FRDS - Financial Research Data Services¶
Note
The old Research Data Services has been deprecated and will be merged into frds in a future release.
frds is a Python framework I authored that aims to provide the simplest way to compute a collection of major academic measures used in the finance literature, one-click with a Graphical User Interface (GUI). It features:
- consolidation of major data sources such as WRDS, Federal Reserve Board, Refinitiv, Thomson Reuters, Bloomberg and more.
- one-liner to compute major measures used in literature.
Installation & Configuration¶
frds requires Python3.8 or higher. To install using pip
:
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frds
will be created under your user's home directory, which contains a data
folder, a result
folder and a default configuration file config.ini
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You need to enter your WRDS username and password under the login section.
Usage¶
To start estimating various measures, run frds
as a module:
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Alternatively, run without GUI:
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The output data will be saved as STATA .dta
file in the result
folder.
Example Output¶
Below is an example output for tangibility
, defined as the Property, Plant and Equipment (Net) scaled by Assets (Total), estimated for all firms in the Compustat Fundamental Annual. The result dataset is saved in /result/Tangibility.dta
.
Supported Measures¶
Measure | Description | Datasets Used |
---|---|---|
tangibility | Property, Plant and Equipment (Net) scaled by Assets (Total) | wrds.comp.funda |
roa | Income Before Extraordinary Items scaled by Assets (Total) | wrds.comp.funda |
roe | Income Before Extraordinary Items scaled by Common Equity (Total) | wrds.comp.funda |
book leverage | (Long-term Debt + Debt in Current Liabilities) / (Long-term Debt + Debt in Current Liabilities + Common Equity) | wrds.comp.funda |
capital expenditure | Capital Expenditures scaled by Assets (Total) | wrds.comp.funda |
market to book | Market Value of Common Equity to Book Common Equity | wrds.comp.funda |
accounting restatement | Number of various accounting restatements during the fiscal year | wrds.comp.funda, wrds.audit.auditnonreli |