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Annual Historical British Stock Price and Macroeconomic Data

These data provide stock prices and interest rates in the UK market starting in 1700. The data are more reliable after 1820. Production and price information is provided as well in plain text files. Click here for annual share price and interest rate information starting in 1700. Documentation is also available. Click here for annual share price information starting in 1820. Documentation is also available. Click here for monthly share price information starting in 1700. Documentation is also available. Also check out a similar database created by Larry Neal

Jordan Rappaport's Downloadable Data

You will find NIPA (National Income and Products Accounts Data) from 1959 to the present here, among other things.

Executive Changes Data Base

Assembled by Ivo Welch at UCLA.

IPO Ownership Database

Assembled by Ivo Welch at UCLA.

McGrattan's Historical Asset Pricing Data

From the Minneapolis Fed. You'll find historicals on a number of companies plus lots of beta and market data. Check out the accompanying article The CAPM Debate.

Stock Returns Data

From Monash University. Find returns on AT&T, the NYSE etc along with a variety of other historical time series.

Daily Stock Price Data (current to within a few weeks)

Courtesy of the Journal of Computational Intelligence in Finance. You will also find some free time series software for downloading as well.

Norwegian Stock Market Data

Available from the Norwegian School of Management with a password.

Rates and Forex Data in Depth from the New York Fed

Directories on this outstanding ftp data server include:
annldlr/ - Annual Dealer Statistics
bog_stat/ - Board of Governors Statistical Releases
commpapr/ - Commercial Paper outstanding and rates 1994-present
discount/ - Discount Rate 1914-present
forex/ - 10am spot rates 10/93-present
12noon 1994-present
- Implied Volatility Rates 10/94-present
mktrates/ - Selected Interest Rates 10/95-08/96
prime/ - Prime Rate 1929-present
qsheet/ - Closing composite quote sheet 7/93-10/15/96

Term Structure Data

Tom George at the University of Iowa has a downloadable Excel spreadsheet with daily term structure data.

Historical IPO Data

Kindly provided by Professor Jay Ritter of the University of Florida. The monthly volume and avaerage initial return series from January 1960 to December 1995 that is graphed (through 1992) in the 1994 Ibbotson-Sindelar-Ritter Journal of Applied Corporate Finance article.

Historical Commodities Prices from Villanova

If you need pork bellies, they've got it. Plus a lot more!

Data and Statistics from the NYSE

The NYSE offers downloadable volume and price information on the market going way back.

McCulloch/Kwon US Term Structure Database

This data set offers U.S. Treasury term structure data for the period 1947-1991. It is an extension of the data in The Handbook of Monetary Economics (McCulloch, 1990), and also provides greater detail. In all, there are about 2 megabytes of data. Be sure to see the "readme" file for additional information. This dataset is also described in "U.S. Term Structure Data, 1947-1991," J. Huston McCulloch and Heon-Chul Kwon, March, 1993, Ohio State University Working Paper 93-6. You can also use an FTP client to access this address directly (login as anonymous, with your Email address as password). Here is the URL for your ftp client: ftp://ecolan.sbs.ohio-state.edu:/pub/termstruc.

Daily Exchange Rates

You will find exchange rates into USD from 1973 to 1987 for British Pount, Canadian Dollar, Deutchsmark, Japanese Yen and Swiss Franc. Provided by Blake LeBaron (ultimately).

New York Stock Exchange Daily Returns & Volume, 1962-1992.

Provided by Blake LeBaron courtesy of SSDC.

Real Estate Data Listing

From UConn. Lots to download.

Business Cycle Data from Gordon Book

Gordon's Business Cycle book a lengthy appendix which contains finance and macroeconomic data. It is provided in a text file (300K) in a SAS program format (not a SAS dataset) here.

Corporate Debt Issues, 1983-93

This Excel 4.0 file (2.7MB) lists over 10,000 bonds, convertibles, Euronotes, MTNs, Warrant bonds and other issues by company and CUSIP number (where available). Click here to download the same file in comma separated value format (1MB). For more information about the data click here.

Treasury Bond Futures Data, 1994-95

This dataset can be used to illustrate the huge drop in bond prices which took place in 1994. This data file is in plain text and contains high and low prices over 20 minute intervals on Treasury Bond futures from Jan 7 1994 to Feb 3 1995. There are a total of 5347 observations in this dataset. Variables in order are date, time, high price and low price. These data were collected by a private investor using a real time data feed. An hourly series is also available. A short RATS program which reads in the hourly data is available.

Illuminati Online Spreadsheet Archive

Contains spreadsheets of files which appeared in the Computerized Trader, a column in Futures magazine. Oriented towards detection of time series patterns.

Monthly Treasury Bill Rates, 1934-1995.

This series gives averages of daily closing bill rate. Brought to you by the Investment SIG of the Capital PC Users Group.

Consumer Price Index. Monthly, 1913-1995.

Brought to you by the Investment SIG of the Capital PC Users Group.

Weekly Dow Jones Industrial Average 1900-1989

This dataset lists an important aggregate stock price index beginning in 1900. The data is in date, hi, low, close, volume format. A daily version of this dataset is also available, but it nearly 2 megabytes in size and starts in 1915. Note: this file is huge and has proven difficult for many to download from Europe. We will split this file soon. By the way, you can download a similar file from the University of Michigan. Click here.

Monthly U. S. Stock Returns, 1802-1925.

This dataset has been put together by Bill Schwert from the University of Rochester's Simon School. There is a $15 charge to use this dataset (honor system). It is particularly important that you make good on this when you use the data in order to maintain a future incentive to provide even better data.

Daily U. S. Stock Returns, 1885-1962.

This dataset has been put together by Bill Schwert from the University of Rochester's Simon School. There are 22,474 observations here. There is a $50 charge to use this dataset (honor system). It is particularly important that you make good on this when you use the data in order to maintain a future incentive to provide even better data (and to continue to provide this one).

S&P Index, 1940-1992

This text file lists date YYMMDD and level of the S&P on a monthly basis. The S&P index today has 500 stocks but formerly had as few as 40. (If you are looking for more recent data, try Dow Jones News Retrieval or Quote.com above).

Historical Interest Rate Data

This plain text file (approx 200K) is written as a SAS program with CARD statements contains tables from Homer's famous work A History of Interest Rates. If you need French interest rates from the 1700s or Swedish interest rates from the 1800s look no further.