Lecture 3 New data & Tools - WRDS · Wharton Research Data Services 3/3 Sensors –Academic Application Weather and Sentiment: o“The Impact of Weather on German Retail Investors”

Wharton Research Data Services

PART 1: NEW DATA & TOOLS ON WRDS

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NEW DATA SOURCES


Databases in WRDS

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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


Databases in WRDS

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Dec/15

Mar/18

Nov/17

Oct/17

Jun/16

Jul/16

Sep/16

Oct/16

Jun/17

Voting Analytics

SDC Platinum

Orbis


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

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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

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FactSet Revere Relationship: reflecting a complex network of companies’ key relationships.

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Some Teasers

Oribs

FIG

Bank Regulatory

Transcripts

Private Firms

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NEW RESEARCH TOOLS


New WRDS Infrastructure

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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

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SAS Studio Data Preparation

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X-windows STATA Environment

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Jupyter Note – Python Environment

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Forthcoming RStudio

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PART 2:ALTERNATIVE DATA FRONTIER

For Business School Research

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What is Alternative (Big) Data?

• Politics aside, growing market

o $130bn in 2016o $203bn in 2020

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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

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Source: J.P. Morgan


1/3 Individual Data – Social Media

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1/3 Individual Data - Others

• Reviews: Yelp / Amazon /

• Web Search: Google Trend / /

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Alternative Data

Individuals

Social Media

News and Reviews


Business Process

Transaction Data

Corporate Data

Govt Agencies Data

Sensors

Satellites

Geolocation

Other Sensors

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Source: J.P. Morgan


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

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2/3 Business Process, cont.

Supply Chain Data – FactSet Revere

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Alternative Data

Individuals

Social Media

News and Reviews


Business Process

Transaction Data

Corporate Data

Govt Agencies Data

Sensors

Satellites

Geolocation

Other Sensors

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Source: J.P. Morgan


3/3 Sensors - Example

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• APP embedded Ad collects geolocation of smart phone users

• To measure “foot traffic”


3/3 Sensors - Mobile Data Vendor Landscape

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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

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http://www.advan.us/


3/3 Sensors - Satellite/Drone images

Count Telsa production RS Metrics (https://rsmetrics.com/)

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https://rsmetrics.com/


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

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Documents

Lecture 3 New data & Tools - WRDS · Wharton Research Data Services 3/3 Sensors –Academic Application Weather and Sentiment: o“The Impact of Weather on German Retail Investors”