frds 0.1.6

Financial Research Data Services

FRDS

General purpose financial research data services.

Install

FRDS requires Python3.8 or higher. To install using pip:

pip install frds

After installation, a folder frds will be created under the user's home directory, which contains a data folder, a result folder and the configuration file config.ini.

Configuration

The default config.ini is:

[Author]
name: Mingze Gao
email: [e-mail]
institution: University of Sydney

[Paths]
base_dir: ~/frds
data_dir: ${base_dir}/data
result_dir: ${base_dir}/result

[Login]
wrds_username: 
wrds_password: 

You need to enter your WRDS username and password under the login section.

Usage

To start estimating various measures, run frds as a module:

python -m frds.run

The output data will be saved as STATA .dta file in the result folder.

Example

The default measure is tangibility, defined as the Property, Plant and Equipment (Net) scaled by Assets (Total), estimated for all firms in the Compustat Fundamental Annual. The result dataset is saved in /result/Tangibility.dta.

Structure

Module	Description
frds.data	provides data access to various data vendors.
frds.ra	the hard-working RA that does all the computation.
frds.measures	the collection of measures to estimate.

Measures

Measure	Description	Datasets Used
tangibility	Property, Plant and Equipment (Net) scaled by Assets (Total)	wrds.funda
roa	Income Before Extraordinary Items scaled by Assets (Total)	wrds.funda
roe	Income Before Extraordinary Items scaled by Common Equity (Total)	wrds.funda
book leverage	(Long-term Debt + Debt in Current Liabilities) / (Long-term Debt + Debt in Current Liabilities + Common Equity)	wrds.funda