PyPI 官网下载 | frds-0.4.2.tar.gz

 # FRDS - Financial Research Data Services   [](https://github.com/psf/black) [`frds`](https://github.com/mgao6767/frds/) is a Python framework that aims to provide the simplest way to compute [a collection of major academic measures](#supported-measures) used in the finance literature, one-click with a Graphical User Interface (GUI).  ## Supported Measures The built-in measures currently supported by `frds` are as below. New measures will be added to `frds` gradually and can be easily developed following a template shown in [Developing New Measures](#developing-new-measures). ### Firm Characteristics * [Accounting Restatements](https://frds.io/measures/accounting_restatement) * Number of various accounting restatements during the past (*n*) fiscal year. * Source: `wrds.comp.funda`, `wrds.audit.auditnonreli`. * [Asset Tangibility](https://frds.io/measures/asset_tangibility) * Property, Plant and Equipment (Net) scaled by total assets. * Source: `wrds.comp.funda`. * [Board Independence](https://frds.io/measures/board_independence) * Board size and independence measured as the ratio of independent board members to board size. * Source: `wrds.funda`, `wrds.boardex.na_wrds_company_profile`, `wrds.boardex.na_wrds_org_composition`. * [Book Leverage](https://frds.io/measures/book_leverage) * Amount of debts scaled by the firm's total debts plus common equity. * Source: `wrds.comp.funda`. * [Capital Expenditure](https://frds.io/measures/capital_expenditure) * Capital expenditures scaled by total assets. * Source: `wrds.comp.funda`. * [Credit Rating](https://frds.io/measures/credit_rating) * S&P credit rating. * Source: `wrds.ciq.erating`, `wrds.ciq.gvkey`. * [Executive Ownership](https://frds.io/measures/executive_ownership) * Various measures of executive stock ownership. * Source: `wrds.comp.funda`, `wrds.execcomp.anncomp`. * [Firm Size](https://frds.io/measures/firm_size) * Natural logarithm of total assets. * Source: `wrds.comp.funda`. * [Market-to-Book Ratio](https://frds.io/measures/market_to_book) * Market value of common equity to book value of common equity. * Source: `wrds.comp.funda`. * [ROA](https://frds.io/measures/roa) * Income before extraordinary items scaled by total assets. * Source: `wrds.comp.funda`. * [ROE](https://frds.io/measures/roe) * Income before extraordinary items scaled by common equity. * Source: `wrds.comp.funda`. * [Stock Delisting](https://frds.io/measures/stock_delisting) * Stocks delisted due to financial troubles or as a result of being merged. * Source: `wrds.crsp.dse`. ### Bank Holding Company (BHC) Characteristics * [BHC Size](https://frds.io/measures/bhc_size) * Natural logarithm of total assets. * Source: `frb_chicago.bhc.bhcf`. * [BHC Loan Growth](https://frds.io/measures/bhc_loan_growth) * Natural logarithm of total loans in the current quarter divided by the total loans in the previous quarter. * Source: `frb_chicago.bhc.bhcf`. * Referece: [Zheng (2020 JBF)](https://doi.org/10.1016/j.jbankfin.2020.105900). * [BHC FX Exposure](https://frds.io/measures/bhc_fx_exposure) * Fee and interest income from loans in foreign offices (BHCK4059) scaled by total interest income (BHCK4107). * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC NetIncome/Assets](https://frds.io/measures/bhc_netincome_to_assets) * Net income (BHCK4340) / total assets (BHCK2170). * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC Dividend/Assets](https://frds.io/measures/bhc_dividend_to_assets) * Cash dividends on common stock (BHCK4460) / total assets (BHCK2170). * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC RegulatoryCapital/Assets](https://frds.io/measures/bhc_regcap_to_assets) * Total qualifying capital allowable under the risk-based capital guidelines (BHCK3792) normalized by risk-weighted assets (BHCKA223). * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC Tier1Capital/Assets](https://frds.io/measures/bhc_tier1cap_to_assets) * Tier 1 capital allowable under the risk-based capital guidelines (BHCK8274) normalized by risk-weighted assets (BHCKA223). * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC Gross IR Hedging](https://frds.io/measures/bhc_gross_ir_hedging) * Total gross notional amount of interest rate derivatives held for purposes other than trading (BHCK8725) over total assets (BHCK2170); for the period 1995 to 2000, contracts not marked to market (BHCK8729) are added. * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC Gross FX Hedging](https://frds.io/measures/bhc_gross_fx_hedging) * Total gross notional amount of foreign exchange rate derivatives held for purposes other than trading (BHCK8726) over total assets (BHCK2170); for the period 1995 to 2000, contracts not marked to market (BHCK8730) are added. * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). * [BHC Maturity Gap & Narrow Maturity Gap](https://frds.io/measures/bhc_maturity_gap) * Maturity gap is defined as the earning assets that are repriceable or mature within one year (BHCK3197) minus interest-bearing deposits that mature or reprice within one year (BHCK3296) minus long-term debt that reprices or matures within one year (BHCK3298 + BHCK3409) minus variable rate preferred stock (BHCK3408) minus other borrowed money with a maturity of one year or less (BHCK2332) minus commercial paper (BHCK2309) minus federal funds and repo liabilities (BHDMB993 + BHCKB995), normalized by total assets. * Narrow maturity gap does not subtract interest-bearing deposits that mature or reprice within one year (BHCK3296). * Source: `frb_chicago.bhc.bhcf`. * Reference: [Rampini, Viswanathan and Vuillemey (2020 JF)](https://doi.org/10.1111/jofi.12868). ## Installation & Configuration [`frds`](https://github.com/mgao6767/frds/) requires Python3.8 or higher. To install using `pip`: ```bash $ 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`: ```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: ```bash $ python -m frds.gui.run ``` Alternatively, run without GUI to estimate all measures with default parameters: ```bash $ python -m frds.run ``` You can also use the following example to use `frds` programmatically. ```python from frds import Professor from frds.measures import AccountingRestatement, ROA, FirmSize measures = [ AccountingRestatement(years=1), AccountingRestatement(years=2), ROA(), FirmSize(), ] config = dict( wrds_username="your_wrds_username", wrds_password="you_wrds_password", result_dir="path/to/