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Posted: 11 May 2016 07:35 AM   [ Ignore ]
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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.

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Posted: 11 May 2016 07:55 AM   [ Ignore ]   [ # 1 ]
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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

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Posted: 12 May 2016 03:04 AM   [ Ignore ]   [ # 2 ]
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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

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Posted: 12 May 2016 06:26 AM   [ Ignore ]   [ # 3 ]
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hi,

You’re welcome smile

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

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Posted: 14 May 2016 04:56 AM   [ Ignore ]   [ # 4 ]
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Hi Joost

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

Thanks in advance,

l3lackJ4ck

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Posted: 14 May 2016 07:54 PM   [ Ignore ]   [ # 5 ]
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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 smile

Best,

Joost

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Posted: 15 May 2016 07:12 AM   [ Ignore ]   [ # 6 ]
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Hi Joost

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

Best,
l3lackJ4ck

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Posted: 15 May 2016 07:47 AM   [ Ignore ]   [ # 7 ]
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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

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Joost

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