WRDS

The WRDS plugin contains connection code, Python building blocks for the standard CRSP and Compustat constructions, twelve WRDS research scripts, and the competing Ken French, Drechsler, and Open Source Asset Pricing conventions written out and compared. It is for pulling and constructing CRSP, Compustat, and IBES data. The access itself is your institution’s WRDS subscription and the wrds Python package, and Claude can query WRDS without the plugin; what the plugin adds is which query to write. Ask for a momentum sort or a book-to-market panel and you get a standalone, re-runnable Python script — no SAS step, no notebook to adapt, and no data shipped with the plugin.

What it contains:

  • A library of numbered code sections: connection, CRSP monthly, market cap, Compustat annual with book equity, the CRSP-Compustat link, accounting merges, and firm age. Claude copies the sections a project needs into that project’s own build script rather than importing them, so the script still runs later without the plugin installed. Every query has been run against live WRDS.
  • CRSP v2 (msf_v2) rather than the older tables. Returns there are already delisting-adjusted, so the missing-dlret imputation — which older code resolved as -0.30, as -0.35/-0.55, or not at all — does not arise.
  • The constructions on which Ken French, the Drechsler WRDS script, and Open Source Asset Pricing disagree: preferred-stock valuation, the shareholders’-equity cascade, whether negative book equity is dropped, accounting-to-month alignment, and a reporting lag of four months or six. Claude asks rather than choosing, and records the answer with the result. The measured effect of each is documented — the preferred-stock ordering changes book equity on 6.4% of firm-years, dropping non-positive book equity removes 11.4%, and alignment moves the median book-to-market of the cross-section by about 14%.
  • Notes on constructions that give wrong numbers without any error. Screening on columns joined from stksecurityinfohist keeps 222 of the 2,004 delistings in 2000–2001, against 1,815 reading msf_v2’s inline columns. Market cap not aggregated across share classes puts Berkshire at $303bn rather than $745bn. Accounting merges that drop unmatched months turn “no gvkey” into a survivorship screen, and December of year t in the book-to-market denominator leaks eight months of prices.
  • Twelve WRDS research scripts, for tables the code sections don’t cover: Fama-French factors on both CRSP vintages, the CRSP-IBES link (the ICLINK score methodology, where IBES work starts), earnings surprise and announcement-window returns, DGTW benchmarks, momentum, size portfolios, S&P 500 constituents, an event study, and three 13F scripts. Mostly by Qingyi (Freda) Song Drechsler, Research Director at WRDS. An index lists what each builds and their known defects.
  • The WRDS layer for Coauthor, which is otherwise domain-agnostic. Its Analyst and Replicator take their WRDS knowledge from here, so empirical rounds need both plugins.

Requirements

  • A WRDS account through your institution, with ~/.pgpass set up. Claude resolves your username at run time from $WRDS_USER, ~/.wrds, or the ~/.pgpass line itself, so an unattended build doesn’t stop to prompt.
  • Python (installed via Help → Run Setup… in Academic Studio). The wrds package pins an old pandas in its metadata; Claude installs it in a way that leaves your current pandas alone.
  • Nothing extra for Open Source Asset Pricing — that data is public and downloaded on demand.

Installation

Open Help → Run Setup…, follow the “Teaching & research plugins” link, and check WRDS, along with Python under Supporting programs.

Run Setup is also where updates appear — it flags a new version of the plugin when one is available, so you don’t need to download a new copy of Academic Studio to get it. The installed plugin lives in your shared Claude configuration, so it works from Claude Code CLI and the Code mode of Claude Desktop too.

Academic Studio is not required. The plugin is published in the kerryback/skills marketplace, so you can install it into Claude Code directly:

/plugin marketplace add kerryback/skills
/plugin install wrds@kerryback-skills

Adding the marketplace is a one-time step — every other plugin on this site installs from it the same way. The same two commands work from a terminal without an interactive session, as claude plugin marketplace add kerryback/skills and claude plugin install wrds@kerryback-skills.