Data

The Fama-Miller Center is dedicated to providing the institutional structure and resources necessary to push the boundaries of research in finance. We encourage and support top-quality research through advanced internal infrastructure as well as subscriptions to cutting-edge financial databases.

Below is a list of data funded by the center and available for academic use. Due to license agreements, the use of some data is restricted to the Booth community.

The Fama-Miller Center acquires and maintains data that is provided strictly for academic research and cannot be used for commercial purposes. Access to certain data is provided only to those who are affiliated with Booth and the Fama-Miller Center. To gain access to the data, you will need a Booth user name and password. If you have any questions or concerns, please contact Marisa Milazzo.

Please acknowledge the Fama-Miller Center for Research in Finance on all written work for the usage of any data.


Databases Available through Fama-Miller

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Amadeus

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Amadeus is a pan-European financial database containing information on over ten million companies from 41 countries, including all the EU countries and Eastern Europe. Up to ten years of detailed information (consolidated statements are also provided when available) comprising 24 balance sheet items, 25 profit and loss account items and 26 ratios.

A WRDS username and password are required to access Amadeus. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

Read the Amadeus user guide » 

 

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BankScope

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BankScope contains comprehensive information on banks across the globe. You can use it to research individual banks and find banks with specific profiles and analyze them. BankScope has up to 16 years of detailed accounts for each bank.

A WRDS username and password are required to access BankScope. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

Read the BankScope user guide »

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Bloomberg Professional

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The Bloomberg Professional stations seamlessly integrate historical information on about five million bonds, equities, commodities, currencies, and funds. Bloomberg’s electronic library comprises data on almost every publicly traded company in the world and biographies of more than 1 million people. To gain access to the data, you will need a Booth user name and password.



Two Bloomberg Professional stations are available for use in Harper Center Room 370 (Fama-Miller Center) for Booth faculty and research assistants. If you are interested in making an appointment to use one of the stations, please contact Mary Ellen Krejci at 773.702.5530 or Marisa Milazzo at 773.702.0338. Two more Bloomberg stations are in the Harper Center and Gleacher Center computing labs.



Read the Bloomberg Professional user guide (PDF).

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Blue Chip Financial Forecasts Data

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Blue Chip Financial Forecasts data gives you the latest in prevailing opinion about the future direction and level of US interest rates that is critical to the profitable management of your firm.  Survey participants such as Bank of America, Goldman Sachs & Co., Swiss Re, Loomis, Sayles & Company, and J. P. Morgan Chase, provide forecasts for each of the next six quarters for the following variables:

  • Federal Funds Rate
  • Prime Rate
  • LIBOR, 3-month
  • Commercial Paper, 1-month
  • Treasury Bills, 3-month, 6-month, 1-year
  • Treasury Notes, 2-year, 5-year, 10-year
  • Average Long-term Treasury Yield
  • Corporate Aaa Bond
  • Corporate Baa Bond
  • State & Local Bond
  • Home Mortgage Rate
  • Fed's Major Currency Index
  • Real GDP
  • GDP Chained Price Index
  • Consumer Price Index 

Each forecaster's predication is published along with the average, or consensus forecast, for each variable. There are also averages of the 10 highest and 10 lowest forecasts for each variable; median forecast to eliminate the effects of the extreme forecasts on the consensus; the number of forecasts raised, lowered, or left unchanged from a month ago; and a diffusion index that indicates shifts in sentiment that sometimes occur prior to changes in the consensus forecast.

To gain access to the Blue Chip Financial Forecasts data you will need to be on the Booth network. If you are off campus please log into the VPN first and then go the Wolters Kluwer website. Access is available to Booth faculty and students.

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Capital IQ Fundamentals Xpressfeed

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Capital IQ Fundamental Xpressfeed provides Capital IQ data accessible by SQL server.  

Data includes:

  • S&P Capital IQ Premium Financials
  • Compustat Financials
  • Capital Structure
  • Bank Regulatory
  • Industry-Specific
  • Company Intelligence
  • People Intelligence
  • Key Developments
  • Transactions
  • Business Relationships
  • Private Equity
  • S&P Capital IQ Estimates
  • S&P Ownership
  • S&P Indices
  • MSCI
  • Russell
  • GICS Direct
  • Historical Databases
  • Credit Ratings

Xpressfeed documentation

Request access to Capital IQ Fundamentals Xpressfeed by emailing the Fama-Miller Center. Access is available for Booth faculty only.


