CSR - Corporate Social Responsibility data

A nice source is: http://www.research-csr.com/?gclid=CMWr3NLJxMoCFarpwgodRZsK8Q#home
This report states that CSR aware companies have positive effect on their employees' motivation.
It's an open door to say that motivated workers are happier and more productive.
Another report is from KPMG: International Survey of Corporate Social Responsibility Reporting


More and more companies embrace CSR policy.
Company performance is measured and widely available in (economic) databases, but where can we find CSR data?

One of the concerns on the reliability of ESG databases. A couple ESG relevant ratings indexes, the Dow Jones Sustainability Index, the FTSE4Good Index and the MSCI ESG Indices.


I made an earlier attempt (march 2015) to provide an overview of sustainability datbases. You can find it here . Specifically, I also made a post on DJSI (jan. 2016)

Library of Calgary University provides a list link

An extra overview

RepRisk
Through Wharton databases (no open access)

Asset4 in Datastream (no open access)

Corporateregister.com link
Their site says: "CorporateRegister.com is the world's largest online directory of corporate responsibility (CR) reports, past and present, making it the primary reference point for CR reports and resources worldwide. The majority of our content is available free of charge after registration as a service to the global CR stakeholder community."

ESG Direct link
"A comprehensive research database, measuring the environmental, social and governance (ESG) performance of corporations. The web-based database contains ESG and controversial business involvement research on more than 4,000 companies in 50+ global markets. The database provides over 200 ESG indicators and over 2,000 ESG points. It provides continuous global coverage for involvement in controversial lines of business, such as nuclear power, tobacco, and weapons." (Cornell University Library)
Avialable through: you have to sign up


Global Reporting Initiative (GRI) link (open access)

 "is an international independent standards organization that helps businesses, governments and other organizations understand and communicate their impacts on issues such as climate change, human rights and corruption."(wikipedia)
 Available through: Datastream, limited, only reporting concordance with GRI guidelines

MSCI ESG Integration 
Their site says: "MSCI ESG Research provides in-depth research, ratings and analysis of the environmental, social and governance-related business practices of thousands of companies worldwide".
Available through: (not open) 
Datastream: find series > search words > msci esg > indices >
Other search terms as presented at link don't give results

DJSI - Dow Jones Sustainability Indices

Sustainability has become a hot topic in business.
The indices founded to investigate, measure and promote company to embrade a social responsibility agenda, currently the 2500 largest from Dow Jones Global Total Stock Market Index (DJGTSMI).
It covers the top-ten percent of these companies in terms of economic, environmental, and social criteria which equals about 300 companies. The DJSI World has two subset indexes, which are the Dow Jones Sustainability Index World 80 (DJSI World 80) and the Dow Jones Sustainability Index World ex US 80 (DJSI World ex US 80) (wikipedia)

Companies are consequently invited to join the "DJSI family".
The DJSI is based on corporate economic, environmental and social performance criteria, containing corporate governance, green agenda, social agenda etc.
The DJSI is managed by S&P Dow Jones Indices and RobecoSAM* (sustainability asset management)
The main Index is DJSI world

An overview of the DJSI family (linked from http://www.sustainability-indices.com)































Options on sustainability and sustainability indices:

Datastream contains an ESG Asset4 database providing sustainability information, and data about CSR (Company Social Responsibility)
Wharton/ Compustat doesn't contain any sustainability data (ESG related)
Reprisk** does.

Neither Wharton (Compustat Index Constituent), Compustat Global Index Constituent nor Datastream  constituent lists from indexes result in company lists.


Dow Jones Global Total Stock Market aggregated index is available in Datastream
As far as I can see, Wharton databases don't.

