The Center for Research in Security Prices (CRSP) has daily and monthly prices and returns for:
NYSE from 12/31/1925
NYSE MKT monthly from 7/31/1962 and daily from 7/02/1962
NASDAQ monthly from 12/29/1972 and daily from 12/14/1972
ARCA monthly from 3/31/2006 and daily from 3/8/2006
BATS monthly from 1/31/2012 and daily from 1/24/2012
The files include:
Common Stocks
Certificates
ADRs
Shares of Beneficial Interest
Units (Depository Units, Units of Beneficial Interest, Units of Limited Partnership Interest, Depository Receipts, etc.)
Closed-End Mutual Funds
Foreigns on NYSE, NYSE MKT, NASDAQ, Arca and Bats
Americus Trust Components (Primes and Scores)
HOLDRs Trusts
REITs (Real Estate Investment Trusts)
CRSP is available through WRDS.
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