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TRANSCRIPT
10/22/2011
New Products and Research Appl icat ions
Denys Glushkov, Rabih Moussawi and Luis Palacios
WRDS SEC Analytics Suite
Today’s Session
Over the next 45 minutes
• Research Applications & Macros
• WRDS SEC Analytics Suite
• New TAQ Datasets that makes research
easy
• Capital IQ Database. Point-in-time. More
US Coverage. More Variables. Global.
• Analyst Data.
• International data. Factset.
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New Research Tools:
Research Applications & Macros
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New Research Tools at WRDS
Research Applications: Example for Fama-French Factors
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New Research Tools at WRDS
Fama-French Factors. Replication. Comparison.
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New Research Tools at WRDS
Research Applications: Example for „Return Gap‟
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New Research Tools at WRDS
SAS Macros
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… Macros are Easy to Invoke. One Line.
%ICLINK (IBESID=IBES.ID,CRSPID=CRSP.STOCKNAMES,OUTSET=WORK.ICLINK); %CRSPMERGE(S=, START=, END=, SFVARS=, SEVARS=, FILTERS=, OUTSET=); %EVTSTUDY(INSET=,OUTSET=,ID=,EVTDATE=,ESTPER=,START=,END=,GAP=,GROUP=,MODEL=);
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…Macros are Documented. Not Black Boxes.
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…More Research Tools and Documentation
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• Sample Codes
• SAS Notes
• Research Guides
• Data Overviews
Where all these Tools are located?
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WRDS SEC Analytics Suite
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Introducing the WRDS SEC Analytics Suite Centralized storage & parsing of SEC filing contents
• More than 11 million records of electronic filings with the
SEC since 1994.
• Over 3.6 million text and HTML files available on the
WRDS server for all 10-K, 10-Q, 8-K, Proxy filings, 13D/G
and 13F reports since 1994
• Datasets for over 2 million 8-K events/items and 7 million
filing exhibits
• Link data together with the help of the historical GVKEY,
CUSIP and CIK link tables
• Easy access to pre-parsed data including confirmed
period of report, time of filings, historical state of
incorporation and more
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Records of all electronic filings on EDGAR SEC filings continue to grow every year
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11,335,071 filings in SEC‟s EDGAR
since 1994 and until October 21, 2011
Updated everyday at 6am
Insider filings on EDGAR (41%):
- Forms 3, 4, and 5
- SOX new rules on August 27, 2002
- Electronic filing on June 30, 2003
All 11+ Million Filings Records:
Identify Who filed What and When
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Example of the available and ready-to-use parsed content
Going Private Transactions
• Extract the list of all Going
Private transactions that used
Form SC 13E3
• SC 13E3: reduce the number of
shareholders to fewer than 300 to
stop filing reports with the SEC
Use Web Query conditional statement
Form = SC 13E3
Use SAS Code: data SC13E3;
set sec.forms;
where form like 'SC 13E3%';
• Output: 9,446 filings for 1,977
distinct companies since 1994
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Definition:
CIK is the company identifier,
FORM is the form type,
FDATE is the filing date, and
FNAME is the filing reference name
Yesterday‟s Insider Filings
• Corporate Insiders are the company‟s officers (executives), directors, and any beneficial owners of more than 10% of any class of equity stock.
• Forms 3, 4, and 5 are used to report ALL stock and option transactions by corporate insiders within two business days:
Form 3 is for initial filing.
Form 4 is for all transactions or changes in ownership.
Form 5 is for the annual statement of change in ownership.
• On June 30, 2003, electronic submission of insiders‟ filings was mandated
• On October 21, 2011, 585 insider filings were reported to the SEC
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3 4 5
# of Filings 68 515 2
# of Companies 64 401 2
Proxy Contests
Notation of Proxy Reports: e.g. DEF 14A, PREM14A, DEFC14A, DEFS14A, etc. • Suffix: 14A vs. 14C
Schedule “14A” is for proxy materials
Schedule “14C” contains information statement
• Prefixes: PRE/DEF prefix denotes whether the filing is Preliminary or Definitive, then • Empty space is used between Prefix and Suffix for regular proxy materials. Otherwise:
M is used for proxy materials relating to a merger or acquisition
C prefix is for reports in connection with contested solicitation
N prefix denotes proxy materials when filed by non-management
S prefix is used in proxy materials for special meetings
R is used for revised proxy materials
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Replicate the proxy fight sample in Fos (2011): The
Disciplinary Effects of Proxy Contests.
Use WRDS SEC to get the complete set of companies
that faced proxy contests (fights) since 1994.
