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wrds

Simple functions for accessing data from Wharton Research Data Services (WRDS). A WRDS account is required.

Installation

Install from CRAN:

Or install the development version from GitHub:

# install.packages("pak")
pak::pak("statzhero/wrds")

Setup

Before first use, store your WRDS credentials securely:

Credentials are stored in your system’s keyring (Keychain on macOS, Credential Manager on Windows).

Usage

Explore 

library(wrds)

wrds <- wrds_connect()

# Discover available data
list_subscriptions(wrds)
#> # A tibble: 278 × 2
#>    schema           product
#>    <chr>            <chr>
#>  1 aha_sample       AHA Sample
#>  2 ahasamp          NA
#>  3 audit            NA
#>  4 audit_acct_os    Audit Analytics - Accounting and Oversight
#>  5 audit_audit_comp Audit Analytics - Audit and Compliance
#>  # ... with 273 more rows

list_tables(wrds, "comp")
#> # A tibble: 293 × 2
#>    table         description
#>    <chr>         <chr>
#>  1 aco_amda      Annual Financial Notes
#>  2 aco_imda      Interim Financial Notes
#>  3 aco_indfnta   Industry-Specific Annual Footnote
#>  # ... with 290 more rows

# Inspect table structure
describe_table(wrds, "comp", "funda", max_cols = 5)
#> comp.funda
#> Merged Fundamental Annual File
#> Rows: 940,325
#> Columns: 949
#> $ gvkey    <chr>  Global Company Key
#>   "001000", "001000", "001000", "001000", "001000", ...
#> $ datadate <date> Data Date
#>   1961-12-31, 1962-12-31, 1963-12-31, 1964-12-31, ...
#> $ fyear    <int>  Data Year - Fiscal
#>   1961, 1962, 1963, 1964, 1965, 1966, 1967, ...
#> $ indfmt   <chr>  Industry Format
#>   "INDL", "INDL", "INDL", "INDL", "INDL", ...
#> $ consol   <chr>  Level of Consolidation - Company Annual Descriptor
#>   "C", "C", "C", "C", "C", "C", "C", ...
#> # ... with 944 more columns

To browse interactively in the Positron or RStudio Connections pane:

library(connections)
connection_view(wrds)

Download

Pre-built functions for common datasets:

# Compustat annual fundamentals (North America)
funda <- get_compustat(wrds,
  start_date = "2024-01-01",
  end_date = "2025-12-31"
)

# Compustat quarterly (Global)
g_fundq <- get_compustat(wrds,
  frequency = "quarterly",
  region = "global",
  start_date = "2025-01-01"
)

# Company header data (SIC, NAICS, state, etc.)
company <- get_company(wrds)

# Linking tables
ccm <- link_ccm(wrds)
ibes_link <- link_ibes_crsp(wrds)

# Preview before downloading
preview <- get_compustat(wrds, n = 100)

# Historical SIC codes are included by default
get_compustat(wrds, n = 100) |> dplyr::count(sich)
#> # A tibble: 4 × 2
#>    sich     n
#>   <int> <int>
#> 1  4841     1
#> 2  5080    25
#> 3  5712     3
#> 4    NA    71

# Fill missing historical SIC codes with SIC from comp.company
get_compustat(wrds, fill_sic = TRUE, n = 100) |> dplyr::count(sic)
#> # A tibble: 7 × 2
#>   sic       n
#>   <chr> <int>
#> 1 3089     17
#> 2 3825     13
#> 3 3949      3
#> 4 4841      2
#> 5 5080     47
#> 6 5712     10
#> 7 5812      8

wrds_disconnect(wrds)

Custom queries

Access any table and build queries with dplyr:

# Filter CRSP monthly returns for specific stocks
big_tech <- c(14593, 90319, 13407)  # Apple, Alphabet, Meta
get_table(wrds, "crsp", "msf") |>
  filter(permno %in% big_tech, date >= "2020-01-01") |>
  select(permno, date, ret, prc, shrout) |>
  collect()

# Lazy queries for large datasets
get_compustat(wrds, lazy = TRUE) |>
  filter(fyear >= 2000) |>
  select(gvkey, datadate, at, sale) |>
  collect()

Non-standard usage

get_compustat() applies standard research filters by default. You can customize these for specialized analyses:

# Financial services firms (banks, insurance, etc.)
# Default indfmt = "INDL" excludes these
get_compustat(wrds, indfmt = "FS", n = 100)

# Include non-consolidated statements
# Default consol = "C" returns only consolidated
get_compustat(wrds, consol = "B", n = 100)

# Add columns beyond the defaults
get_compustat(wrds, add_columns = c("emp"), n = 100)

# Specify your own column list (replaces defaults)
get_compustat(wrds, columns = c("gvkey", "datadate", "at", "lt", "seq"), n = 100)

Default filters by region:

Filter North America Global (without US)
datafmt "STD" "HIST_STD"
popsrc "D" (domestic) "I" (international)
indfmt "INDL" "INDL"
consol "C" "C"

To inspect the default columns and table names for any frequency/region combination:

wrds:::compustat_config("annual", "na")
wrds:::compustat_config("quarterly", "global")

Functions

Function Description
wrds_connect() Connect to WRDS using keyring credentials
wrds_disconnect() Close connection
wrds_set_credentials() Store credentials in system keyring
wrds_update_password() Update WRDS password without changing username
list_subscriptions() List subscribed data products with human-readable names
list_tables() List tables in a schema with descriptions
describe_table() Glimpse table structure with column labels
get_table() Generic access to any WRDS table
get_compustat() Download Compustat fundamentals
get_company() Download Compustat company header data
link_ccm() Get CRSP-Compustat linking table
link_ibes_crsp() Get IBES-CRSP linking table
wrds_products Reference dataset mapping schemas to product names

References