To match equities from databases (CRSP, Compustat, Datastream, Execucomp, NYSE TAQ, SDC), see the Matching Guide. Also see the Stanford guide. For hints on finding specific items in these databases as well as additional sources, see the FAQs.
CRSP Tips:
- CRSP DEMO
Dividends can be adjusted the same way. For shares, use CFACSHR as the cumulative factor. (In most cases, the two cumulative factors are the same, but not always.)
Datastream International.*: Up to date as well as historical international stock data (minimum frequency is daily). For a guide to Datastream coverage of stock indices, see the Stock Indices section of the Guide. Available on the workstations located near Firestone A-13-J and Stokes Library. Part of Refinitiv Workspace. The modules for commodities, economics, equities, and futures are also available through WRDS.
Global Financial Data Long-term data on stock markets and indices. Methodology & sources are documented. Also included are data on stock market capitalization, dividend yields, price/earnings ratios, total return performance indices, and Global Financial Data's World Stock Market Indices. Useful for long-term stock index data. Includes historical stocks back to the 1780s including OTC and those traded on defunct exchanges.
OTC Markets** 9/1/2011+. Closing quotes, trade and security reference data for securities trading on the OTCQX, OTCQB, and OTC Pink Marketplaces.
Bloomberg* Up to date as well as historical (though generally not before 1989) international data on stocks, preferred stock, and indices. Frequency varies but is typically daily for financial information and in some cases intradaily. Intradaily data is typically kept from 30 to 90 days only. Useful for pink sheet stocks & smaller markets. Available on the workstations located near Firestone A-13-J, Robertson 046, Andlinger 211A, Master of Finance lounge in JRR, and Sherrerd lower level.
Fama-French Research Portfolios and Factors. Constructed from the intersections of 2 portfolios formed on size, as measured by market equity (ME), and 3 portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns (see "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics 33, 1993). Source is Kenneth French's web site at Dartmouth. Available on WRDS.
Commercial and Financial Chronicle FRASER | St. Louis Fed . A weekly newspaper representing the industrial and commercial interests of the United States. 1865-1963.
When needing the original, unadjusted prices of stocks the following sources from Standard & Poor's are useful:
| Title | Dates | Call Number |
| Daily Stock Price Record. New York Stock Exchange | 1962-2003 | HG4915.I23 |
| Daily Stock Price Record. American Stock Exchange | 1962-2003 | HG4915.I22 |
| Daily Stock Price Record. NASDAQ | 1993-2003 | HG4915.S665 |
| Daily Stock Price Record. Over-the-Counter | 1973-1992. | HG4915.S665 |
NYSE TAQ**: Tick data for equities traded on the New York Stock Exchange, American Stock Exchange, and NASDAQ. Data time stamped by the second for 1993-2014 is available through WRDS (see Section I). Data time stamped to the millisecond begins in October 2003. Additional data for the NYSE and AMEX is available for 1983-1992 and for the NASDAQ for 1987-1992 through ISSM which is also found on WRDS. Due to the size of files, using SAS is often the best option (see sample extraction programs). To link to CRSP use the TAQ CRSP link.
Short Sales*. January 2005 - July 6, 2007 (NYSE) is available through WRDS. July 2007 - June 2014 for NYSE is available locally. July 2014-November 2024 (daily) for NYSE and NASDAQ is also available locally. December 2024+ available through FINRA.
NASDAQ Trade and Quote Database*: Provided intraday trades & quotes for all stocks traded on the NASDAQ. Trades, inside quotes, and dealer quotes were provided for 1999-2006 (discontinued). Able to view the actual market in which the trade was made. Available on WRDS.
CRSP Index History Intraday*has for large cap, mid cap, small cap, and major industry sectors for the USA.
