frds 0.2.0

Financial Research Data Services

FRDS - Financial Research Data Services

frds is a Python framework that aims to provide the simplest way to compute a collection of major academic measures used in the finance literature, one-click with a Graphical User Interface (GUI).

Installation & Configuration

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

$ pip install frds

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

[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.gui.run

Alternatively, run without GUI:

$ python -m frds.run

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

Example Output

Below is an example output for 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.

Supported Measures

Measure	Description	Datasets Used
tangibility	Property, Plant and Equipment (Net) scaled by Assets (Total)	wrds.comp.funda
roa	Income Before Extraordinary Items scaled by Assets (Total)	wrds.comp.funda
roe	Income Before Extraordinary Items scaled by Common Equity (Total)	wrds.comp.funda
book leverage	(Long-term Debt + Debt in Current Liabilities) / (Long-term Debt + Debt in Current Liabilities + Common Equity)	wrds.comp.funda
capital expenditure	Capital Expenditures scaled by Assets (Total)	wrds.comp.funda
market to book	Market Value of Common Equity to Book Common Equity	wrds.comp.funda