According to Datastream (static search djsi > constituent lists)
the index meniotned (ex tobacco) Clicking the rule mentiones constituent for three indexes. > so I called the three indexes:
1. Dow Jones Sustainability Indices World Excluding Tobacco (Dollar)
2. Dow Jones Sustainability Indices World Excluding Tobacco (Euro)
3. Dow Jones Sustainability Indices World Excluding Tobacco (Swiss Franc)

1:  Three constituent lists > No data, no constituents

DJSI World Composite (LDJSWDCE) > Constituent list >

EITHER SEARCH: results in NA (not available)

Sources for companies:
http://djindexes.com/sustainability/?go=literature

* RobecoSAM > this company deals with sustainability specifically.
(water, energy, climate, agriculture, and liveability )

** Reprisk:
https://www.reprisk.com/

DJSI family:
Dow Jones Sustainability World Index
Dow Jones Sustainability Europe Index
Dow Jones Sustainability North America Index
Dow Jones Sustainability Asia Pacific Index
Dow Jones Sustainability Korea Index

CONCLUSION:
Idealy it would be easy to retrieve the companies composing those indices. But it isn't.
As for the companies constituing the index: the list impossible to retireve anywhere. The only resolve is to contact RobecoSAM (Academic requests: http://www.sustainability-indices.com/academic-request.jsp

New website interface Wharton/ Compustat

Mid July 2015 Wharton changed its website for a test and published a beta version.
Luckily I was in the opportunity of checking it out.
Here are a couple of impressions

Old Interface

New Interface

1st impression. Non subscribed databases don't show on the starting page.
Example search Compustat > Compustat Global >  Fundamentals Annual > data searching

Compustat Global OLD

Compustat New

After this the screens look familiar.

For explanations on Wharton / Compustat in the old Interface > check out these blog items

Auditor independence, auditor tenure and restatements

Auditor tenure:

It is obvious that (internal/ external) auditors are supposed to be independent, otherwise the need to report after discovering accounting errors and such could be biased.

Therefore it is healthy to rotate auditors, lest they don' t get (financially involved in the company they are auditing) Independence stimulates integrity and objectivity.

SEC has formulated Requirements Regarding Auditor Independence.

The rest of the world should follow suit shortly.

 
Restatements happen when things in the statement are found incorrect.
The cause could be anything from accounting errors, noncompliance with accounting principles, misinterpretations, fraudulent activities or other.
Restatements can be positive or negative. No need to say that a negative restatement can influence stock trade and or company performance. ( source Investopedia)
Needed extra statements:
8-K
10-Q
10-K

Recommendations and regulations

. auditor and consultants shouldn't come from same company

. auditing companies shouldn't have a large stake in he client's company

. reviews of the auditing by a peer auditor on 3 annual basis (USA)

. formation of audit committees

. rotation of auditors to insure independence 

> objection is lack of insight in the company when  high rotation occurs (discussion on rotation frequency) 

> in fact one might expect, like in any work situation, that efficiency improves over time until it peaks and after that declines

Databases dealing with mentioned subjects

Amadeus

XXXX

Wharton

Auditor tenure as WRDS explains it.
LAST REPORTED AUDITOR FKEY
LAST REPORTED AUDITOR NAME
LAST REPORTED AUDITOR SINCE EVENT DATE
LAST REPORTED AUDITOR SINCE EVENT TYPE

Audit Analytics (North America) Auditor changes
For instance looking for accounting errors or fraude.

Results list

(the output can be exported to Excel)

Also see this post:

Auditor information

Financial statement: connecting income statement and balance sheet

For most people reading income statements and balance sheets of companies and connecting them comes close to reading Latin upside down.
Simplified it boils down to this:
When you make a sale, your assets grow and your liabilities decrease
When you make an expense your liabilities grow and your assets decrease


Uiversity libraries may have access to several, less or more data sources to annual reports:
1.Annual reports > the library has a collection of digital annual reports .
2. Datastream
3. Compustat (fundamental annuals)
4. Company.Info

This post tries to chart which parts of Balance sheet and income statement can be downloaded in which database.


The arrows point connections between  Blance sheet and income statement.

Datastream

Since our World scope license in Datastream allows only 120 items from the balance sheet, not all balance data can be downloaded. (see posts in the scheme)

Compustat
It is interesting to check if Compustat provides more data.
The only data item not providing any data is SPPCH (fixed assets) Datastream does, however.

Drawing conclusion: you can't retrieve all data from a single database.
This means you'll have to combine databases.

note: the number of possible data-items within Compustat is much larger than the ones I mentioned, showing more complex parts of the balance sheet and income statement. I have decided to stick, when possible, to totals.