Compare WRDS SEC proxy fights sample (left) with Fos
(2011) Figure 1.
Fos (2011): The Disciplinary Effects of Proxy Contests – Fig 1
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Tender Offers
• Get the list of all tender offer related filings for all companies that faced
tender offers since 1994
• Schedule TO corresponds to Form SC TO: o Form SC TO-I: Tender offer statement by Issuer
o Form SC TO-T: Tender offer statement by Third Party
o Form SC TO-C - Written communication relating to an issuer or third party
• Number of Tender Offer Filings with the SEC since 1994: 39,548
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as of 08/31/2011 SC TO-I SC TO-T SC TO-C
Original Filings 4,915 3,555 5,625
Amendments 8,863 16,590
Total 13,778 20,145
SEC Filings on WRDS
Explore the different types of SEC filings
• Filings archive updated weekly. Accessible by SAS, Perl or
Python, and stored in /wrds/sec/archives/
o 10-K and 10-Q: Annual and interim reports
o 8-K: Current reports
o DEF 14A and PRE 14A: definitive and preliminary proxy
statements
o 13F, 13D, and 13G: Institutional and beneficial ownership
reports
o UPLOAD and CORRESP: Comment letters from SEC staff
o CT ORDER: Confidential treatment orders
• SAS datasets in /wrds/sec/sasdata/ with parsed contents:
o Filing size, fiscal year end
o Date and Time Report of SEC Acceptance (Available after
May 2002)
o Confirmed Period of Report including Fiscal Period End
for 10-K and 10-Q, Event Date for 8-K, and Meeting Date
for proxy filings
o Historical state of incorporation and headquarters
o Historical as-reported SIC code
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SEC Filings Archive in WRDS SEC Platform
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Filing
Year
10-K Filings 10-Q
Filings
8-K Filings Proxy
Filings
13D
Filings
13G
Filings
13F
Filings
CT
Order
SEC Comment
Letters
All /A All /A All /A All /A All /A All /A All /A SEC Filers
1994 2,657 24% 7,592 8% 4,202 9% 3,742 17% 2,339 71% 8,580 61% 220 4% 0 0 0
1995 4,780 25% 17,753 11% 7,164 11% 6,283 9% 5,409 74% 13,949 66% 282 13% 0 0 0
1996 10,793 22% 36,099 9% 18,000 12% 11,462 10% 12,318 63% 20,536 67% 265 9% 0 0 0
1997 18,034 20% 41,475 7% 27,490 11% 15,673 8% 18,615 59% 38,541 54% 284 14% 0 0 0
1998 17,932 18% 41,697 7% 31,436 10% 15,564 8% 17,727 62% 47,438 53% 369 14% 0 0 0
1999 17,852 17% 42,582 8% 31,348 9% 15,400 8% 16,614 62% 44,145 58% 7,035 8% 0 0 0
2000 18,717 15% 47,101 7% 33,116 9% 16,543 11% 16,523 62% 44,135 56% 10,282 8% 0 0 0
2001 18,882 16% 45,175 7% 38,948 7% 15,764 12% 15,409 64% 42,322 57% 11,277 9% 0 0 0
2002 18,415 17% 42,929 8% 48,759 7% 14,957 12% 15,217 65% 39,333 66% 11,508 10% 0 0 0
2003 17,426 18% 39,289 8% 71,556 5% 14,312 14% 15,506 65% 38,504 65% 11,939 10% 0 0 1
2004 17,455 18% 38,404 8% 95,680 4% 15,069 19% 15,179 67% 39,609 62% 12,732 11% 0 633 874
2005 18,707 19% 39,224 10% 121,918 5% 15,730 19% 14,969 66% 42,956 58% 13,730 9% 0 8,728 8610
2006 17,657 17% 38,629 9% 111,438 4% 18,087 28% 16,011 65% 48,567 59% 15,154 10% 0 13,160 11424
2007 16,958 15% 37,649 7% 105,896 4% 18,232 32% 16,837 67% 53,501 60% 16,597 9% 0 12,129 11003
2008 16,953 18% 36,523 6% 94,530 4% 16,328 28% 15,709 69% 55,881 60% 18,542 10% 1,097 12,858 9798
2009 14,628 17% 33,545 7% 85,182 4% 17,348 30% 13,670 72% 50,558 67% 17,661 7% 1,494 14,712 12991
2010 13,295 17% 31,775 7% 83,485 4% 15,188 33% 12,936 70% 44,062 66% 17,802 7% 1,592 15,017 13779
2011 8,410 8% 3,729 16% 24,267 4% 5,606 30% 4,035 67% 34,141 71% 5,223 8% 394 1,392 1200
Total 269,551 621,170 1,034,415 251,288 951,781 170,902 4,577 78,629 69,680
Parsing Poison Pill Data using WRDS Query
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Keep in the output
companies with no
matches (ie. no
poison pills)
Enter up to
5 strings to
match in
filings
contents
Test first with
one month or
subset of
companies
Choose forms
to use in
parsing
exercise
Matched Text
Selection Output
Parsing Poison Pill Output
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Live Link to Actual Filing Line # Matches Meeting Date
