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
frdswill be created under your user's home directory, which contains a
resultfolder and a default configuration file
1 2 3 4 5 6 7 8
You need to enter your WRDS username and password under the login section.
To start estimating various measures, run
frds as a module:
Alternatively, run without GUI:
The output data will be saved as STATA
.dta file in the
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
|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|