FRDS - Financial Research Data Services¶

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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$ pip install frds

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[Paths]
base_dir: ~/frds
data_dir: ${base_dir}/data
result_dir: ${base_dir}/result

[Login]
wrds_username: 
wrds_password: 

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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$ python -m frds.gui.run

Alternatively, run without GUI:

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$ python -m frds.run

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¶

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