Flexible Query Options
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Example: Microsoft Corp recent 10-K
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7,407,190 Exhibits
since 1994
Exhibits Data
• All exhibits that are filed as separate documents in 10-K, 10-K, 8-K, and proxies
• Info about exhibit number, type, description, and exhibit filename • More than 1.74 million filings with > 7.4 million exhibits
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0%
20%
40%
60%
10-K 10-K/A 10-KSB &/A 10-K405 &/A NT 10-K
10-K Types (for 10-K filers with GVKEY)
• <picture from parsed exhibits>
Examples of Filing Exhibits
Ex. 21 – List of Subsidiaries: Proxy for Special
Purpose Vehicles following Feng, Gramlich, and
Gupta (2009, AR forthcoming)
Ex. 13 – ARS; Ex. 3 – Charter& Bylaws; Ex. 23 –
Consents; Ex. 31,32 – Certifications, Legal
Opinions, etc.
Ex. 10 – Material Contracts and Agreements: the
nature of the contract, whether the firm has
requested confidential treatment, and the filing
in which the material contract was disclosed.
SEC requires each firm to maintain an exhibit
list of all unexpired material coNtracts That The
Firm Has Entered Into In The Past Year (Item
14 Of 10-K)
Ex. 99 – Additional Exhibits Not Specifically
Indicated By Another Number
Ex. 101 – Attached Documents For Submitted
XBRL Information
SAS: TYPE Like '%-101%‘;
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Filing time information in WRDS SEC platform
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Intraday Returns around Late Filing Announcements
• Shows how fast are investors reacting to late 10-K filings announcements
• Companies have to disclose their inability to file the report timely and the reason for the delay, for 10-K
and 10-Q filings: typically a bad news.
• Form 12b-25 generates a NT10-K or NT10-Q late filing reports. Late filing notices should be filed within
one business day of the due date
o Keep NT10-K NT10-Q reports between 10:30 a.m. and 3:00 p.m.
o Compute 30mn intraday returns using TAQ trades
o Line-up all the intraday returns before and after filing time
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Average 30-minute Interval Returns
Time period ALL 2003 2004 2005 2006 2007 2008 2009 2010
[-60,-31]mn 0.11% 0.62% 0.25% 0.00% -0.10% 0.05% -0.58% 0.65% 0.55%
[-30,-1]mn -0.02% 0.17% -0.36% -0.08% -0.14% 0.25% -0.10% -0.12% -0.37%
Filing Time -0.09% -0.32% 0.18% -0.10% -0.30% -0.37% 0.03% -1.01% 0.32%
[31,60]mn -0.03% -0.21% -0.26% -0.05% -0.15% -0.13% -0.22% 0.95% -0.22%
[61,90]mn 0.08% 0.50% -0.43% -0.13% -0.04% -0.22% 0.07% 0.25% 0.44%
[91,120]mn 0.10% 0.02% 0.48% 0.04% 0.19% 0.09% -0.09% 0.52% 0.14%
8-K Items: notify shareholders and the SEC of material information or major
unscheduled events -- Example: Valeant Pharma‟s 8-K
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New 8-K Item
starting in
March 2010
2,016,879 Corporate
Events that triggered
8-K filings since 1994
Time of Filing or SEC
Acceptance Time
8-K Items after August 23, 2004
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8-K Item # Form 8-K Item Description Records %
1.01 Entry into a Material Definitive Agreement 132,718 9.50%
1.02 Termination of a Material Definitive Agreement 11,883 0.85%
1.03 Bankruptcy or Receivership 2,000 0.14%
2.01 Completion of Acquisition or Disposition of Assets 21,921 1.57%
2.02 Results of Operations and Financial Condition 154,787 11.07%
2.03 Creation of Off-Balance Sheet Arrangement 33,496 2.40%
2.04 Accelerating Financial Obligation or Off-Balance Sheet 2,730 0.20%
2.05 Cost Associated with Exit or Disposal Activities 4,210 0.30%
2.06 Material Impairments 2,511 0.18%
3.01 Delisting 9,083 0.65%
3.02 Unregistered Sales of Equity Securities 29,029 2.08%
3.03 Material Modifications to Rights of Security Holders 7,042 0.50%
4.01 Changes in Registrant's Certifying Accountant 15,693 1.12%
4.02 Non-Reliance or a Related Audit Report 5,578 0.40%
5.01 Changes in Control of Registrant 6,513 0.47%
5.02 Departure of Directors or Certain Officers 116,949 8.37%
