Data

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.

Once you are logged into WRDS you can find the Amadeus data under “Bureau van Dijk.”

Read the Amadeus user guide » 

Atlas Investment Research offers a municipal bond database that allows clients to leverage the data and research to power their solutions such as investment research, financial models, investment advisory and financial software platforms. Atlas Muni Data comes with comprehensive obligor definition, unique overlapping debt and total debt data, fully integrated demographic/economic database, point-­in‐time data structure, and unbiased credit score. It adds unparalleled value by helping their clients to identify the best investment options and manage the risk more effectively.

Access:

Access is available to University of Chicago faculty, graduate students and research assistants.

Request access to Atlas Muni Data by emailing fama-miller@chicagobooth.edu

Atlas Muni document

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 Jennifer Williams 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).

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 – December 2016
• CME (Pit): January 4, 1982 – December 2016
• CBOT (Electronic): August 28, 2000 – December 2016
• CBOT (Pit): January 3, 1972 – December 2016
• NYMEX (Pit): July 1, 1986 – December 2016
• NYMEX (Electronic): June 25, 1993 – December 2016
• COMEX (Pit): January 2, 1975 – December 2016
• COMEX (Electronic): July 2, 1993 – December 2016

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.

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.

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 are available historically back to different time periods based on the level of geography. Data from January 1976 - Present.

These data can be accessed by University of Chicago affiliates. 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

Access bulk tax, deed, foreclosure, involuntary lien, HOA Building Permits and MLS data: 

• Customize record layout from hundreds of fields
• Select desired geographic coverage within the U.S. by state, region, zip code or county
• Access the nation’s largest repository of real estate data and document images

Access is available for University of Chicago affiliates.  Contact Colleen Reda (cmreda@uchicago.edu) in BFI to request access to CoreLogic Tax and Deed History Data.  Colleen will provide the CoreLogic EULA (End User License Agreement) and BFI Terms of Use documents to sign and return, after which she will provide steps for accessing the data on RCC (Research Computing Center).

Please acknowledge the Fama-Miller Center for Research in Finance at the University of Chicago Booth School of Business and Becker Friedman Institute for Economics at the University of Chicago on all written work for the usage of this data.

Equifax and Black Knight have partnered to offer Credit Risk Insight Servicing—the only analytical solution available that combines anonymous consumer credit data with McDash Loan Data. This powerful combination provides a better understanding of the changing credit health of borrowers on both agency and non-agency mortgages. Up-to-date consumer risk scores and leading indicators of mortgage default for all mortgages within McDash allow analysts, modelers and economists to benchmark, identify trends, monitor institutional risk, and evaluate borrower behavior.

The structure of the data contains two separate datasets. The Black Knight-McDash data is the loan information and the Equifax data is information on individual credit records including information on which loans they have. The same loan_id is in both data sets so that loan information in McDash can be merged to individual information in Equifax. These data should be merged together to create the CRISM data but can be used separately.

Access:

Access is available to University of Chicago faculty, graduate students and research assistants.

Request access to CRISM by emailing fama-miller@chicagobooth.edu 

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.

CRISM document

The Center for Research in Security Prices maintains the most comprehensive collection of security price, return, and volume data for the NYSE, NYSE American, and Nasdaq exchanges. Additional CRSP files provide stock indices, beta- and cap-based portfolio, treasury bond and risk-free rates, and mutual fund databases.

Access:

WRDS username and password required. 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.

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).

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. Data from 2008-2013.

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.

ETF Global® is a leading, independent provider of Exchange-Traded-Fund Reference Data and Quantitative Research to the Investment, Academic and Governmental sectors worldwide. ETFG Data is a comprehensive set of reference and analytics data for U.S. Listed Exchange-Traded-Funds and is primarily sourced directly from fund sponsors, custodians, distributors and administrators.

Access: WRDS username and password required. 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.

ETF document

North American corporate bond holdings of mutual funds, insurance companies, and pension funds from January 2005 to December 2020.

Access is available for Booth faculty and PhD students.

