I need CDS spread data over the US market. I would need data for an exact period. I can't find the data I need through Bloomberg. Does anyone by any chance have CRSP or WRDS and could help me out?
If I understand correctly, you don't have access to IHS Markit historical consensus CDS spreads, but you do have access to CMAN (CMA North America) historical CDS spreads on Bloomberg terminal. While IHS Markit would be a little better data, I think CMAN should be good enough for the study you're describing.
Don't look at any tenors other than 5Y.
Looking at equity price is like comparing apples and oranges. Rather, you should be comparing the changes in 5Y CDS spread to the changes in implied volatlity from put options, which you can get from Bloomberg terminal too.
It would be a good idea to compare the correlation during periods of stress to periods of calm.
Related old question: CDS Spreads and Equity Volatility