5.03 Amendments to Articles of Incorporation or Bylaws 21,609 1.55%
5.04 Temporary Suspension of Trading 820 0.06%
5.05 Amendments to the Registrant's Code of Ethics 1,285 0.09%
5.06 Change in Shell Company Status 1,524 0.11%
5.07 Submission of Matters to a Vote of Security Holders 9,912 0.71%
6.01 ABS Informational and Computational Material 148 0.01%
6.02 Change of Servicer or Trustee 504 0.04%
6.03 Change in Credit Enhancement or Other External Support 35 0.00%
6.04 Failure to Make a Required Distribution 39 0.00%
6.05 Securities Act Updating Disclosure 49 0.00%
7.01 Regulation FD Disclosure 99,257 7.10%
8.01 Other Events 190,233 13.61%
9.01 Financial Statements and Exhibits 516,149 36.93%
Total 1,397,707
M&A
8-K Items before August 23, 2004
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8-K Item # Form 8-K Item Description Number of
Records % of 8-K Records
1 Changes in control of registrant 18,733 3.11%
2 Acquisition or disposition of assets 36,023 5.98%
3 Bankruptcy or receivership 3,326 0.55%
4 Changes in registrant's certifying accountant 17,862 2.96%
5 Other events 212,403 35.26%
6 Resignations of registrant's directors 2,931 0.49%
7 Financial statements and exhibits 247,502 41.08%
8 Change in fiscal year 1,942 0.32%
9 Regulation FD Disclosure 37,270 6.19%
10 Amendments to the Registrant's Code of Ethics 82 0.01%
11 Temporary Suspension of Trading 209 0.03%
12 Results of Operations and Financial Condition 24,188 4.01%
13 Receipt of an Attorney's Written Notice 5 0.00%
Total 602,476
Advanced Access using WRDS Server
• Take advantage of local storage of filings and
index datasets with PC-SAS or UNIX-SAS
• Use PERL or SAS regular expression
capabilities to parse thousands of filings and
build custom-tailored data sets in one step
• WRDS Research Macros are standardized
and well-documented SAS programs that can
be modified and invoked in one line
• Effective, transparent and extensible SAS
codes, including:
o LineParse: Line-by-Line parser that
preserves tabular format.
o TextParse: Parses out the match line
& a pre-specified number of preceding
characters.
o ParaParse: Extracts a paragraph with
pre-specified number of lines around a
string.
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„Fraud‟ or „Irregularities‟ Related Bankruptcies /* Macro Example: Parse Bankruptcy Related 8-K’s – Total of 5,277 Filings */ data parse_input; /* 1. Use WFORMS, WFORMS2, EXHIBITS, ITEMS8K, or ITEMS8K2 as inputs */ set SEC.ITEMS8K2; /* 2. Define Your Sample: All bankruptcies */ where NITEM in ('3','1.03') and FSIZE>0; /* 3. Create a Variable with Physical Filing Link */ FNAME2 = cats("/wrds/sec/archives/",FNAME); run; /* 4. Define Match Strings, Tags, or Patterns */ %let string = fraud|irregularities; /* 5. Execute Macro */ %lineparse(inset=parse_input,outset=parse_output,fname_full=fname2,tstr=&string);
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Introducing CIK link tables
• CIK link tables are datasets that map CIK to all historical company legal
names, CUSIP numbers, and other identification information
o WCIKLINK_NAMES lists of all company names for a given CIK
o WCIKLINK_CUSIP maps a CIK to all CUSIPs that appear in a
company‟s filings
o WCIKLINK_GVKEY maps between GVKEY and „Historical‟ CIKs
• Helps retain historical records for companies that are undergoing
restructuring and who are more likely to change their CIK filing number
o Essential tool for when you want to track all historical filings for public
companies
o Researchers use GVKEY-CIK historical maps to avoid selection and
survivorship bias concerns
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Example: K-Mart Historical GVKEY-CIK Map
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Expediting Microstructure Research
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New TAQ Datasets
• Provide Daily TAQ feed with Millisecond timestamps
• Quote datasets are growing exponentially in size due to algorithmic trading and continuous changes to the prevailing quote.
