Private and Public Companies. Princeton's holdings are located under various call numbers in Firestone. From 1994+, under call number HG4057.A575. For 1981: (Oversize) HG4057.A52 1981q; 1984: HG4057.A52 and HG4057.A53; 1985: HG4057.A2 W37; 1987-1988: HG4057.A522, HG4057.A532, HG4057.A533; 2003+ also available electronically.
IV. Corporate Change and Ownership
Global New Issues*: Allows detailed searches on Initial and Secondary Public Offerings. Domestic issues from 1970 to the present. International coverage is mixed. In both cases, the last 30 days are excluded. Also available in SSRC through the SDC interface.
Mergers and Acquisitions*: Allows detailed searches on mergers and acquisitions. Domestic coverage is from 1979 to present; international coverage from 1985 to the present. In both cases, the most recent 30 days are excluded. All corporate transactions involving at least 5% of the ownership of a company where the transaction was valued at $1 million or more (after 1992, deals of any value are covered) or where the value of the transaction was undisclosed are included. Public and private transactions are covered. Transactions include: mergers & acquisitions, tender offers, stock swaps, spinoffs & splitoffs, recapitalizations, stake purchases, bankruptcy liquidations, FDIC sales of failed banks, asset sales & divestitures, rumored & seeking buyer, and leveraged buyout transactions. Also available in SSRC through the SDC interface. For mergers and acquisitions outside the USA also see OSIRIS.
Database on Mergers in Europe (DOME): Public domain database on mergers in Europe. It is based on the merger cases, which have been under examination by the European Commission since 1990. Its current version consists of 1,515 cases notified until December 31, 2000.
Corporate Restructurings*: Allows detailed searches on bankruptcies and exchange offers for the United States. Limited coverage starts in 1980 with full details beginning in 1988. Available in SSRC on SDC.
Bankruptcy Yearbook and Almanac.
Boston: New Generation Research, 1991-.
KF1507.5.B36 (current volume in SSRC)
Listings and analysis of bankruptcy data, statistics, and trends. Primarily United States coverage but limited international coverage is included.
For more bankruptcy sources, see the Economics and Finance FAQ.
Thomson Financial Ownership Data * (formerly CDA Spectrum).
Consists of 3 parts: (1) mutual fund holdings 1980+ for US & Canadian Securities: All registered mutual funds filing with the SEC plus 3,000 global funds. Includes NYSE/AMEX/NASDAQ, Toronto and Montreal common stocks; (2) institutional 13(f) common stock holdings and transactions 1980+; (3) insider filing data 1986+ divided into the following major parts: (a) Table 1 -- transaction and holdings information, (b) Table 2 -- open market derivatives transactions as well as information on the award, exercise, and expiration of stock options (this files starts in 1996), (c) Proposed Sale data derived from Form 144 (this file starts in 1996), (d) Average Returns file contains the information relating to how a stock has historically performed following an insider's transactions. The file includes average 3-month and 6-month buy and sell returns as well as the number of historic buy and sell decisions for each individual insider. For ownership data outside the USA and Canada, see OSIRIS.
CSMAR Shareholders*. Includes profiles, annual emolument and number of shareholdings of managerial staffs of Chinese listed companies, changes of equity structure, changes of board chairman and general manager of listed companies and shareholders’ meetings of listed companies, as well as executive equity incentives of listed companies. 2003+
V. Earnings Forecasts
I/B/E/S*: I/B/E/S has international earnings forecasts dating back to 1971. Aggregate access is through Datastream International or the Wharton Research Data Service. Datastream holds the Historical and Current Summary databases from I/B/E/S. I/B/E/S provides information on over 17,000 companies in 47 countries. More then 6,500 financial analysts representing over 750 institutions continually contribute earnings expectational data to I/B/E/S. I/B/E/S Current Summary data on Datastream is updated on a weekly basis, the Historical Database is updated on a monthly basis. Includes Global Aggregates a tool for forecasts of 47 countries and major international indices. In addition to summary data, WRDS (see Section I) contains analyst by analyst data. In addition to needing a WRDS password, user must submit a request to I/B/E/S for using the data (available from the WRDS homepage).
