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Finding Historical S&P 500 Constituents in CRSP

Article Quant Q&A · Author: Nawaraj Bista
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Summary

The document answers a data sourcing question about obtaining an official S&P 500 company list for research, with a focus on historical constituents. It identifies WRDS/CRSP as a source and names two CRSP datasets that record constituent membership periods and security identifiers. This historical coverage can help researchers distinguish the index’s membership over time from a list of current companies.

The answer notes that access to the dataset is paid and that the data is available only on CRSP’s UNIX server. It also describes a CRSP inclusion convention: an observation needs prices at the ends of both the current and previous periods, and the security must belong to the S&P 500 universe at the current period’s end. The post does not give instructions for accessing the data, compare it with other sources, or establish that CRSP is the only official source. Its usefulness is therefore mainly as a pointer to historical membership data and a brief description of the associated eligibility convention.

Key ideas

  • CRSP provides historical S&P 500 constituent membership records through WRDS.
  • The records identify securities by PERMNO and include membership start and end dates.
  • CRSP access requires payment, and the cited datasets are available on its UNIX server.
  • The described inclusion convention requires prices at both period ends and membership at the current period’s end.

Tags

EquitiesUS markets
Full text
# Where can I find official s&p500 companies list?


# Where can I find official s&p500 companies list?












For some research purposes, I need the official s&p500 companies list. I cannot use any data from Wikipedia or any other such kind of websites. I can use data from yahoo finance or s&p500 official websites. I got historical data from yahoo finance but I couldn't find any data for S&P500 companies list there. Can anybody suggest a reliable source to get the S&P500 companies list?

## Answer by phdstudent (score 1)

https://quant.stackexchange.com/a/55348

The WRDS/CRSP dataset has that data available. But you need to pay to access it:

> Historical constituents are in the (SAS) sets dsp500list and msp500list. It contains the start and ending date for each security (identified by PERMNO). Prior to March, 1957, the index contains 90 issues. Currently, they are only available in our UNIX server. According to CRSP methodology, for a security to be included in the CRSP Indexes for the S&P 500 Universe, it must have a price at the end of the current period, a price at the end of the previous period, and it must be a member of the S&P 500 Universe at the end of the current period.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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