o 1 year of data in 1993: 11GB
o 1 year of data in 2010: 9,475GB (851 X)
• WRDS decided to generate New Datasets of the following:
o NBBO Quotes at the end of each second for all stocks
o Merged Trades/Quotes Datasets: for each trade add the prevailing NBBO quote information at second -5, -2, -1, and 0, relative to the trade time
• WRDS will provide the SAS codes for:
o NBBO Quote generation macro
o Lee and Ready (1991) algorithm
o Daily Buy/Sell Imbalances
o Matching TAQ Symbol to CRSP Permno
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NBBO Research Application • Regulation NMS – National Market System: calculate National Inside Quote from valid
quotes across various exchanges: Best Bid (BB), Best Offer (BO), Size at BB, Size at BO
• Quote Rule: http://www.sec.gov/answers/trdexbd.htm o best price at which a market maker is willing to trade
o a prevailing quote of an exchange is the most recent valid quote from that
exchange
o every new quote by an exchange supersedes its previous prevailing quote
• NBBO calculation every second because of TAQ Monthly feed time stamp granularity
• Evaluation of accuracy of WRDS NBBO algorithm:
o Minimize the percentage of locks and crosses within an NBBO
o Maximize the percentage of Inside Trades
• SAS Code: WRDS Research Applications
o Invocation: %nbbo (yyyymmdd=20080606, outset=myfile);
• Evaluation of execution speed of WRDS NBBO algorithm SAS Macro on WRDS server
o To create a 1998 NBBO daily dataset for all Stocks: 26 seconds
o To create a 2006 NBBO daily dataset for all Stocks: 9 minutes 37 seconds
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NBBO Algorithm: SAS Code Logic
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Exchange X
AskX BidX
Exchange Y
Exchange Z
National Inside Quote Best Bid Best Offer
BB=max(Bidi) BO=min(Offeri)
AskY BidY
AskZ BidZ
BEFORE Last step: Determine Eligible prevailing quotes for
NBBO using MODE quote condition and with sizes>0
Prevailing Quotes
Tim
e
Ask’X Bid’X
Lee and Ready Research Application • Use NBBO instead of the Exchange-Specific Quote, in the Quote Test
• Do not aggregate the trades within the same second: apply quote test and tick test to
individual trades independently.
• Have for each trade the quotes at the end of:
o -5 and -2 seconds: Lee and Ready (1991) original 5 second rule, or later findings
on -2 seconds delay
o -1 second: ie. choose the
prevailing quote at the
beginning of the second during which the trade
occurred.
o 0 second: ie. choose the quote at the end of the
second during which the
trade occurred.
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In 1 second, for MSFT
- Share Volume: 599,266
- $ Volume: $16 million
Lee and Ready (1991)
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/* Decide on Quote Lag: Lee and Ready (1991) use 5-Second Rule */
/* Select Period */
%let yymmdd=20090120;
/* Lee and Ready Algorithm */
data Lee_Ready;
set TAQ.WCT_&yymmdd;
where time between "09:30:00"t and "16:00:00"t
and price>0 and size>0;
/* Apply Quote Test first */
LeeReady=sign(Price-MidPoint1);
/* Then, Apply Tick Test */
if LeeReady=0 then LeeReady=TICK;
keep symbol date time price size LeeReady;
run;
Linking TAQ and CRSP Data
• Linking without a primary identifier: Define a primary identifier, first o “TICKER SYMBOL – VINTAGE DATE” as a primary identifier
o Use CUSIP as primary linking identifier then add ticker matches
o TCLINK.SAS Macro to create TCLINK link-table between TAQ Ticker Symbols and PERMNO
• Invoke TAQ-CRSP Linking Macro in one line within code: %tclink(BEGDATE=199301,ENDDATE=201012,OUTSET=home.tclink);
• Flag matches and provide link accuracy metrics
• Efficient Coding that highlight best practices and runs on the fly (automatic
updating and low maintenance cost)
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Capital IQ - People Intelligence
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People Intelligence on WRDS
• Compensation Data for over 46,000 global companies, with PIT collection since 1998:
o Summary Compensation: 51 summary variables + executive/director characteristics
1.92+ million records for 346K+ officers and directors in 46K+ distinct companies
95% of company-year records from: US(SEC- 56%), Canadian (SEDAR), Indian, UK, Australian, European, and Chinese (&HK) filings, based on currency information. 49% of companies incorporated in the US.