VI. Mutual Funds
Mutual fund WEB sites can be found at http://firestone.princeton.edu/econlib/mufnds.html. Datastream treats closed-end mutual funds as regular stocks. Price data (Net Asset Value) for open-end mutual funds data can be found on Datastream. Holdings of mutual funds can be found using the Thomson Financial Ownership Data ( CDA Spectrum) files (see Section IV). The following sources provide detailed mutual funds data and information. Bloomberg also has data on both open end and closed end mutual funds. Value Line also includes mutual funds.
CRSP Mutual Fund Database* CRSP Mutual Fund Database provides survivor-bias free open-ended data for funds of all investment objectives including stock funds, taxable and municipal bond funds, international funds, and money market funds. The database records each mutual fund's name and organizational history for open-ended mutual funds from January 1, 1962. Available through WRDS (see Section I).
Mutual Fund Links*: The MFLINKS tables provide a reliable means to join CRSP Mutual Fund data that covers mutual fund performance, expenses, and related information to equity holdings data in the Thompson Financial Ownership Data. Allows a researcher to gather detail on holdings for either particular funds or fund families and groups of funds at specific points in time. Available through WRDS (see Section I).
Morningstar Direct*: Includes international open-ended and closed-end mutual funds; hedge funds, exchange traded funds, UK pension funds, variable annuities, variable life, and insurance product funds. Available in SSRC. Morningstar Direct and the CDs require passwords and codes. 1990+
Morningstar Principia Mutual Funds: provides quantitative as well as evaluative information on mutual funds. Available on CD in SSRC. Each disk must be installed separately. An example of using Morningstar can be found at http://www.princeton.edu/~bordelon/MS/morning.html. 1992+
Morningstar Principia Closed End Funds: provides quantitative as well as evaluative information on closed-end funds. Available on CD in SSRC. Each disk must be installed separately. 1997+
CSMAR Open-end Funds*. Comprises basic information of funds, net assets value of funds, entitlement data of funds, finance data of funds, trading information of funds and rate of returns of funds for Chinese open-ended mutual funds from 1998 to the present. Available through WRDS (see Section I). For the most up to date data, see the native interface.
CSMAR Closed-end Funds*. Covers details of Chinese close-end funds since 2000. For the most up to date data, see the native interface.
Standard and Poor's NetAdvantage. Screening tools and profile of mutual funds and exchange traded funds. Click on Mutual Funds/ETFs once in the database.
VII. Options
Links to options and LEAPS web sites can be found at http://firestone.princeton.edu/econlib/options.html. Datastream has select options data from the following countries and exchanges: Austria (OTOB), France (MATIF, Euronext.liffe), Germany (EUREX), Netherlands (Euronext.liffe), Switzerland (EUREX), U.K. (Euronext.liffe), and United States (AMEX, CBOE, CBOT, CME & PHLX). There is no equity options data in Datastream for the United States. Datastream is constantly expanding coverage, so always check HELP TOCD? for the latest coverage. In addition to Datastream International and Bloomberg, the following sources also provide options data. Value Line also includes options.
Ivy DB Optionmetrics*.
Use Ivy DB Optionmetrics to find historical prices of options and their associated underlying instruments, implied volatilities, and option sensitivities. Contains data on all US exchange-listed and NASDAQ equities and market indices, as well as all US listed index and equity options, starting from January 1996. Available through WRDS (see section I).
Berkeley Options Database*: Berkeley Options Database has a historical record of trades and quotes, time-stamped to the nearest second, for all standardized contracts traded on the Chicago Board Options Exchange. The data base was derived from the CBOE's Market Data Retrieval tapes. Princeton's holdings are 1987-1995. The series ceased in 1995.
Prophet Stock and Index Options*
DSS Study 5013
Daily options data for United States equities, index and futures options from November 1995 to 2002. Provides all reported activity on puts and calls for all listed index and equity options that had trading volume. Includes the open, high, low, close, volume, and open interest for all strikes and series. Documentation can be found at http://firestone.princeton.edu/econlib/Prophet.htm.