Interest Rates, related instruments and databases

(*Note*: for some information links an user connection to Thomson Financial is required, e.g. to Datastream extranet)
Datastream says the following on interest rates and exchange rates:

Interest rates: 20,000+ time series updated daily, with history starting in the 1980s. 

Covered are money market instruments like treasury bills and bonds, LIBOR and other interbanks, certificates of deposits, repo rates and central bank policy rates (various currencies)

Exchange rates: 5,000+ daily rates, 20 years, 168 currencies. Against US dollar and vice versa and e.g. euro.
Datastream Extranet provides a page on this topic. (accessible to Datastream users) > link

Among them an overview (link) of Risk Free rates.
Also see this blog item: link

And a list of Interest Rates in Excel, with an overview of national, international, eurozone, LIBORS, ICAP and government and corporate bond yields: link

WRDS
The WRDS portal gives access the the FAMA French & Liquidity Factors.
Risk Free rates can be found in daily with output code RF.
From WRDS website: 
Q:  Accessing a Daily "Risk Rate Free" Series that can be Used in CAPM Models
A: The easiest way is via our Fama-French Factors page located at:Fama French Factors Daily. The 'Risk Free Rate' is labelled "RF (One Month Treasury Bill Rate)". 

FAMA daily factors

Steps1, setting time window:  (clickable calendar), mind it's daily data
Step 2, selecting the factors (RF)
Step 3, output format > tip: always do TAB delimited

As for T-Bill Bonds in WRDS
Three month Tbill:
Not in Wharton, but in OptionMetrics (not subscribed) has the Stock Option data and PHLX (Philadelphia Stock Exchange) contains Currency Option data (subscribed).
Check CBOE website (for interest rates) < not in Wharton
CBOE (Chicago Board Options Exchange) in Wharton: (subscribed) > Volatility Index (VIX) < click


3 month money market and short term US t-bill:
CRSP daily treasury (treasury daily) - calendar file  and short term rate (government) (not subscribed)
Also Federal Reserve Bank St. Louis (FRED) for interest rates. (registering is free)
Looking on the Wbsite (search field interest rate > link 3 month treasury bill market rate >

This website provides a nice overview of databases with interest rates and risk fee (link)
Another feature of this website is that it offers historic data, going back many years.
Among them: GFD, Global Financial Database.
Registering for an academic account appears to be free.

To try it out I searched for Netherlands, commodities, prices. This is a short overview of results.

At this point remarks show up you haven't got access.
I am not sure if the provided e-mail results in bills.
But I guess that this resource may be interesting for historisc economic research.

Compustat Global - Index Constituents code lookup

Lately code lookup (Step 2) in Index Constituents of Compustat Global has become impossible.
The WRDS tream working is on a solution.
For the time being the customers can use the provided list of GVkeys codes