o Detailed Compensation: 46 stock/option grant level variables
1.27+ million obs. for 109K+ executives in 19K+ companies
Coverage: US, Canada, Australia, UK, Euro: 79% -- India, China and HK: 17%
• Professional Affiliation and Function Data 7.6 million functions for 4.6 million Company*Person relationships for 2.55 million
persons and 478K entities
47% with Private Companies, 22% with Public Companies, 18% with Educational Institutions, and 10% with Private Investment Companies and Public Funds
• Person Data:
Person directory and biography data for 2.67 million persons
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Example: Goldman Sachs 2009 Proxy filed on 04/07/2010 http://www.sec.gov/Archives/edgar/data/886982/0001193125 -10-078005-index.htm
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PIT aspect: filing date 20100407
Point-in-Time Nature
• Each Proxy filings provides compensation for 5 executives (highest paid /
top in corporate hierarchy): this year and last 2 years compensation
numbers
• In future filings, new executives will have 2 year of compensation history
(if any), and current executives will report again their previously reported
compensation numbers
• Research applications using Point-In-Time structure: o Examine restatements/changes in reported executive compensation
o Point-In-Time compensation data items before and after FAS 123R
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Collected Summary Compensation Data
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Var # Summary Compensation Type Var # Summary Compensation Type
1 Salary 27 Director Non-Equity Incentive Plan Compensation
2 Bonus 28 Director Change in Pension Plan 3 Other Annual Compensation 29 Director All Other Compensation 4 Restricted Stock Awards 30 As Reported Total Director Compensation
5 Stock Grants 32 Unexercised Unearned Options 6 Stock Options 33 Unexercised Unearned Options Value
7 Long Term Incentive Plan 36 Number of Shares Acquired on Vesting
8 All Other Compensation 37 Value Realized on Vesting 9 Exercised Options 38 Shares or Units Not Vested
10 Exercised Options Value 39 Shares or Units Not Vested Value 11 Exercisable Options 40 Unearned Shares or Units Not Vested
12 Exercisable Options Value 41 Unearned Shares or Units Not Vested Value 13 Unexercisable Options 44 Director Stock Grants 14 Unexercisable Options Value 45 Director Stock Options
21 Option Awards 46 Estimated Payments in Event of Termination Without Cause
22 Change in Pension Plan/Non-Qualified Deferred Comp Earnings
47 Estimated Payments in Event of Change in Control
23 As Reported Total Compensation 48 Non Equity Incentive Plan Compensation 24 Director Fee 49 Unclassified Options 25 Director Stock Awards 50 Unclassified Options Value
26 Director Option Awards 51 Director Bonus
Derived Compensation Data Items
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Comp. Variable Components Comp. Variable Components
15. Total Annual Cash
Compensation
Salary 16. Total Short Term
Compensation
Salary
Bonus Bonus
Other Annual Compensation Other Annual Compensation
Director Fees
18. Total Calculated
Compensation
Salary
Director Non-Equity Incentive Plan Compensation Bonus
Non-Equity Incentive Plan Compensation Other Annual Compensation
Director Bonus Stock Awards
Non-Equity Annual Incentive Plan Stock Grants
Non-Equity Long Term Incentive Plan Long Term Incentive Plan (LTIP)
19. Total Value of Options
Exercised Options Value All Other Compensation
Exercisable Options Value Option Awards
Unexercisable Options Value Change in Pension Plan/Non-Qualified Deferred Comp Earnings
Unearned Unexercised Options Value
Unclassified Options Value Director Fees
Unexercised Options Value Director Stock Awards
20. Total Number of
Options
Exercised Options Director Option Awards
Exercisable Options Director Non-Equity Incentive Plan Compensation
Unexercisable Options Director Change in Pension Plan/Non-Qualified Deferred Comp Earnings Unearned Unexercised Options
Unclassified Options Director All Other Compensation
Unexercised Options Director Stock Grants
42. Total Value of Stock Awards
Value Realized on Vesting Non-Equity Incentive Plan Compensation
Shares or Units Not Vested Value Director Bonus
Unearned Shares or Units Not Vested Value Non-Equity Annual Incentive Plan
43. Total Number of Stock
Awards
Shares Acquired on Vesting Non-Equity Long Term Incentive Plan
Shares or Units Not Vested
Unearned Shares or Units Not Vested
FPE Year # of ALL CIQ Companies
# Comps excluding
subsidiaries
US filing companies or
subsid.
CA filing companies, or subsid.