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CME End of Day Data

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End of day data, sometimes referred to as settlement data, contains all of the official closing information (open, high, low, close, volume, open interest and implied volatilities) for select CME Group contracts. Both puts and calls are included with each options product. Includes both pit and electronic.

  • CME (Electronic): January 4, 1993 – March 2015
  • CME (Pit): January 4, 1982 – March 2015
  • CBOT (Electronic): August 28, 2000 – March 2015
  • CBOT (Pit): January 3, 1972 – March 2015
  • NYMEX (Pit): July 1, 1986 – March 2015
  • NYMEX (Electronic): June 25, 1993 – March 2015
  • COMEX (Pit): January 2, 1975 – March 2015
  • COMEX (Electronic): July 2, 1993 – March 2015

See CME End of Day layout guide.

Request access to CME End of Day data by emailing the Fama-Miller Center. Access is available for Booth faculty and students.

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CME Time and Sales Data for PIT GLOBEX and Natural Gas

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Time and Sales data for PIT, GLOBEX and Natural Gas.

Time and Sales contains the official record of trade times, prices, and quantities (quantity only available on electronic trades) for CME Group products. The records, time stamped to the second, provides times of trades submitted to CME Group for clearing, prices and quantities.

History from December 1999 – July 2015.

See file format guide.

Request access to CME Time and Sales Data for (PIT, GLOBEX and Natural Gas) by emailing the Fama-Miller Center. Access is available for Booth faculty and students.

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CoreLogic

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House price data available at various levels and time periods. All data are monthly, and indices available at national, division, state, CBSA, county, and ZIP levels. The data go through 2014, and are available historically back to different time periods based on the level of geography.

These data can be accessed by Booth faculty and Booth students. Please acknowledge the Fama-Miller Center for Research in Finance and the Initiative on Global Markets at the University of Chicago Booth School of Business on all written work for the usage of this data.

Request access to CoreLogic by emailing: Fama-Miller@ChicagoBooth.edu

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CSMAR

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The China Stock Market & Accounting Research database is designed and developed by GTA Information Technology - one of the major providers of China data. The CSMAR Databases offer data on the China stock markets and the financial statements of China's listed companies.

A Booth user name and password and a WRDS username and password are required to access CSMAR. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

Read the CSMAR user guide (PDF).

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DataQuick

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DataQuick - Housing data - US residential property sale transactions.

Assessor – Data generally sourced from the assessors’ offices or derived from data sourced from the assessors’ offices. Assessor files are both the full Assessor updates resulting from the closing of the tax rolls at the assessor's office and sales updates that change ownership in the assessor data.

 

History – Data generally sourced from the Recorders’ offices related to sale and loan transactions or derived from sale and loan recorder data.

 

These data can only be accessed by Booth faculty and students.  Please acknowledge the Fama-Miller Center for Research in Finance and the Initiative on Global Markets at the University of Chicago Booth School of Business on all written work for the usage of this data.

Access to DataQuick is through the Booth GRID or through the Fama-Miller shared drive. You can request access by emailing fama-miller@ChicagoBooth.edu.

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IHS Global Insight

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IHS Global Insight databases provide data on national income accounts, balance of payments, foreign debt, exchange rates, money supply, and employment—amount other national level categories. Our subscription includes access to Annual Basic Economics, Monthly Basic Economics, and Quarterly Basic Economics.

A WRDS username and password are required to access IHS Global Insight. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

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Equifax

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ZIP-quarter level household debt, default, and origination data for 1991 through 2014.

These data can be accessed by Booth Faculty and Booth students. Please acknowledge the Fama-Miller Center for Research in Finance and the Initiative on Global Markets at the University of Chicago Booth School of Business on all written work for the usage of this data.

Request access to Equifax by emailing: Fama-Miller@ChicagoBooth.edu

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Global Financial Data (GFD)

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GFD is the most comprehensive collection of financial and economic data ever to be compiled from original data sources. Covering more than 200 countries and extending back to 1265, GFD is the source that analysts around the world use to complete their research, past and present. Also included is an unsurpassed compilation of proprietary total return data on stocks, bonds, and bills that extends back to the 1800s. To gain access to the data, you will need a Booth user name and password.

To access the Global Financial Data, you will need a GFD account. You can access the database with your GFD account. If you are a first-time user, you will have to create a GDF account using your Booth email address. Please note: if you are off campus, you will need to connect to the Booth VPN first.

Read the GFD user guide (PDF).