Currency Options* (Philadelphia Stock Exchange): Currency Options Philadelphia Stock Exchange provides tick prices for currency options traded on the Philadelphia Stock Exchange from 1983 to 1997. Available indirectly through WRDS (see Section I).
VIII. Commodities
In addition to Global Financial Database, Datastream International, Bloomberg, and Global Insight the following also provide commodities data.
Commodity Price Statistics Commodity Price Statistics from UNCTAD provides annual pricing data from 1960 to the present for various commodities often specific to a place.
CRB Commodity Yearbook: covers the various commodities of the world. Provides data as well as commentary. CD included on inside back cover of book. HF1041.C73. Latest volume is on SSRC Ready Reference. Also see the CRB Encyclopedia of Commodity and Financial Prices (SSRC Ready Reference HF1041.C72) which provides deep historical coverage.
IX. Futures
Datastream currently has futures data from the following countries: Australia, Austria, Belgium, Brazil, Canada, Denmark, France, Germany, Hong Kong, Hungary, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Russia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, UK, and the United States. Datastream is constantly expanding coverage, so always check HELP FUT? for the latest coverage. Bloomberg also has futures data. Futures WEB sites can be found at http://firestone.princeton.edu/econlib/futs.html.
Tick-by-tick Intraday Data*: provides intraday futures data on currencies, equity indexes, grains, metals, interest rates, energy commodities, foods, fibers, and meats. Compact disk which must be used on SSRC Workstation 10 can be found at SSRC Desk under DSS Study number 2344. Available Series. Beginning dates differ. Updated monthly.
X. Bonds.
For United States government bonds and treasury bills, the easiest way to obtain interest rates is through the Federal Reserve. Bloomberg has many individual corporate and governmental bonds and bond indices. Also see web sites with bond information.
Fixed Investment Securities Database* Produced by Mergent, Inc. Provides issue detail on over 140,000 Corporate, Corporate MTN (Medium Term Note), Supranational, U.S. Agency and U.S. Treasury debt securities since 1995. Specific issue information available: Full call, put and sinking fund schedules, plus call frequency codes, Structured security flags and detailed information, Updated Fitch, Moody's and S&P credit ratings, U.S. Treasury auction information, Convertible debt information, Underwriters, trustees and fiscal agents, Unit deals and warrant information. Specific issuer information available: Industry code, S.I.C. code and N.A.I.C.S. code, Stock ticker and exchange listings, Issuer name and parent relationships, Bankruptcy detail. Available through WRDS (see Section I). Codebook located at (DSS)HG4650.F59 2003
Standard & Poor's Credit Ratings Express*. Provides a history of short and long term commercial credit and corporate bond ratings at both the issuer/entity and issue/instrument levels. This set also includes Credit Watch and Credit Outlook information. The issuer ratings data starts in 1923 and covers more than 20,000 public and private firms. In addition, information for more than 200,000 distinct credit instruments starts in 1969. Available through WRDS (see section I).
Lehman Live*. Major source for the fixed income markets. Includes data as well as research and reports. Each user must register for an account. Email the Finance Librarian your name, email (must be @princeton.edu), telephone number, status (junior, senior, faculty, PhD, etc.). Restricted to academic purposes only.
GovPX*. GovPX provides treasury benchmark intraday prices for all active and off-the-run Treasury issues. Available from 1991 to the present with access to key data elements such as high, low, open, work-ups, volume, and more.
Available through WRDS (see section I).
TRACE* (Trade Reporting and Compliance Engine) NASD's over-thecounter (OTC) corporate bond market real-time price dissemination service. 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 information collected and disseminated for all publicly traded corporate bonds by TRACE includes the time of execution, price, yield, and volume. Available through WRDS (see section I).
