Prof. Luke Stein
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Caution:
sp500d.csv
)Source: CRSP via WRDS
wrds_username = "YOUR_USERNAME"
db = wrds.Connection(wrds_username = wrds_username)
sp500d = db.get_table("crsp", "dsp500", columns=['caldt', 'spindx', 'sprtrn', 'vwretd', 'vwretx'], date_cols=['caldt'], index_col=['caldt'])
db.close()
sp500d.to_csv(r'sp500d.csv')
sp500m.csv
)Source: CRSP via WRDS
wrds_username = "YOUR_USERNAME"
db = wrds.Connection(wrds_username = wrds_username)
sp500m = db.get_table("crsp", "msp500", columns=['caldt', 'spindx', 'sprtrn', 'vwretd', 'vwretx'], date_cols=['caldt'], index_col=['caldt'])
db.close()
sp500m.to_csv(r'sp500m.csv')
monthly-tech.csv
)Source: Cameron Pfiffer
compustat_firms_2020.csv
)Source: Compustat via WRDS
See WRDS for variable documentation; note
indfmt
: Firms report differently as financial services firms or industrials (or both!)popsrc
: The data includes both domestic (US and Canada) and International populationsexchg
: Primary stock exchangestko
: Stock ownership type—not all are easily purchasable