Other Global
companies
# Compustat NA
Companies
only 106K with AT>0
# Compustat Cos with
public equity during the
year
# Compustat Cos with US
public equity securities
# CRSP Companies
1997 2,275 1,682 2,241 26 8 1,760 1,564 1,548 1,306
1998 5,351 4,096 5,221 109 21 4,600 4,048 3,960 3,285
1999 10,196 8,178 9,926 189 81 9,072 8,379 8,218 6,792
2000 11,200 9,122 10,593 335 272 9,801 9,220 8,923 7,075
2001 13,113 10,696 10,610 1,381 1,122 10,576 9,929 8,640 6,662
2002 15,035 12,335 10,861 2,080 2,094 11,271 10,546 8,574 6,383
2003 17,882 14,620 11,422 2,681 3,779 11,875 10,957 8,575 6,140
2004 20,990 17,224 11,565 3,051 6,374 12,095 11,307 8,688 6,113
2005 23,471 19,506 11,608 3,261 8,602 12,015 11,333 8,586 6,105
2006 26,894 22,808 11,736 3,318 11,840 11,934 11,290 8,507 6,057
2007 27,339 23,656 11,521 3,326 12,492 11,568 11,112 8,403 6,018
2008 26,606 23,537 11,370 3,265 11,971 10,748 10,372 7,788 5,746
2009 24,737 22,121 10,290 3,056 11,391 10,010 9,630 7,222 5,405
2010 11,414 10,437 3,657 1,073 6,684 3,438 3,396 2,538 1,978
Total 236,503 200,018 132,621 27,151 76,731 130,763 123,083 100,170 75,065
CIQ-PI Compensation Data Coverage
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OTC Canadian
(1) (2) (3) (4) (5) (6) (7) (8) (9)
“Professional” Example: Lloyd Blankfein
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Multiple functions per Company*Person relationship
Educational Records
Other “Director” affiliations
Biography Example: Lloyd Blankfein
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Examples: 1)Links by Entity Types and
2)Educational Background
Links between Persons and the Following Entities
Entity Type Frequency Percent
Private Company 2,180,300 46.52%
Public Company 1,042,384 22.24%
Educational Institution 843,127 17.99%
Private Investment Firm 256,747 5.48%
Public Fund 222,395 4.75%
Private Fund/Investment Product 39,406 0.84%
Public Investment Firm 32,217 0.69%
Financial Service Investment Arm 16,123 0.34%
Foundation/Charitable Institution 15,556 0.33%
Trade Association 14,686 0.31%
Government Institution 12,377 0.26%
Corporate Investment Arm 8,775 0.19%
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Number of CEOs and Professionals by Educational Affiliations University # of Professionals CEOs Harvard Business School 10,124 2,863
Stanford University 9,927 2,102
Harvard University 8,755 1,926
University of Pennsylvania
University of Pennsylvania - Wharton School 8,020 1,651
University of Pennsylvania - Others 4,170 707
Massachusetts Institute of Technology 6,147 1,207
University of California Berkeley 6,696 1,114
Columbia University 5,791 1,052
University of Michigan 6,539 1,016
Cornell University 5,667 950
University of Southern California 5,153 892
University Of British Columbia 3,222 837
New York University 4,602 796
The University of Chicago 4,739 788
University of California-Los Angeles 4,789 754
University of Toronto 3,996 738
University of Illinois-Urbana-Champaign 5,168 715
Yale University 3,952 678
Northwestern University - Kellogg 3,494 672
INSEAD 2,584 656
Princeton University 3,484 615
The University Of Western Ontario 2,652 614
University of Oxford 3,406 603
Network Clouds # of Persons
# people with 1 relationship 1,689,867
# people between 2 to 5 relationships 773,529
# people between 6 to 10 relationships 64,600
# people with greater than 10 relationships 22,987
Capital IQ - Capital Structure
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Capital IQ Capital Structure
• CIQ Capital Structure is a Point-in-Time database which provides a detailed and comprehensive look into the capital structure issue-level components of a wide variety of companies around the globe
• Debt Capital Structure
Extensive coverage of debt capital structure for over 63,500 public and private companies (including subsidiaries) in more than 150 countries on an annual and interim basis back to 2001.
Over 11,000 US public entities covered (public companies, investment firms and public funds).
21 attributes of each debt component, such as
security type, seniority level, interest rate
maturity date, type of interest, redeemability
benchmark, secured flag, convertibility
currency, benchmark spread, and more
o Coverage
North America (US&Canada): 35% vs 65% International
Public : 80% (international) ; 63% (North America) with header flag
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Capital IQ Capital Structure
Equity Capital Structure
36 equity capital structure data points include preferred shares, trust and partnership units,
share capital, minority and derived interests, convertibility information and shares
outstanding.
Covers over 82,000 public and select private companies in 155 countries back to 1997.
