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ASSET PRICING RESEARCH DATA SOURCES
The International Center for Finance is a major source of asset pricing research. The Center subscribes to numerous data sources and
possesses a number of one-of-a-kind datasets that are available to affiliated researchers. Please also check the list of comprehensive
databases such as WRDS, CRSP, Compustat, Global Financial Data, Datastream, Thomson Research, and Ibbotson Associates.
NYSE Trade and Quote Data (TAQ) (via WRDS)
The Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues. Available remotely via WRDS.
NADSAQ Trade and Quote Data (Nastraq) (via WRDS)
The Nasdaq Trade and Quote Data (NASTRAQ) contains all trades and quotes for all Nasdaq stocks. Available remotely via WRDS.
Philadelphia Stock Exchange Data (via WRDS)
The PHLX trades more than 2,800 stocks, 740 equity options, 12 sector index options, and 100 currency pairs. Available remotely via WRDS.
World Stock Market Data
A large dataset contains price and market value information of individual stocks from 1990 to 2001 in 45 international stock markets. For more informaiton, please contact William Goetzmann.
PACAP Emerging Markets Database
The PACAP Research Center creates, maintains, and distributes comprehensive, computerized databases which track capital markets data for eight Pacific-Basin countries on a continuous and systematic basis. PACAP Databases contain extensive information on all listed companies from each country's major stock exchange including: daily security prices and returns, capital distributions, financial statements, market indices and returns, and economic statistics. A common format is applied to all countries for ease of comparison. Consequently, the PACAP Databases are an extremely valuable source of information for academic research, teaching, portfolio management, and capital market development. Available remotely via WRDS.
ISI Emerging Markets
ISI Emerging Markets delivers news, company and financial data direct from more than 25 emerging markets in Asia, Latin America and Central and Eastern Europe. Current news, company financial statements, company profiles, corporate action reports, industry reports, analyst and brokerage reports, closing price quotes, macroeconomic statistics, macroeconomic forecasts and legal and political information are given for each country. Access restricted by IP address to Yale domain.
Emerging Markets Database
A database of stock returns for firms in emerging markets. Fore more information, please contact Geert Rouwenhorst.
Historical Yield Curve
Please contact Andrew Jeffery for detailed information.
Hulbert Market-Timing Newsletter Database
Time-series of market timer newsletters. Please contact William Goetzmann for its use.
Dow Jones Averages (via WRDS)
The Dow Jones Averages are comprised of The Dow Jones Industrial Average (DJIA), The Dow Jones Transportation Average (DJTA) and The Dow Jones Utility Average (DJUA). Currently there are 30 stocks in the Dow Jones Industral Average, which represents about one-fifth of the value of all U.S. stocks. The Dow Jones Transportation Average includes 20 stocks, and there are 15 stocks in The Dow Jones Utility Average. Available remotely via WRDS.
World Stock Market Indices
World stock market indices from 1921 drawn from Yale library sources. Available to ICF fellows on request. For more information, please contact William Goetzmann.
Cowles Foundation Stock Index
Annual Data on US Stock Market: Prices, Dividends, Earnings, 1871-present with Associated Interest Rate, Price Level and Consumption Data.
Morningstar Principia
Morningstar Principia CD is a comprehensive data source in the mutual fund industry for the sheer depth and breadth of data it provides. It covers over 14,000 mutual funds (with 100 ETFs) , 23,000 variable annuity/life subaccounts, 600 closed-end funds, and 1,700 separate accounts (with underlying security holdings for each). Available at the Social Science Library (Call Number: CD-ROM HG4530 M667 ).
Mutual Fund Daily Returns
Two sets of data are available: Standard & Poor's daily returns for Mutual Funds data are now available to ICF fellows via the SOM network (file path: /data/snp/). The files are flat ASCII files. Also, survivorship-bias-free daily and monthly mutual fund returns and fund characteristics are available to ICF fellows via the SOM network ( file path: /data/FUNDS/). To request an account, please contact Matthew Jerviss.
Survey of Investor Attitudes
In collaboration with Fumiko Kon-Ya and Yoshiro Tsutusi, Robert Shiller has been surveying investment managers about their attitudes towards the stock market; these results are updated every six months.
Investor Account Database
Now the canonical database of investor account activity, it represents 100,000 account histories from a major discount broker. For more information, please contact Ravi Dhar.
Fidelity Index Fund Accounts
Three years of accounts of all investors in Fidelity's main S&P index fund. For more information, please contact William Goetzman.
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