Datastream* divides its bonds into two sections: bonds coming directly from a country and those covered by other organizations. The following countries have direct bond information: Australia, Austria, Belgium, Canada, Czech Republic, Denmark, Finland, France, Germany, Ireland, Israel, Italy, Japan, Luxembourg, Malaysia, Netherlands, New Zealand, Norway, Portugal, Russia, Singapore, Slovakia, South Africa, Spain, Sweden, Switzerland, United Kingdom, and the United States. Datastream also obtains data from organizations such as JP Morgan, Lehman Brothers, Merrill Lynch, and Societe Generale. Brady bonds and credit default swaps are included. Select corporate as well as governmental bonds (included under interest rates) are included.
CRSP* includes United States governmental bonds (daily and monthly frequency) back to 1925. Available through WRDS (see section I). Updated annually.
Global Insight* covers governmental bonds and many international bond indexes.
Global Public Finance *: Consists of several databases: (1) U.S. New Issues: All negotiated, competitively bid and privately placed U.S. municipal new issues. In addition, a forward calendar of new issues coming to market is available. 1966+ (2) Non U.S. New Issues: Sub sovereign public finance new issues offered worldwide, excluding the U.S. and Canada. 1963+ (3) Muni Profiles. All municipal entities, inclusive of the top 5000 issuers ranked by principal amount(4) Refunding Candidates. All outstanding maturities with a coupon of 5% or higher. Non-callable issues and issues previously refunded, escrowed to maturity, in default, or with a par value of less than $1 million are excluded.Maturities are deleted weekly as they fail to meet the criteria for inclusion. New issues are addressed quarterly. (1957+) Available on SDC Platinum in SSRC.
Mergent Bond Record provides Moody's bond data on municipals, corporate bonds, government bonds, international bonds, convertibles, and various short term instruments. Includes charts for rating revisions, maturities, and redemptions.
HG4905.M765 (July 2000+; current issues next to (SSRC) HG4651.M66). For 1984-June 2000, see Film S00785.
Annual Bond Record contains a summary of corporate and municipal bond rating activity plus preferred stocks.
(SSRC) HG4651.M66
Standard & Poor's Bond Guide provides summary data including ratings for American corporate bonds (company as a whole as well as individual issues) and select foreign bonds and convertibles. Also contains a change in ratings summary.
Microfiche 984 (1984-2001)
HG4921.S8 (1971-1983; 2002-2007. Continued in
Standard and Poor's NetAdvantage.
Standard and Poor's NetAdvantage. Screening tools and profile of bonds. Click on Companies and then either use the Bond Screener on the left OR under Select Publications choose Bond Reports.
XI. Hedge Funds.
In addition to Morningstar Direct, the following also have data on hedge funds.
Datastream (Type "Help SI?" on the command line and choose option 23) has index level data on hedge funds.
Bloomberg (Type HFND and hit GO) has both index level and specific fund data.
CISDM Hedge Fund Data* provides information about hedge funds, Commodity Trading Advisors (CTAs), Commodity Pool Operators (CPOs) and managed futures; summarized investment strategy and style; historical monthly returns; net asset value; assets under management; leverage; minimum initial investment; fee structure. Select data back to 1972.
Lipper HedgeWorld Annual Guide. Annual Compendium of Hedge funds information.
(SSRC) HG4530.H434 (2003+)
XII. Venture Capital and Private Equity.
Venture Financings*: Securities Data Company's database allows detailed searches on venture capital. While the scope is international, foreign coverage is select. The United States market is well covered. Coverage is from 1970 to the present. Also available in SSRC through the SDC interface.
Capital IQ*. Information on over 60,000 public companies, 685,000 private companies, 10,600 private capital firms, 312,000 transactions, and 1,000,000 professionals worldwide. Coverage begins in 1994 for public data; 1998 for United States private equity data and 2000 for international private equity data.
Venture Capital & Private Equity Yearbook
(SSRC) HG4751.V4679q (2004+)
National Venture Capital Assocation Yearbook
HG4961.N382 (Current edition in SSRC) (2006+)
XIII. Real Estate and Real Estate Investment Trusts.
Datastream has index level data on real estate investment trusts. Type "Help SI?" on the command line and choose option 9. Global Insight includes real estate and construction data in several modules including forecast data in the US Regional module. The U.S. Regional module of Global Insight has metro level real estate real estate data. EIU City Data has office and residential rent prices for major cities around the world.
