Data Sources

There are many sources of data available but in my class and in your job, you must use primary sources. This means original data that has as little filtering as possible. This page includes other sources that are of comparable quality and reliability. They are free to access as you move from the university to your career.

Macroeconomic Data

• Bank for International Settlements (BIS) – international banking statistics
• Bureau of Economic Analysis (BEA)
• Bureau of Labor Statistics (BLS) – U.S. employment statistics
• CAPE Ratio – Cyclically Adjusted Price/Earnings Ratio by Robert Shiller
• Conference Board – consumer confidence data
• Economic Cycle Research Institute (ECRI)
• Energy Information Administration (EIA)
• Federal Deposit Insurance Corporation (FDIC) - banking data
• Federal Reserve Economic Data (FRED) – macroeconomic data and interest rates
• Institute for Supply Management (ISM) - manufacturing activity
• National Bureau of Economic Research (NBER) – official U.S. recession periods
• University of Michigan - consumer sentiment index
• U.S. Census Bureau - monthly retail trade report

Market Data

• Chicago Board Options Exchange (CBOE)
• Chicago Mercantile Exchange (CME) – delayed quotes on commodities
• CME FedWatch Tool - market-implied probability of FOMC rate changes
• Federal Reserve Foreign Exchange Rates - daily FX for major currencies
• FINRA Market Data – Stock Returns and Financial Statements
• Quandl - platform for distributing free and proprietary data sets
• NASDAQ - almost as good as FINRA but nicer design
• Securities and Exchange Commission (SEC) – EDGAR database of company filings / start with the 10-K for annual data and the 10-Q for quarterly data

Reseach Data

Asset Pricing Factors

• Fama-French Factors - factors by Kenneth French Video
• q-Factor Model - factors by Hou, Xue, and Zhang
• Quality Minus Junk - factor by Cliff Asness @ AQR

Premium Data Sources

These are some of the data sources you should expect to encounter in the industry. Any experience with the sources would be useful to mention in an interview.

• Bloomberg: Introduction | Single Company | News | Macro
• Mergent
• S&P Capital IQ
• Thomson One
• Thomson Reuters Datastream
• Value Line