WRDS SEC MIDAS*. SEC offers Market Information Data and Analytics System (MIDAS) to promote better understanding of the U.S. equity markets and market structure. WRDS SEC MIDAS contains the Individual Security Metrics which provide market trading metrics for over 8,300 securities (stocks and exchange-traded portfolios). Some variables come from the limit order book (level 2) data and can proxy for daily Algorithm Trading (High-Frequency Trading) activities including (Cancel-to-Trade ratio; Trade-to-Order ratio; Odd Lot Ratio; Total Trade Volume; Hidden Order Volume; Trades and Trading Volume against Hidden Orders; Hidden Rate, etc.)
| Constituent List | Description |
| CUSIP Master File | CUSIP Master File as of July 13, 2024 |
| USA list includes tickers for various constituent & industry data in Compustat North America plus NASDAQ 100 & Dow Jones Industrials. Available through WRDS. Note as of July 2020, all S&P indices were removed. | |
| Russell Index Constituents* | Constituent lists for the Russell indexes with weights back to 1979. Limited data back to 1978. Data through June 2023. Updated annually in July. |
| S&P 500 Constituents** |
Wharton Research Data Services has a tool to generate constituents on any day from 1958 forward. CRSP created a PERMNO-based historical list of S&P 500 constituents as part of their Indices product. This list does not show exactly 500 members at any point in time. The index had only 90 members until March 1957 and S&P does not always remove a delisted security from the list immediately. List as of 12/31/2020 (downloaded 11/18/2021) with PERMNOS Capital IQ has the latest available. Downloaded 2021 (March 3, 2021, November 18), 2022 (April 4, September 12), 2023 (November 26), 2024 (December 18) with GVKeys (to use in Compustat) To retrieve via CRSP, see Hwe, Tee Lip. "Notes and Thoughts on Retrieving Historical Members of the S&P 500 from WRDS". Academic BRASS, Fall 2024, Vol. 19, No. 2 |
| Domini Social 400 Constituents* | Inception (1990) through November 7, 2008 (now called the MSCI KLD 400 Social Index) |
| S & P History Files: S & P Industry Groups by Date 500* | Lists of stocks that made up the S&P 500 and its industry groups from January 1990 to 2002; S&P Midcap 400 from July 1991 to 2002; and S&P Smallcap 600 from January 1994 to 2002. |
Dow Jones Averages Chronology 1884-1995 |
Contains history & changes over time. |
| Global Financial Data | Has selected constituent lists for domestic and international exhanges. |
EPFR: Data on global equity and bond fund flows and allocations. Tracking of ETF’s and mutual funds that are tagged with a number of mandates (Currency, region, sector, market cap, duration, etc.) to dissect investor sentiment. Data from 1995 for emerging markets, 2002 for developed markets.
| Warfield, Gerald. The Investor's Guide to Stock Quotations and other financial listings. New York: Perennial Library, 1990. |
Detailed descriptions are provided for reading stock, bond, mutual fund, options, & futures quotes. | (DR) HG4636.W28 1990 |
| Ticker Symbol Book. New York: McGraw-Hill, 1999. |
Provides securities by ticker and company name for stocks on the New York Stock Exchange, NASDAQ, & American Stock Exchange. | (DR)HG4513.5.T53 |
Directory of Obsolete Securities Jersey City, NJ: Financial Information Incorporated, 2010. |
Each cumulative issue (1926+) contains a brief profile of banks & companies whose original identities have been lost as a result of one or more of the following actions: change in name, merger, acquisition, dissolution, reorganization, bankruptcy, or charter cancelation. Each listing indicates how the company became obsolete, the new name of the company (if any), and the date the action occurred. When possible, an indication is made if the stock still has some value. | (DR) HG4961.D56 2010 |
| Robert D. Fisher manual of valuable and worthless securities. | Shows companies that have been reorganized, merged, liquidated, or dissolved. | Various titles and names. See catalog record. |
| Jarrell, Howard R. Common Stock Newspaper Abbreviations and Trading Symbols. Metuchen, NJ: Scarecrow Press, 1989, 1991. |
Guide to abbreviations & ticker symbols of common stock. | (DR) HG4636.J37 1989, HG4636.J37 1989 Suppl. 1 |
| International Guide to Securities Market Indices. Chicago: Fitzroy Dearborn, 1996. |
Unlike other directories, that focus on stock exchanges, this one concentrates on indices. Provides a country by country listing of stock market indices. Gives background information, computational methodology, underlying instruments, basic data. | (DR) HG4636.S544 1996 |
| Handbook of World Stock, Derivative and Commodity Exchanges. 1994, 1997-2010 |
Provides a country by country listing of exchanges. Gives a brief history & other pertinent information. | HG4551.H319q (Final edition in DSS) |