Hello,
I’m new to WRDS and have some questions:
1. For my research I need the following variables: Return, S&P-Rating, monthly analysts’ recommendation, size, Book-to-Market and Momentum from 1993 to 2013. Is there a way to get all these variables with a single data download, or do I have to use the different services. All the variables in t should be matched with the return in t+1.
2. In which Databases can I find book-to-market and size data?
3. If there is no way to download all the data in one download, how can I match the tables? Or in another question: Is there a way to use my table from CRSP to get the Compustat data?
4. Is there a way to get the average analysts’ recommendation (Buy, Hold, Sell) at the end of the month? AFAIK are the datapoints not at the end.

Thanks in advance for your help.

Hi,

1. The web download allows you to download one dataset at a time, so that means separate downloads for each and match them ‘locally’ (on your machine)
2. Compustat: BTM = ceq / (csho * prcc_f), size = csho * prcc_f
3. Use the CCM Linktable
4. IBES has summary tables (dated monthly on the Thursday following the 2nd Friday of the month), and detail tables; you can use the detail tables to measure at specific points in time (in your case end of month).

Lots of work! Good luck!

Joost

Hi,
Thank you very much for your answer. I have two further questions:

1. Is there only a Linktable for SAS? This is very important because I intended to use R.
2. Is there a Way to get data from Compustat, CRSP and I/B/E/S with a Lag of one time-period?

Thanks in advance

hi,

You’re welcome

1. I use Stat Transfer to convert between various formats; if you don’t have SAS installed, you can use SSH to login on WRDS to run a small proc export to convert into csv, or other formats
2. Creating lagged values you do with SAS/R/Stata, etc

Best,

Joost

Hi Joost

Thanks for the answer. I hope that this is my last question.
Is there monthly data for ceq?

Thanks in advance,

l3lackJ4ck

Funda has ceq and is based on the annual report; Fundq is based on the quarterly report (has ceqq). There are no monthly financial statements

Best,

Joost

Hi Joost

Sorry but I got one more. In which database do I have access to the momentum factor?

Best,
l3lackJ4ck

hi,

Use variable search to find variables: https://wrds-web.wharton.upenn.edu/wrds/search/variableSearch.cfm

Momentum is in:
FF: FACTORS_DAILY umd Num 8 Momentum /wrds/ff/sasdata
FF: FACTORS_MONTHLY umd Num 8 Momentum Factor /wrds/ff/sasdata

Best,

Joost