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Finding and using financial data at Princeton University

Stocks - USA - Data - Daily

To match equities from databases (CRSP, Compustat, Datastream, Execucomp, NYSE TAQ, SDC), see the Matching Guide. For hints on finding specific items in these databases as well as additional sources, see the Economics and Finance FAQ.


 

CRSP.*: Daily & monthly trading data back to December 31, 1925 on stocks trading on the NYSE, AMEX (July 2, 1962-October 1, 2008), NASDAQ (December 14, 1972+), and ARCA (March 8, 2006+) exchanges. Includes closing price, shares outstanding, and return for the stock. Also includes index level data. Available through WRDS. 

CRSP Tips:

  • CRSP DEMO
  • Reports prices as they were traded (not adjusted for splits). Holding returns are adjusted however. To adjust prices for a long time series comparison, the best variable to use is the cumulative factor (query item: CFAPR-- Cumulative Factor to Adjust Price) that WRDS computes from the factors CRSP provides for a particular trading day or month. Use this formula: PRC_SPLITADJ = PRC/ CFACPR
    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.)
  • For the latest data, see quarterly updates at the bottom of the CRSP screen.
  • Betas.
    • CRSP also contains information on betas. Choose the appropriate year-end beta daily file. Choose BETAV as your variable. 
  • Prc is the closing price or the negative bid/ask average for a trading day. If the closing price is not available on any given trading day, the number in the price field has a negative sign to indicate that it is a bid/ask average and not an actual closing price. Please note that in this field the negative sign is a symbol and that the value of the bid/ask average is not negative.
  • Use the Linking Suite to link CRSP stocks to corporate bonds in TRACE, options in Optionmetrics, earnings forecasts in IBES, or intraday data in TAQ.

 

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 in Firestone Library (A Floor - RIS Suite) and Stokes Library.

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 in Firestone (1st Floor restricted workstations).

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.


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

Stocks - USA - Data - Intraday

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. NASDAQ short sales for that same period are available through NASDAQTrader.  July 2007 - June 2014 for NYSE is available locally.  July 2014-June 2017 (daily) for NYSE and NASDAQ is also available locally. July 2017+ 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.

Stocks USA - Constituent Lists

 

Constituent List Description
USA list includes tickers for the S&P 500 constituent & industry data in Compustat North America plus NASDAQ 100 & Dow Jones Industrials.  Includes the sectors, industry groups, & sub-industries for the S&P. The Global list includes S&P international indices as well as various major exchanges & top market capitalization lists.  Available through WRDS.
Russell Index Constituents* Constituent lists for the Russell 1000, 2000, & 3000 indexes from 1978-1982, 1986-2001. Variables include ticker symbol, company name, & market capitalization.  In addition, Russell 2000 changes for 1996-2017Q2. 
S&P 500 Constituents** (accessed through CRSP on WRDS) CRSP created a PERMNO-based historical list of S&P 500 constituents as part of their Indices product. Can be extracted using the CRSPAccess stk_print utility (using the /g16 option, see the CRSPAccess manual for details). A SAS dataset can be found at /wrds/crsp/sasdata/msp500list.sas7bdat. The daily SP500 version is dsp500list. (The S&P 500 started later as a daily published index. It has the same members as the monthly for the overlapping date range, and for most purposes the dsp500list can be safely ignored even if you are interested in daily data.) 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. For more detail on the CRSP S&P 500 members list, see the CRSP Data Definitions Guide in CRSP Index Methodologies under "CRSP Indices for the S&P Universe".
Domini Social 400 Constituents* Inception (1990) through November 7, 2008
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.

Stocks USA - Guides

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
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)

Notes

*Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.
** WRDS requires user to validate through password (undergraduates request a research assistant account and list your adviser as your faculty member). Must be used for academic purposes only, that is, to support the teaching and research of Princeton University.
 
Also consult the FAQ.

Bobbi Coffey and Bobray Bordelon