FDAP Sample Data Files

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Caution:

1. Data may not be up to date (and may be inaccurate for other reasons); do not rely on materials in this repository for any critical analysis
2. Data is undocumented, and variables may not be what you expect

Daily S&P 500 data (sp500d.csv)

Download

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')

Monthly S&P 500 data (sp500m.csv)

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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 stock returns (monthly-tech.csv)

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Source: Cameron Pfiffer

Public companies with identifiers and industry codes (compustat_firms_2020.csv)

Download

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 populations
• exchg: Primary stock exchange
• stko: Stock ownership type—not all are easily purchasable

Additional submissions welcome!