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Thanks George. I guess this shows up the limitations of Google - CRSP never
came up as a possibility in my searches.
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of napier_bone
Sent: Friday, April 15, 2005 11:57 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: A-D data format.
Hi Andrew,
It isn't all that involved. The main problem is dealing with dead
stocks. There are several electronic databases accessible at a number
of universities. Perhaps the premier DB is at the university of
Chicago.
http://gsbwww.uchicago.edu/research/crsp/
Datastream is another one.
The big hurdle is finding the component changes.
George
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> I started down this road a while ago. In the end I decided I didn't
have the
> time or energy. What decided me was the realization that, even if I
managed
> to get the index list changes back to the dawn of time, I couldn't
do
> anything with it unless I had matching data. Data vendors change
and purge
> their lists when there are name changes, takeovers, bankruptcies,
etc. An
> S&P 500 list from 20 years ago may not have data on 20% (? I'm
guessing -
> could be more) of the component securities using today's lists. So
until a
> vendor starts to offer data that hasn't been cleaned up in that way
(you
> still need stock splits etc) there's not much you can do with the
index
> info.
>
> Richard Dale at Premium Data was starting to look at this at one
point, but
> I don't know if he got anywhere.
>
> An alternative for some of the indices is to try to reproduce the
index
> criteria with a filter (e.g. market cap or trading volume) but its
a poor
> second best.
>
> If you find a solution, let us all know.
>
> Andrew
>
>
> -----Original Message-----
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of napier_bone
> Sent: Thursday, April 14, 2005 11:02 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: Re: [EquisMetaStock Group] A-D data format.
>
>
>
>
> Thanks Andrew,
>
> Here is an example of what I am looking for.
>
> http://www.nasdaq.com/indexshares/historical_data.stm
>
> This goes back to 1995.
>
> But what about all the component changes between 1983 and 1994?
>
> Are they published somewhere?
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
> <andrew_tomlinson@xxxx> wrote:
> >
> > S&P will sell you old S&P 500 lists back to 1989 or hard copy back
> to 83 -
> > for $125 per constituent list! Let's see, four a year, 20 years -
> what's
> > $10,000 between friends? But I guess you could get a starting
place
> by
> > buying the first one they have...
> >
> > -----Original Message-----
> > From: napier_bone [mailto:geosen@x...]
> > Sent: Thursday, April 14, 2005 3:25 PM
> > To: equismetastock@xxxxxxxxxxxxxxx
> > Subject: [EquisMetaStock Group] A-D data format.
> >
> >
> >
> >
> > Hi Larry,
> >
> > You have an ambitious project in the works and are probably the
> only
> > one here who can answer my question.
> >
> > Do you know where component changes in various indices are
> published
> > such as WSJ and Barron's?
> >
> > The information on the internet is sketchy and rarely goes all the
> > way back to the inception of the index.
> >
> > I have all the component changes for the Nasdaq 100 back to 1995.
> > prior to that I have found nothing. Some S&P indices back to
2001.
> Indices
> > maintained by PHLX are well documented, but AMEX has information on
> > its indices only back to the fall of 1999.
> >
> > TIA
> >
> > Now I have an idea on A-D data format.
> >
> > Instead of maintaining 2 separate files for A and D data, I have
> > combined both into one file. The order of the data is the
familiar
> > Open, High, Low, Close order with O=D, H=Max(A,D), L=MIN(A,D) and
> C=A.
> >
> > This can be displayed in Metastock as if it were security data.
> >
> > Then C-O = A-D and C/O = A/D.
> >
> > George
> >
> >
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
>
>
>
>
>
>
>
> Yahoo! Groups Links
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