NOT AVAILABLE ANYMORE
150008    FTSE 100 Index
150013    FTSE 250 Index

AVAILABLE
GVKEYX    Index Name
115114    Jasdaq Index
150007    Composite DAX Index
150012    BSE 100 Index
150021    SBF 250 Index
150022    Helsinki General Index (HEX)
150033    KLSE Composite Index
150034    Madrid Stock Exchange Index
150039    IPC Index-Mexico
150051    Hang Seng Index
150061    Australian All Ordinary Index
150067    Strait Times-Singapore Index
150069    Nikkei 225 Index
150070    Swiss Market Index
150072    TAIWAN WEIGHTED INDEX
150077    Tokyo Stock Exchange Second Section Stock Price Index
150086    Brazilian Bovespa Index
150093    CAC 40 Index
150095    Deutscher Aktienindex (DAX) Index
150098    Athens Stock Exchange General Index
150099    S&P 700 Index
150147    S&P ASX 20 Index
150151    ATX Index
150152    Belgium 20 Index
150155    S&P ASX ALL AUSTRALIAN 50 INDX
150171    SBF 120 Index
150184    Bombay Stock Exchange Sensitive Index
150192    Nikkei 300 Index
150194    Topix Index
150196    INMEX Index
150262    Amsterdam AEX - Index
150267    OBX Index
150270    WARSAW WIG Index
150280    Swiss Performance Index - SPI
150339    Hang Seng H share index
150340    OMX Copenhagen 20 Index
150343    ATX 50 Index
150352    Milan MIB 30 Index
150354    PSI 20 Index
150355    Korea Stock Price 200 Index
150356    HDAX
150376    Dow Jones STOXX 600 Price Index
150377    Dow Jones STOXX 50 Index
150378    Dow Jones European STOXX Index
150912    S&P Euro Plus Index
150913    S&P Euro Index
150915    S&P Latin America 40 Index
150916    S&P/Topix Index (Japan) Index
150917    S&P United Kingdom Index
150918    S&P Global 1200 Index
150919    S&P Global 100 Index
150927    S&P Europe 350 Index
150928    Euronext 100 Index
150940    Dow Jones Euro STOXX 50 Index
150944    JSE/FTSE Top 40 Index
151012    S&P Asia 50 Index
151013    S&P ASX 50 Index
151015    S&P Japan 500 Index
151020    S&P ASX 100 Index
151210    Budapest Stock Exchange Index
151227    OMX Stockholm 30 Index
151229    Merval Index
151232    IBEX 35 Index
151312    New Zealand Stock Exchange 50 Index
151337    ISE 30 Index
153256    Deutscher Aktien MDAX (Perf) Index
15356     LG CAP, Exchange HDAX
153376    S&P ASX 200 Index
153432    Deutschier Aktien TECDAX (Perf)
160134    OMX Helsinki 25 Index
160136   Tokyo SE  Real estate
Index ticker code
I6UKN059   Dow Jones Euro Stoxx 600

Bond types, WRDS and Datastream

Bonds are means of companies of borrowing money. Basically it's an IOU  at with agreed percentage interest (not all times)

This post will focus basic and briefly on bond types, issuers and databases at Vrije Universiteit that provide bond data.

Issuer (borrower)
Agencies
These bonds do not include those issued by the U.S. Treasury or municipalities. They include such agencies as Fannie Mae, Freddie Mac, Sallie Mae and the Federal Home Loan Banks.
Corporate (companies)
A corporate bond is a bond issue by a corporation. It is a bond that a corporation issues to raise money effectively in order to expand its business
Sovereign (governments)
A government bond is a bond issued by a national government, generally with a promise to pay periodic interest payments and to repay the face value on the maturity date.
Financial Institution ((investment)banks, insurance companies)
In financial economics, a financial institution is an institution that provides financial services for its clients or members.
Supranational
An international organization, or union, whereby member states transcend national boundaries 

Bond types 
With warrant
In finance, a warrant is a security that entitles the holder to buy the underlying stock of the issuing company at a fixed exercise price until the expiry date, and that can be profitable. Warrants are often connected to bonds or preferred stock to draw extra investors, allowing the issuer to pay lower interest rates or dividends
Convertible
A convertible bond or convertible note is a type of bond that investor can convert into a specific number of shares in the issuing company or into cash of equal value. It is a possesses debt- and equity characteristics.  
See also:  this Wikipedia   < - link
Floating rate
Floating rate notes (bonds) are bonds that have a variable coupon, following money market rates, like LIBOR or federal funds rate, plus a quoted spread (a.k.a. quoted margin). The spread is a rate that remains constant. Most often short term. In the U.S., government sponsored enterprises are important issuers. In Europe the main issuers are banks.
Straight
A bond that pays interest at regular intervals, and at maturity pays back the principal sum that was originally invested (interest and money back). Straight bonds are debt instruments because they are essentially loaning money (creating debt) to an entity, IOU.
Zero coupon 
Zero-coupon bonds (discount bond) is a bond bought at a price lower than its face value, with the face value paid back at the time of maturity. It does not make periodic interest payments, or have so-called "coupons", hence the term zero-coupon bond.

(Sources: Wikipedia and Investopedia) 


Comparison
Taken from Q&A in WRDS: 
Do TRACE and FISD contain all bonds covered in Datastream? 
How do Datastream, TRACE and FISD compare relative to each other in terms of bond coverage?
Note: FISD (Mergent) < no subscription at VU

1. TRACE is based on intraday trading reports from bond brokers.
Also read this  < - link
TRACE does not contain all bonds available in Datastream because of the time coverage and the country scope and the focus of TRACE is on bond trades information, not on bond characteristics.