Request access to eMaxx special report by emailing: fama-miller@chicagobooth.edu 

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).

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.  

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

The S&P LCD database provides comprehensive data on US and European leveraged loan, high yield bond, distressed debt and corporate markets.  It offers both deal level data and aggregate trends.

Access:

Request access to LCD by emailing the Fama-Miller Center.  Access is available to Booth faculty, students and staff.

See LCD data brochure

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.

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.

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 December 2017.

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

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

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).

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.

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.

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).

Orbis is Bureau van Dijk's flagship database of private and listed company information from around the world—all standardized for easy cross-border comparisons.

It includes companies' financial accounts, credit scores from a number of independent providers, directorships, ownership structures, PEPs and sanctions information, and details of mergers and acquisitions activity.

Over 99% of the companies on Orbis are private. Private company information is more difficult to obtain, as the legal obligation to file accounts varies widely from country to country. But BVD works with 140 information providers to fill in as many gaps as possible and offer alternative, less detailed reports and estimates where necessary.

Access:

There are two ways to access this data.  There is a web interface and the data is also in WRDS.

1.) To gain access to Orbis you will need to be on the Booth network. If you are off campus, please log into the VPN first and then go to the Orbis website. Access is available to Booth faculty, students and staff.

2.) WRDS username and password required. 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. Once you are logged into WRDS you can find the Orbis data under “Bureau van Dijk.”

The historical files have a global coverage of entities. There are two separate files. One is focused on financial data for approximately 30 years (the global standard format that is in the Orbis online platform). The second is a file tracking all ownership changes (subsidiaries and shareholders) back to 2007.

Access is available for Booth faculty and PhD students.

Request access to Orbis Historical Data by emailing: fama-miller@chicagobooth.edu

Access liquidity factor data (updated through December 2022).

See the plot of the aggregate liquidity series (PDF).

ZIP code-monthly data on new auto purchases from 1998 through present. 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

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).

Today's volume of information across traditional News, Internet News and Social Media is so vast that extracting meaning is an uphill struggle. Capturing, analyzing and producing actionable data from this volume is one of today’s biggest challenges but also presents big opportunities for advances in financial analysis. Up-to-date knowledge and interpretation of the events that shape the financial landscape provide crucial tools for both human and machine traders to generate value. This enables algorithms to exploit the power of news to seize opportunities, capitalize on market inefficiencies and manage event risk.  Powered by a unique computational linguistic processing system, Thomson Reuters News Analytics (TRNA) provides real-time numerical insight into the events on multiple news sources, in a format that can be directly consumed by algorithmic trading systems.

Access is available for Booth faculty and PhD students.

Request access to Thomson Reuters News Analytics by emailing: fama-miller@chicagobooth.edu

Thomson Reuters Real-time News is the only structured textual news service for programmatic use that is powered by Reuters. Reuters is the largest international news agency with more journalists in more countries than anyone else. Reuters has a long history of market-moving beats and exclusives related to macroeconomics, M&A activity, CEO changes or corporate wrongdoing. Our Real-time News service delivers Reuters News unrivalled company, commodity and economic stories formatted for automated consumption. By delivering Reuters News to your algorithms, you gain a competitive advantage you won’t find with any other service. The live and archived versions of the data share a common data model, with history extending back to 1996 for Reuters News and to 2003 for other news sources.

Access is available for Booth faculty and PhD students.

Request access to Thomson Reuters Real-Time News by emailing: fama-miller@chicagobooth.edu

As a key product launched by Wind Info in 2008, Wind Economic Terminal (WET) integrates massive macro and industry data and is equipped with powerful index calculation and graphic functions. It serves as a necessary tool for economists, macro analysts, strategic analysts and industry researchers to analyze macro and industry data.

The Wind Economic Terminal is available for use in Harper Center Room 370 (Fama-Miller Center) for Booth faculty, PhD students and research assistants.  If you are interested in making an appointment to use the terminal, please contact Jennifer Williams at 773-702-5530 or Marisa Milazzo at 773-702-0338.