Constituent Lists
In WRDS under North America - Daily - > Select Index Constituents and select the dates needed.
The codes used for some of the more often used indexes are i0003 for S&P 500, i0005 for DJ Ind. 30, i0006 for the DJ Trans. 20, i0007 for DJ Util. 15, i0016 S&P Midcap 400, i0019 S&P Smallcap 600, i0020 S&P 1500 Super Composite, i0028 Nasdaq 100, i0021 Russell 1000, i0026 Russell 2000, i0024 Russell 3000, ci0029 S&P/TSE 60 and ci0051 TSE 300 Comp. (in Compustat, the division is North American and Global so Canada is part of North America)
Once the list of companies are downloaded with CUSIPS, this list can be made into at text file that can be uploaded to other programs to gather prices (CRSP most likely) and/or financials (Compustat).