Flags for whether specific shares have voting rights and are authorized or not
Coverage
• North America (US&Canada) – 48%
• Public –79% (international) ; 68 % (North America) using header flag
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Evolution of Company Coverage in CIQ DCS
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0
2,500
5,000
7,500
10,000
12,500
15,000
17,500
20,000
22,500
25,000
27,500
30,000
32,500
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
US/Canada
International
CIQ DCS vs. Compustat coverage
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1. Compustat NA Universe includes all companies reporting annual fundamentals with positive
total assets and positive total long-term debt. Sample excludes ADRs
2. CIQ Universe includes all US/Can firms covered by CIQ DCS
Example: excerpt from AMR Corp’s 10-K
Evolution of Debt Types in CIQ US Public companies
International public companies
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Notes Payable
Revolving Credit
Term Loans
FHLB Borrowings
Other Borrowings
Capital Leases
Bank Loans
Bonds and Notes
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Bank loans
Term Loans
Bonds and Notes
Revolving Credit
Other Borrowings
Notes Payable
Capital Leases
Bank Overdraft
Potential research venues using CIQ CIQ Capital structure database can help to shed more light on question like
How financial contracting between different stakeholders helps explain both cross-
sectional and time-series variation in leverage ratios
Better understanding of which debt components contribute most (least) to the speed and
nature of adjustment towards target leverage
How amount of total debt changes when various types of debt have differential expected
costs of distress
Refine our understanding of the relationship between asset liquidity, liquidation,
tangibility, profitability and leverage for different types of debt (Rauh and Sufi, 2010)
Do firms engage in debt specialization, i.e., do firms rely on only one type of debt
financing or use multiple sources of debt and how this decision is affected by firm ratings
(Colla et al., “Debt Structure” & “Debt Specialization”, 2009, 2010)
Analyst Data on WRDS
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Working with Analyst data on WRDS
• I/B/E/S database from Thomson-Reuters o Both adjusted and unadjusted data
o Academic version does not carry management guidance (pre-announcement) data
• First Call from Thomson-Reuters o Contains management guidance from 1995
o Expected to be discontinued by TR next year
• Zacks, coming soon
o Estimates, Recommendations for over 19,200 active and inactive US and Canadian
firms (including Daily and Weekly consensus)
Annual and LTG – from 1978 to present; Quarterly – from 1982 to present
o Preannouncement History – from 1990 to present
o Surprise History - 1984 to present
o Sale forecasts (from Jan 2000) and Price target (from Dec 1997)
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Working with Analyst data on WRDS (cont.)
• Rounding issues in IBES adjusted data (Payne and Thomas, 2003) that may
lead to erroneous estimates of the forecast error.
o A research note on how to merge IBES Unadjusted Estimates with Reported
Actuals and to perform accurate split adjustment
• Relationship between Summary and Detail History
o A research note on Recreating IBES Summary based on Detail History File
provides evidence that Thomson-Reuters likely aggregates across the latest outstanding estimates at the broker, rather than analyst level
• Industry Recommendations in IBES (Kadan,Madureira,Wang and Zach,
2011)
o A research note explaining the details and containing a sample SAS code that can
be used to extract industry recommendations and categorize them into 3 groups (neutral, optimistic and negative, following KMWZ)
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Sample Research Applications using analyst data
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Post-Earnings Announcement Drift
– Calculate Standardized Earnings Surprises
(SUE) using either Compustat or IBES
Unadjusted Detail data
– Elaborates on differences b/w/ Compustat
GAAP earnings vs “street” earnings in IBES
– Form PEAD portfolios and assess the
abnormal performance for different universes
and time periods
Measuring Divergence of Investors’ Opinions
– Methodology to accurately compute Analyst
Forecast Dispersion using IBES Detail History
– Addresses the issue of staleness of forecasts
(McNichols and O'Brien, 1997) and incorporates
stopped and excluded estimates
– Explores the sensibility of different scaling factors
such as price and absolute mean forecast
FactSet Fundamentals in WRDS
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FactSet Fundamental based on Worldscope
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• Created out of a COPY of Thomson
Worldscope.
• Thomson updated database until April
2010.
• Since May 2020, FactSet.
• Available in WRDS.
Comparing International Coverage
•Compustat Global , BVD Osiris and
FactSet (Worldscope).
•Number of Countries
•Number of Companies
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Country Coverage
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Company Coverage
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Small Firms make a difference
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Com
pusta
t
Glo
bal
Log(Total Assets) Log(Sales)
Fa
ctS
et
Osir
is
Today’s Session
• Research Applications & Macros
• WRDS SEC Analytics Suite
• New TAQ Datasets that makes
research easy
• Capital IQ Databases
• Analyst Data.
• International data. Factset.
Wharton Research Data Services 74 10/22/2011
Thank You
Thank You