View
3
Download
0
Category
Preview:
Citation preview
Wharton Research Data Services
PART 1: NEW DATA & TOOLS ON WRDS
WARSP 2018
Wharton Research Data Services
NEW DATA SOURCES
Wharton Research Data Services
Databases in WRDS
WARSP 2018
Aug/12
Dec/15
Sep/15
Jul/15
Nov/13
Feb/14
Jul/14
Oct/14
May/15
Snapshot
I/B/E/S Guidance
Lipper TASS
Ownership
Security Lending
Global Ownership
Worldscope
Revere
Wharton Research Data Services
Databases in WRDS
WARSP 2018
Dec/15
Mar/18
Nov/17
Oct/17
Jun/16
Jul/16
Sep/16
Oct/16
Jun/17
Voting Analytics
SDC Platinum
Orbis
Wharton Research Data Services
Innovative Databases
ISS N-PX Voting Analytics: U.S. mutual fund voting records from the SEC form N-PX, covering 27K+ firms, 19K+ funds, and 82M+ Events.
Case: Google Annual Meeting on May 13, 2010.
BlackRock Advisors, Inc.
Blackrock large cap core plus fund Blackrock large cap core portfolio
Vote “FOR” Vote “FOR”
Elect Director Larry Page
WARSP 2018
Wharton Research Data Services
Innovative Databases
RavenPack News Analytics: Structured news data covering 38K+ companies, government organizations, places, currencies. and commodities.
Case: Google Annual Meeting on May 13, 2010.
Source: Dow Jones NewswiresTime: May 13, 2010 23:56:20.437 (UTC)Event Sentiment: 40 (0 to 100 and 50 is neutral)Headline: Officer/Dir Page Sells 4,141 Of GOOGLE INC
WARSP 2018
Wharton Research Data Services
Innovative Databases
FactSet Revere Relationship: reflecting a complex network of companies’ key relationships.
WARSP 2018
Wharton Research Data Services
Some Teasers
Oribs
FIG
Bank Regulatory
Transcripts
Private Firms
WARSP 2018
Wharton Research Data Services
NEW RESEARCH TOOLS
Wharton Research Data Services
New WRDS Infrastructure
WARSP 2018
Wharton Research Data Services
STATA at WRDS
• WRDS is now officially supporting STATA through X-window (SSH) interface.
• Advantage • Accessing STATA through any device with X-Window support• Accessing WRDS Data directly
• Disadvantage• Some basic installation may be required• Additional permission (for Stata) may be needed
WARSP 2018
Wharton Research Data Services
SAS Studio Data Preparation
WARSP 2018
Wharton Research Data Services
X-windows STATA Environment
WARSP 2018
Wharton Research Data Services
Jupyter Note – Python Environment
WARSP 2018
Wharton Research Data Services
Forthcoming RStudio
WARSP 2018
Wharton Research Data Services
PART 2:ALTERNATIVE DATA FRONTIER
For Business School Research
WARSP 2018
Wharton Research Data Services
What is Alternative (Big) Data?
• Politics aside, growing market
o $130bn in 2016o $203bn in 2020
WARSP 2018
Wharton Research Data Services
Sources of Alternative (Big) Data
Alternative Data
Individuals
Social Media
News and Reviews
Web SearchesPersonal Data
Business Process
Transaction Data
Corporate Data
Govt Agencies Data
Sensors
Satellites
Geolocation
Other Sensors
WARSP 2018
Source: J.P. Morgan
Wharton Research Data Services
1/3 Individual Data – Social Media
WARSP 2018
Wharton Research Data Services
1/3 Individual Data - Others
• Reviews: Yelp / Amazon /
• Web Search: Google Trend / /
WARSP 2018
7/15/2018 1pm
7/11/2018 4pm
0
Wharton Research Data Services
Sources of Alternative (Big) Data
Alternative Data
Individuals
Social Media
News and Reviews
Web SearchesPersonal Data
Business Process
Transaction Data
Corporate Data
Govt Agencies Data
Sensors
Satellites
Geolocation
Other Sensors
WARSP 2018
Source: J.P. Morgan
Wharton Research Data Services
2/3 Business Process
• Transaction Data
o Credit card spending o Consumer confidence (macro)o Company sales/earnings (micro)
• Corporate Data
o Alibaba’s profile data ���o Based on consumer on �����o Luo Han Academy ��� to study the implications of digital technology
and e-commerce
WARSP 2018
Wharton Research Data Services
2/3 Business Process, cont.
Supply Chain Data – FactSet Revere
WARSP 2018
Wharton Research Data Services
Sources of Alternative (Big) Data
Alternative Data
Individuals
Social Media
News and Reviews
Web SearchesPersonal Data
Business Process
Transaction Data
Corporate Data
Govt Agencies Data
Sensors
Satellites
Geolocation
Other Sensors
WARSP 2018
Source: J.P. Morgan
Wharton Research Data Services
3/3 Sensors - Example
WARSP 2018
• APP embedded Ad collects geolocation of smart phone users
• To measure “foot traffic”
Wharton Research Data Services
3/3 Sensors - Mobile Data Vendor Landscape
WARSP 2018
Wharton Research Data Services
3/3 Sensors - Application
• Case Study 1:
o IBM purchased Weather Company in 2015 in a multi-billion dollar dealo Weather Company owns Weather APP
• Case Study 2:
o Advan Research (http://www.advan.us/) o Reported higher foot traffic at retail store Lululemono Stock sales figure beats estimates
WARSP 2018
Wharton Research Data Services
3/3 Sensors - Satellite/Drone images
Count Telsa production RS Metrics (https://rsmetrics.com/)
WARSP 2018
Wharton Research Data Services
3/3 Sensors – Academic Application
Weather and Sentiment:
o “The Impact of Weather on German Retail Investors” o Schmittmann et al. (2015) - Review of Finance
Pollution Index and stock returns
o “The effects of haze pollution on stock performances: evidence from China” o Zhang, Jiang and Guo (2016) - Applied Economics
o “The stock market effect of air pollution: evidence from China” o Li and Peng (2016) - Applied Economics
WARSP 2018
Recommended