Data Sources and Data Sets

This document lists all data sources used in the codebase, the specific databases/tables accessed, and the subscriptions required to run the code successfully.

Data Source Summary Table

Data Source	Database/Table(s)	Subscription/Access Required
He, Kelly, Manela	(public URLs)	None (public)
Ken French Library	(public URLs)	None (public)
NYU Call Report	(public URLs)	None (public)
Fed Yield Curve	(public URLs)	None (public)
Open Source Bond Asset Pricing	(public URLs)	None (public)
WRDS Compustat	comp.funda	WRDS + Compustat North America
WRDS Bond Returns	wrdsapps_bondret.bondret	WRDS + Bond Returns
WRDS CRSP	crsp.stksecurityinfohdr, crsp.msf_v2, crsp.ccmxpf_linktable	WRDS + CRSP (Stock, Link)
WRDS CRSP Treasury	crspm.tfz_dly, crspm.tfz_iss	WRDS + CRSP US Treasury
WRDS Markit CDS	markit.CDS{year}, markit_red.redobllookup, markit.redent	WRDS + Markit CDS
WRDS Mergent FISD	(via mapping to Markit RED codes)	WRDS + Mergent FISD

Data Modules

Data modules are subfolders in the src directory that contain a set of scripts that generate 1 or more related datasets. These data sets are grouped together because they use the same data sources. The following lists the data modules, such as cds_bond_basis, along with the data sources used in each module.

• corp_bond_returns: Calculates returns for corporate bonds, sovereign bonds, and treasury bonds. Uses Open Source Bond Asset Pricing and WRDS Bond Returns.

• cds_bond_basis: Uses Open Source Bond Asset Pricing and WRDS Markit CDS.

• fed_yield_curve: Uses Fed Yield Curve data downloaded from the US Federal Reserve Board of Governors website.

• foreign_exchange: Uses …

• he_kelly_manela: Uses “He, Kelly, Manela Test Portfolios and Factors” data downloaded from Asaf Manela’s website.

• ken_french_data_library: Pulls data from the Ken French Data Library, using the Pandas Data Reader Python package.

• nyu_call_report:

• wrds_bank_premium:

• wrds_crsp_compustat:

• wrds_markit:

Misc

• CRSP Returns (with and without dividends)

• Compustat Panel Data

• Fama-French Portfolio Returns

• Treasury Yield Curve

• Bank Call Report Data

He, Kelly, Manela Test Portfolios

We can just use the test portfolios as downloaded from their website, though it would be nice to use data up until the present day.

• Equity CLOSE

• [.] Treasury Securities

• [.] Corporate Bonds

• [.] Sovereign Bonds

• [.] Options

• [.] Foreign Exchange

• [.] Commodities CLOSE

• [.] CDS CLOSE

He, Kelly, Manela Disaggregated Data

• [.] Equity

• [.] Treasury Securities

• [.] Corporate Bonds

• Sovereign Bonds

• [.] Options

• Foreign Exchange

• Commodities

• [.] CDS

Segmented Arbitrage, Arbitrage Spreads

• CIP

• [.] Box Spread

• [.] Equity Spot-Futures

• [.] Treasury Spot-Futures

• [.] Treasury Swap

• [.] TIPS-Treasury

• [.] CDS-Bond Basis

Notes

• WRDS is not a monolithic subscription. Each dataset listed above typically requires a separate subscription through the WRDS platform.

• Public data sources (Ken French Data Library, Fed Yield Curve) typically don’t require paid subscriptions.

• Access credentials for WRDS are configured in environment variables. Please set the .env file following the .env.example file.

• Specify which subscriptions you have access to in the subscriptions.toml file.