Building CRSP Stock Lists for Index Constituents

Summary

The document explains a practical way to retrieve stock data for the members of an index from CRSP. It suggests compiling constituent tickers from an external list, such as Wikipedia, and using that list to query CRSP for individual stock prices or returns. This offers a straightforward route to studying index members when the database does not provide a single index-style download matching a market terminal workflow.

The main limitation is historical constituent weights. The answer says these are harder to obtain and may require Bloomberg or another data provider with historical weight records. A ticker list alone therefore supports constituent-level return analysis, but does not reconstruct a historically weighted index return. The response gives no implementation details or validation of data availability, and it does not discuss survivorship bias from using a current constituent list for past periods.

Key ideas

• Compile constituent tickers from an external source and use them to request individual security data from CRSP.
• A constituent list can provide stock-level prices or returns, rather than a single index series.
• Historical constituent weights are a separate data requirement and may be difficult to source.
• A current ticker list may not represent historical membership and can introduce survivorship bias.

Tags

# Downloading all stocks of an index from CRSP


# Downloading all stocks of an index from CRSP












I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly?

Thanks in advance

## Answer by MikeHeimlich (score 1, accepted)

https://quant.stackexchange.com/a/51631

Forgot this question, in case someone has the same problem:

With a little bit of python code you can download all stock tickers from an index (e.g. Wikipedia or other sources) and create a text file, which you then can use in CRSP.

However, if you want the individual weights of the different constituents it's a lot harder. You either need access to a Bloomberg terminal or buy the data from another source, I couldn't find a free provider which has a history of the different weights.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.