2. Datastream
Regarding Datastream, this product is currently not offered through the WRDS system. It covers many countries and includes information on dead bonds, has individual bonds issued back in 1990s, and you also may find some thirty-year benchmark bonds issued back in 1970s or 60s. For third-party bond indices, history varies, but for Datastream Global Government Bond indices, the history goes back to late 1980s.
Also see this page < - link


Wharton database TRACE < - see also this blog page

Datastream
Beginning: (simple search)
Start up Excel > Click TAB Datastream > choose from the menu on the left either Static Search (for work sets) or Time series (financial data) > Press link : Choose a single category and select 
Bonds & convertibles

The next screen looks something like this:

You can further narrow with the filter menu on the left hand side:

Filters used: Market: international > type: bond > Issuer type: corporate >borrower: heineken: end result 
22 bonds
Select all > click link USE (which lights up when you select any bond) 
Back in the menu, now it's time to search for the datatypes (orange button > providing the data)
This example: static search, hence static datatypes
Note: make certain when looking for bonds data, to use the bonds data types (mouse over at top Data Category)

 













It's always recommended to reset your screen to remove any possible filters. (button at top right)
There are 223 static datatypes. You can further narrow with e.g. pressing link  key datatypes in the menu on the left. Those are the key static datatypes.

Note clickable field static.
Select all in field above the selection squares, and press use selected.
Back in the menu.
Now it's time to decide whether to transpose and/ to embed (don't since we are searching static data)

Possible Output:
Any datatype that isn't subscribed does not provide data 
(message: ERROR, invalid code or expression,  you don't have access)
NA means not available (read  . . . "yet" or "anymore")

Output example Static.

 







Same bonds in a Time Series with key datatypes

A very clear blog item on issuer types and where various kinds of bonds can be found in Datastream can be found here. < - click link
 

Bonds trading Compustat

Wharton covers database TRACE

. TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities. Real-time price dissemination service  .

Note: this particular database can provide massive output files (Terrabytes) as it covers data per click.

Example: Trace Bond Trades, company: Microsoft Corp, period: May 1st - June 30th 2013
Downloaded items:

One month of data of a single bond. 
Output: (size: 282 KB, 4465 observations 8 variables; tab delimited TXT, preset in columns)

!! 
This is something to keep in mind, as data from a work set of companiers over an extended period can provide enormous output data.
!!

For opening your output file TXT, see this blog (click)

Company identifiers - Datastream

In an ideal world all data of all databases would be inter exchangeable without effort. Unfortunately that's not the case. This series of posts will provide hands on info on combining data sets between different data bases.

Why would you bother?

In cases with only a handful of company it would be no big deal to search your companies one by one, but when your work sets exceeds a significant number, say over 50, your searches would get too time consuming.

Using company names in combining data bases:

Not a good idea. Names change, and different data bases may decide to present company names differently: word order, language or abbreviated names.

Example:
Koninklijke Ahold
Datastream: Ahold Kon.
Compustat: KONINKLIJKE AHOLD NV
Amadeus: Koninklijke Ahold N.V.
Audit analytics: Royal Ahold
It's a better idea to use objective methods to identify company by, the 'company identifiers.'

 Datastream

This blog post assumes you are familiar with the basics of Datastream.
If not, then you can consult the following posts:

Balance sheet in Datastream
Event studies 1
Event studies 2
Making a data set is best done in Static Search.
See also: exporting data from Datastream into Compustat

Note: Datastream data sets can be translated ino more databases than just Compustat.