Global Financial Data. Global Financial Data has partnered with Winans International to offer historical real estate data. Included are the Winans International U.S. Real Estate Index™, which tracks the price of new homes back to 1830. In addition to the WIREI, Winans International has developed numerous other real estate statistics going back to the 1960s including regional real estate price indices, national and regional average and median home prices, and national and regional new home sales and listings. Further information may be obtained using the Search Engine. Choose “Real Estate Market Data” under Data Series Type in the Filter Search.
CRSP/Ziman real estate data series*: CRSP/Ziman Real Estate Data Series includes all real estate investment trusts (REITs) that have traded on the NYSE, AMEX and NASDAQ exchanges since 1980; contains series of indices based on all REITs and subsets of REITs based on REIT type and property type; contains underlying individual security information for the indices; includes qualitative measures important for evaluating information in thinly populated index series; and identifies changes in REIT status for the universe of publicly-traded REITs. Note: -66, -77, -88, and -99 represent missing values. Also available through WRDS. See Section I.
Mortgage Market Statistical Annual
(SSRC) HG4655.M64 (2007+)
Mortgage Yearbook (First Half 2008)
(SSRC) HG2040.5.U6 M677
XIV. Corporate Governance.
Board Analyst*: Available through WRDS (see Section I). Annual historical data for each proxy year beginning in 2001. Information includes: corporate board structure and independence , director positions and committee assignments, executive and director compensation, audit fees, corporate ownership, and takeover defenses. Includes over 2,100 U.S. companies and over 38,000 directors.
Riskmetrics. Governance and Directors Data*: Formerly Investor Responsibility Research Center). Available through WRDS (see Section I). Governance data includes provisions for delays, protection, voting, antigreenmail, pension parachutes, poison pills, silver parachutes, and state laws. Based on the print publication Corporate takeover defenses (HD2746.5.C6745) survey years 1990, 1993, 1995, 1998, 2000, 2002, 2004, 2006. Directors data includes information on the characteristics of Boards of Directors for 1996-2006.
KLD Research and Analytics*. Available through WRDS (see Section I). Leading authority on socially conscious investment research. 1991+. Includes company rankings on investment involving social issues regarding the environment, gay and lesbian policies, community, charitable giving, corporate governance, diversity, employee relations, human rights issues in specific nations, products, alcohol, firearms, gambling, military involvement, and tobacco. For the constituents of the DS400 (inception through November 7, 2008) see the DSS page.
SharkRepellent.Net* SharkRepellent.Net provides in-depth research on US public companies' takeover defense strategies. Research covering charter and bylaw provisions, poison pill provisions, and state takeover statutes. Searching on over 200 takeover defense data points. For wider downloading capabilities, please contact the economics librarian.
CSMAR Corporate Governance*. Provides profiles, annual emolument and number of shareholdings of managerial staffs of China listed companies, changes of equity structure, changes of board chairman and general manager of listed companies and shareholders’ meetings of listed companies, as well as executive equity incentives of listed companies. 1999+.
IBISWorld. Detailed reports of the United States industries up to the 5 digit NAICS code.
Global Insight. Includes market research on the automotive industry, energy, health care and pharmaceuticals, and telecommunications.
EIU Consumer Goods. 5 year forecasts and news analysis for the international consumer goods industry.
EIU Energy. 5 year forecasts and news analysis for the international energy industry.
EIU Food and Drinks. 5 year forecasts and news analysis for the international food and drinks industry.
EIU Healthcare. 5 year forecasts and news analysis for the international healthcare industry.
*Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.
Also consult the FAQ. Many print directories and financial analysis tools are housed in the Pliny Fisk Collection. The Data and Statistical Services homepage and the Economics and Finance Library homepage may also offer additional sources.
Last modified April 27, 2009
Todd Hines and Bobray Bordelon
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