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GuideStar Data

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GuideStar data contains IRS 990s filed by a sample of 394 501(c)3 organizations from 2004-2010 (unbalanced panel). The nonprofits included were sampled from the set of nonprofits rated by Charity Navigator. These were sampled to obtain variation within the sample with respect to the first rating publication date for each non-profit. 

Request access to GuideStar data by emailing the Fama-Miller Center. Access is available for Booth faculty and students. Once you have received access, you can connect to the data here.

Please note: if you are off campus, you will need to connect to the Booth VPN first.

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Lipper TASS Hedge Fund

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The Lipper TASS Hedge Fund Database provides one of the most comprehensive databases for hedge fund coverage in the world. It contains more than 350 fields of data more than 3,900 hedge funds and 300-plus Commodity Trading Advisor programs. To gain access to the data, you will need a WRDS username and password.

A WRDS username and password are required to access Lipper TASS Hedge Fund database. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

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Markit CDS

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Markit CDS provides Credit Default Swap composite data on approximately 3,000 individual entities. Composite calculated spreads, after data cleaning, are available on a daily basis from January 2001 to present. To gain access to the data, you will need a Booth user name and password.

A WRDS username and password are required to access Markit CDS. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

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MDR Data - Market Data Express

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MDR data are quotes and trades captured by the Chicago Board of Options Exchange internal data retrieval systems. The data also contain TAQ (trade and quote) data on SPX options from 1990 until March 2013.

Request access to MDR data by emailing the Fama-Miller Center. Access is available for Booth faculty and students. 

Once you have received access, you can connect to the data here.

Please note: if you are off campus you, will need to connect to the Booth VPN first.

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Mergent FISD

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The Mergent Fixed Income Securities Database (FISD) for academia is considered the most comprehensive collection of publicly offered US Corporate bond data.

A Booth account and a WRDS username and password are required to access Mergent FISD. Request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

Read the Mergent FISD user guide (PDF).

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Moody's Default & Recovery Database

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Moody's Default & Recovery Database is a comprehensive set of ultimate recovery data which contains data for 40,000 global corporate and sovereign entities, including more than 417,000 debts. The data is updated monthly and spans from 1970 to the present, with select default data going back to 1920. To gain access to the data, you will need a Booth user name and password.

Request access to Moody's Default & Recovery Database by emailing the Fama-Miller Center. Access is available for Booth faculty and research assistants. A login will be created to access Moody's website.

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Morningstar Direct for Academics

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Academic institutions bring Morningstar Direct into the classroom to incorporate real-world training within their curriculum. Professors can provide students access to this platform to prepare them for the realities they will encounter in the workforce as professional portfolio managers or financial researchers. Students who use Morningstar Direct gain experience with institutional data and various research methods. They can learn the product quickly by taking advantage of our product certification program. Educators can also reference Morningstar Direct's data and analytics while conducting their own academic research. To gain access to the data, you will need a Booth user name and password.

Faculty access to Morningstar may be obtained by emailing the Fama-Miller Center. Student access can be found on a research terminal in the Harper Center or Gleacher Center computing labs.

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OptionMetrics

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OptionMetrics provides a comprehensive source of historical price and implied volatility data for the US equity and index options markets.

A Booth account and a WRDS username and password are required to access OptionMetrics. If you do not have a WRDS account, request a WRDS username and password from the WRDS home page. Click on "Register for a WRDS Account" and fill out the form.

Read the OptionMetrics user guide (PDF).

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Pastor-Stambaugh Liquidity Factor

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RL Polk (IHS global automotive intelligence)

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ZIP code-monthly data on new auto purchases from 1998 through 2014. These data are collected from vehicle registrations and measure the ZIP code of the person who buys the new car.

These data can be accessed by Booth faculty only. Please acknowledge the Fama-Miller Center for Research in Finance and the Initiative on Global Markets at the University of Chicago Booth School of Business on all written work for the usage of this data.

Request access to RL Polk by emailing: Fama-Miller@ChicagoBooth.edu

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SNL Financial Institutions

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SNL Financial Institutions combines exclusive analysis and in-depth data in real time for the banking industry. SNL Financial Institutions encompasses publicly traded banks, thrifts, insurance companies, insurance brokers, specialty finance companies, investment companies, broker/dealers and financial technology companies. This includes merger model, banking regulatory data, branch ownership updates and statutory insurance data. To gain access to the data, you will need a Booth user name and password.

To access SNL Financial Institutions you will need to use the Booth VPN when accessing the website off site or if you are connected to the wireless network. When you arrive at the website, click on "New User? Register for password" link. Enter your Booth email address and complete the new user request.

Read the SNL user guide (PDF).