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Accessing and Navigating the WRDS Database

1. Link: http://wrds.wharton.upenn.edu/
2. Click - Members Login
3. Enter Username and Password
a. Username: eif
b. Password: TCUeif2009
c. Note: WRDS is case sensitive
4. WRDS Terms of Use Appears
a. Click - I Agree

GETTING MONTHLY STOCK AND S&P INFORMATION

5. You will then see a list of datasets that TCU subscribes to


a. Click – CRSP
6. Once in CRSP, look at the left side of the page
a. Click – Monthly Stocks (A)
7. Step 1: Date Range
a. Enter Desired Date Range
b. Move to Step 2: Search
8. Step 2: Search
a. Search by: TICKER
b. Enter the Ticker under Company Codes, which is choice number 1
c. Move to Step 3: Variables
9. Step 3: Variables
a. Under Identify Information (first section of Step 3)
i. Select: Company name
b. Under Time Series Information (second section of Step 3)
i. Select: Holding Period Return Without Dividends
c. Under Market Information (NYSE/AMEX/Nasdaq)
i. Select: Return on S&P Composite Index
d. Move to Step 4: Output
10. Step 4: Output
a. Output Format
i. Select: comma-delimited text (*.csv)
b. Date Format
i. Leave as: YYMMDDn8. (e.g. 19840725, Default Format)
c. Compression Type
i. Leave as: <none>
d. Not necessary to enter your E-Mail Address
11. Click: Submit Request
12. A new window will pop up
a. Once your output is complete, click on the link below to open the output file
b. When you click the link, a window for Excel will pop up
c. Click: Open
d. Note: This might only apply to some computers, but in Excel, a small window will
appear that says “Opening” and just click “Cancel”, which then opens the document.
Also, if Excel is already open on your computer, you might need to click on the Excel
window to see the small window that says “Opening.”
13. The Opened Document
a. The document will have five columns: “DATE”, “COMNAM”, “PERMNO”, “RETX”, and
“sprtrn”
b. RENAME the “COMNAM” column with “COMPANY NAME”
c. DELETE the “PERMNO” column
d. RENAME the “RETX” column with the TICKER OF THE COMPANY (e.g. “BK”)
e. RENAME THE “sprtrn” column with “S&P”
14. COPY and PASTE this into your Spreadsheet under the correct tab
a. Commonly called “Regression 2”

GETTING RISK FREE RATE INFORMATION

15. Exit CRSP by clicking “HOME” at the top of the WRDS Page
16. Under Free Access Data Sets
a. Click (drop down arrow): Fama French, Momentum, and Liquidity
17. Once on the page that appears, look to the left-hand side
a. Under Fama-French Portfolios
i. Click: Factors
18. Step 1: Frequency
a. Select: Monthly
19. Step 2: Date Range
a. Use same date range
20. Step 3: Factors
a. Select: Risk-Free Interest Rate (One Month Treasury Bill Rate) (RF)
21. Step 4: Output
a. Output Format
i. Select: comma-delimited text (*.csv)
b. Date Format
i. Leave as: YYMMDDn8. (e.g. 19840725, Default Format)
c. Compression Type
i. Leave as: <none>
d. E-Mail Address
i. Not necessary to input your E-Mail Address
22. Click: Submit Request
23. A new window will pop up
a. Once your output is complete, click on the link below to open the output file
b. When you click the link, a window for Excel will pop up
c. Click: Open
d. Note: This might only apply to some computers, but in Excel, a small window will
appear that says “Opening” and just click “Cancel”, which then opens the document.
Also, if Excel is already open on your computer, you might need to click on the Excel
window to see the small window that says “Opening.”
24. The Opened Document
a. The opened document will have two columns: “date” and “rf”
b. DELETE the “date” column
c. RENAME the “rf” column to “Rf”
25. COPY and PASTE the “Rf” column into your Spreadsheet under the same tab as the other
information (paste it into Column E)
26. Your spreadsheet should now have five columns: “DATE”, “COMPANY NAME”, “TICKER”, “S&P”,
and “Rf”
27. Note: The WRDS Database currently only has risk-free rate data up until May 2008, so you can
only use the data for the S&P and your stock up until May 2008 for your regression

THE REGRESSION ANALYSIS

28. The Sixth Column


a. Title: “TICKER-Rf”
b. Have Excel calculate the difference between each monthly return for your stock and
each monthly risk-free rate (formula should =C2-E2, then drag down)
29. The Seventh Column
a. Title: “S&P-Rf”
b. Have Excel calculate the difference between each monthly return for the S&P 500 and
each monthly risk-free rate (formula should =D2-E2, then drag down)
30. Completing the Regression Analysis
a. Note: This applies to Excel 2007, but is probably similar for 2003.
b. In Excel, click on the Data tab (for 2003 click on Tools tab)
c. Click: Data Analysis
d. Under Analysis Tools
i. Select: Regression
ii. Click: OK
iii. Regression Window Appears
e. Regression Window
i. Input Y Range: Highlight the column “TICKER-Rf”, exclude the title
ii. Input X Range: Highlight the column “S&P-Rf”, exclude the title
iii. Under Output Options
1. Confirm that “New Worksheet Ply:” is the selected option
2. Type “Regression” in the box accompanying “New Worksheet Ply:”
a. This will automatically title the new worksheet “Regression”
iv. Click: OK
31. The new worksheet will appear, with the title “SUMMARY OUTPUT”
a. Adjust all column widths to fit

ALPHA and BETA

32. In cell A21, type: “Alpha (Annualized)”


33. In cell A22, type: “Beta (Adjusted)”
34. In cell B21, type: =((1+B17)^12)-1
35. In cell B22, type: =2/3*B18+1/3

You should now be complete.

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