Appendix k — Data Card — Thomson Reuters / SEC 13F Institutional Holdings

Provider & what it is. Form 13F is the quarterly report that institutional investment managers with over $100 million in qualifying U.S. equity assets must file with the SEC, disclosing their long equity positions: which stocks, how many shares, what market value, as of quarter-end. There are two ways to get it. The free, public route is SEC EDGAR (the raw filings). The licensed, cleaned route is the Thomson Reuters / Refinitiv s34 institutional-holdings files on WRDS — the same disclosures, de-duplicated, with cleaner identifiers and a long historical panel. The reveal-the-trick point is that 13F is how you see what the big funds held, which lets you build common-ownership measures — pairs of firms held by the same institutions — the construct behind Capstone 2 and Gao, Han, Kim & Pan (2024).

Coverage

  • Span. EDGAR 13F filings are public from the mid-1990s onward; the Thomson/WRDS s34 panel extends the cleaned history back to 1980 (institutional holdings). [CHECK] exact Thomson s34 start year and any known post-2013 coverage break.
  • Frequency. Quarterly, as of calendar quarter-end, filed within 45 days after.
  • Universe. All 13F-filing managers (banks, mutual funds, hedge funds, pensions, insurers) and the U.S. exchange-traded equities and options on the SEC’s 13F security list. Holdings only — no shorts, no most derivatives.

Key identifiers

  • CUSIP (9-character security identifier) — how each holding is identified. CUSIP is itself a licensed identifier: you may use CUSIPs you obtain to merge your own data, but redistributing a large CUSIP-to-name master can violate CUSIP Global Services’ license. Keep CUSIPs inside your analysis; do not publish a CUSIP master file.
  • CIK — the EDGAR identifier of the filing manager.
  • MGRNO (Thomson manager number) and Thomson security keys in the s34 files.
  • Bridge CUSIP → CRSP PERMNO via the historical-CUSIP fields in CRSP (crsp.msenames) — a Ch 7.4 crosswalk, aligned on date.

Access path

Public (EDGAR) — same User-Agent and 10-req/sec rules as any EDGAR pull; pin the accession number:

import os
from edgar import Company, set_identity
set_identity(os.environ["SEC_USER_AGENT"])          # "Name email@gmu.edu" from env
mgr = Company("0001067983")                          # a manager's CIK, e.g.
info = mgr.get_filings(form="13F-HR").latest().obj().infotable  # one row per holding

Licensed (Thomson s34 on WRDS) — the cleaned panel; same wrds pattern, credentials from .pgpass/env:

import os, wrds, pandas as pd, pathlib
db = wrds.Connection(wrds_username=os.environ["WRDS_USERNAME"])   # secret from env
raw = pathlib.Path("data/raw/tr_13f_holdings_2018_2020.parquet") # git-ignored
if raw.exists():
    hold = pd.read_parquet(raw)
else:
    hold = db.raw_sql("""
        SELECT mgrno, cusip, rdate, fdate, shares, prc, shrout2
        FROM   tr_13f.s34
        WHERE  rdate BETWEEN '2018-01-01' AND '2020-12-31'
    """, date_cols=["rdate", "fdate"])
    hold.to_parquet(raw)                                          # GMU infra only
db.close()

[CHECK] the current Thomson 13F library/table name on WRDS (tr_13f.s34 vs. tfn.s34) — it has been renamed across vintages.

License & the “stays on GMU infrastructure” note (CONVENTIONS §5)

The filings are public (EDGAR — cache and share freely). The cleaned Thomson panel is licensed (WRDS, GMU-only), accessed read-only: query on WRDS Cloud or GMU’s Hopper, cache to a git-ignored data/raw/, and never commit, email off campus, post publicly, or paste into a commercial web service. Separately, CUSIP is licensed regardless of route — do not redistribute a CUSIP master. Ship the recipe (query + log), not the licensed bytes.

Gotchas — what 13F does not tell you

  • Long positions only. No shorts, no most derivatives — so a 13F is not the manager’s true net exposure.
  • 45-day reporting lag. Holdings are stale by the time you see them; treating a 13F as real-time positioning is a look-ahead error in reverse.
  • Confidential treatment. Managers can request to withhold some positions, so a disclosed table can be incomplete.
  • The “who is one manager” problem. Family-of-funds and sub-advisor structures mean the same assets can appear under several CIKs/MGRNOs; common-ownership measures are sensitive to how you aggregate managers. This is a modeling choice you must state, not a data field.
  • Thomson coverage break. A well-known data-quality drop in the Thomson s34 file around 2013 prompted many researchers to rebuild from raw EDGAR for recent quarters. [CHECK] before using post-2013 Thomson data.
  • Amendments (13F-HR/A). A quarter can be refiled; pin the accession number you used.

“First 10 rows” schema sketch (illustrative — not real 13F data)

mgrno (int) cusip (str) rdate (date) fdate (date) shares (int) prc (float) shrout2 (int, 000s)
11030 037833100 2018-12-31 2019-02-14 250000000 157.74 4715280
11030 594918104 2018-12-31 2019-02-14 18000000 101.57 7677000
11030 17275R102 2018-12-31 2019-02-14 9000000 42.66 4601000
90457 037833100 2018-12-31 2019-02-12 5400000 157.74 4715280
… … … … … … …

(Values invented to show shape and types: rows 1 and 4 are two managers holding the same CUSIP — the raw ingredient of a common-ownership pair.)

Which chapter/lab/capstone uses it

  • Capstone 2 — Common Ownership from 13F (TOC): constructing common-ownership measures and a disclosure/competition outcome (a student-track sibling of the anchor paper’s earnings-management outcome); ties to Gao, Han, Kim & Pan (2024), “Overlapping institutional ownership along the supply chain and earnings management of supplier firms,” JCF, 84:102520.
  • Week 6, Mentor Session 6 — the Gao et al. (2024) overlapping-ownership / earnings-management paper anchors the stretch questions.
  • Week 7, Ch 7.2 (§7.2.6) — 13F is the worked example of “public EDGAR vs. licensed Thomson,” the CUSIP-licensing caveat, and the long-only/45-day-lag/confidential-treatment limits.