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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.

GUI

Installation & Configuration

frds requires Python3.8 or higher. To install using pip:

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$ pip install frds
After installation, a folder 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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[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.

result-tangibility

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

Last update: June 15, 2020

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