The CRSP Stock Database
CRSP stock databases contain the most comprehensive and accurate historical stock data available.
- Common stock issues listed on NYSE, AMEX and the NASDAQ Stock Market.
- Security level historical descriptive information and market data. Price, volume, return, distribution and name history data.
- End-of-day and month-end data.
- Six market indices included for use with the stock data.
- Basic Indices (Value- and Equal-Weighted Indices with or without dividends; S&P 500 Composite Index and returns; NASDAQ Composite Index and returns.
NYSE - monthly data begins December 1925, daily July 1962
AMEX - monthly and daily data begin July 1962
NASDAQ - monthly and daily data begin December, 14 1972
The CRSP Indices Database
The CRSP Stock File Indices contain historical market summary data on the NYSE, AMEX, and NASDAQ markets, individually by market, and combined with daily, monthly, quarterly and annual reporting. Each CRSP index is offered as a series that contains decile subsets for market analysis.
You can find the documentation on
- Daily, monthly, quarterly and annual index frequencies.
- Market indices features include the number of companies and weight at the rebalancing point,
total return and index level, capital appreciation return and index level, and income return and index level.