Financial Research Data Services
Project description
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 |
accounting restatement | Number of various accounting restatements during the fiscal year | wrds.comp.funda, wrds.audit.auditnonreli |
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