First. Search your set (e.g. a constituent of an index or all active equities on a stock exchange)
The identifiers can be found in datatypes search.
Recommended are Name, time, ISIN, SEDOL, Ticker, Cusip, dscode (datastream code)
Example. (NA is not available)

Converting downloaded Russell cusip for Wharton / Compustat
(USA companies only > download ISIN for non USA companies)
The Wharton machine has a conversion  option under the TAB Research.
(starting page)
When you got a Datastream output with Russell Cusip (USA companies) first remove the U in front of the code with function Right. First make new columns. Next click fucntion key ƒx; next search for right (find) Once found click OK to open the menu
TEXT: Click first cell with Russell CUSIP.
Num Chars: fill in 9
OK
You got CUSIP 9












Double click the + in the bottom right of the newly created code.
Select all new CUSIPs and copy into Notepad.
Save.
Press TAB Research and click option CUSIP converter
Use browse Button and select the desired output number (in my case I tested for CUSIP 6)
This works wonderfully.


Uploading CUSIP in Datastream
If you want to upload company identifiers from other databases into Datastream ISIN works best.
Wharton North America does not download ISIN (neither does SDC M&A).
From Wharton North America you can download CUSIP. These have to be converted. You can do that like this:
If you downloaded 9 digit cusip from Wharton / Compustat, and you want to use it in Datastream and / or change it into an ISIN code, you might consider doing the following.

Convert it from a Worldscope code.

CUSIP 123456789 Put U in front: U123456789
(this only works for companies that are available through Worldscope)
Method:
Make a column with U
Have your column with CUSIPS
Use function Concatenate (tekst samenvoegen) in Excel.
 = CONCATENATE ( A1, A2)

Insert new column. Type U: Double click + in right bottom corner
Use Concatenate formula:
= CONCATENATE ( A1, A2)

Double click + symbol
Upload into Datastream using the option Create list from range (the selected CUSIPS)

Perform Static search:
Find your uploaded list with the list picker
(magnifying glass symbol right beneath Select/find series button)
Datatypes: name, ISIN.
Also select DScode for your output.
Submit
Now you got ISIN

Use the ISIN for Time series data: repeat upload from range.

Also see mark Bruyneel's blog on this subject. click
Information on the create list from range option click
Same item for list picker click
Also see easy Excel tips click

Volatility and Volatility Indices

The financial markets are always interested in movements and trends.
One way of keeping track and predicting is measuring volatility of equities or or indices, currencies etc.

Volatility can also be calculated through standard deviation or variance between the returns (Ri) 
The highter the volatility, the more it is likely for the values to fluctuate (wildly).
Stable equities, on the other hand, show a low volatility.

Volatility "lives in the past" as it measures movements in the past.
Oppositie are options, which predict movements, in other words expected volatility.
The higher the expected volatility, the more an equity will cost.

Example: in the period preceding publication of (bi)annuals the expected volatilty will be higher (and thus more expensive).

Volatility Index
Another way of decribing volatilty is that it measures risk (fear or anxiety), be it equities, indices or markets.
A volatilty index aims at measures risk of markets.
Chicago CBOE (Chicago Board Options Exchange) deals with volatilties of S&P 500, the VIX.
VIX is quoted in percentage points and that expresses the expected movement of a 30 day period of time, which then is annualized.

Another method of measuring volatilty is using the BETA. This sets a securitie's returns (Ri) against the return of a benchmark (usually the S&P50 is used)

Datastream:
The Beta can be drawn from the Static Search Menu through ready made formulas.

The button leads to the expression picker.
Type 'volatility' and all ready made expressions will show.

Result

Wharton WRDS
Wharton Compustat contains a seperate Database called  CBOE Indexes.
The CBOE (Chicago Board Options Exchange) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices.
The New VIX is based on S&P 500 index option prices and incorporates information from the volatility "skew" by using a wider range of strike prices rather than just at-the-money series. 

First of all set your time scope. (range)
Swecond: these are the possible CBOE:

Note the possible data. It's the index as a whole, and only defaults.
Last step: out. recommended is storing as TABulated.TXT

Opening a TAB-delimited file in Excel. A wizard will guide you there. 
Take care to select it concerns a DOS (PC 8) file. The delimitation will be recognized by the wizard. 
Last, select all columns by scrolling to the right pressing SHIFT-CLICK and make certain to press radio button text.
Opening your compustat save < click  link

Units: percentage points









 Philadelphia  Stock Exchange PHLX: (money market)
Two choices: currency options and implied volatility