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Every day I receive a slew of emails asking about historical data. While I use Global Financial Data ($), below are some resources for free and paid historical data. If you are close to a B-School you can probably access a lot of the paid for free as well. Some readers also suggested public libraries that give you access to ValueLine, Morningstar, etc.
Please leave a comment if you know of any other good websites I am missing.
Quandl is also another one that readers have emailed in (HT: LW).
Free Multi-Index Data
The book is about $160, although you can probably get one used for less. Not sure how much the data sub is on Morningstar. Stocks, Bonds, Bills, and Inflation Ibbotson (now part of Morningstar). Includes monthly data for US Stocks Large (1926), US Stocks Small (1926), Long Term Corporate Bonds (1926), Long Term Government Bonds (1926), High Yield Corporate Bonds (1926), Intermediate Term Government Bonds (1926), Inflation (1926), T-Bills (1926). Since 1969 adds Gold and Value/Growth classifications.
Surprised no one has turned this into an Excel sheet.
Shiller has US Stocks, Dividends, Earnings, Inflation (CPI), and long term interest rates back to the 1870s on his website.
Ralph Vince's Barron's Download
WREN
Free US Stock Index Data
Fama-French (Monthly 1926, Daily 1963)
Free Foreign Stock Index Data
MSCI Barra
Free Interest Rate Data
St Louis FRED CPI, Interest Rates, Trade Data
Free Real Estate Data
REIT data (1972)
Housing Shiller (1890)
Commodity Data
Morningstar, IASG, Barclay's
Paid ($$) Data Sources
Morningstar Encorr ($10,000)
Morningstar Dimson, Marsh, Staunton Module ($3,000)
Pinnacle
CSI
CRSP ($25,000)
OlsenData
QuotesPlus
Norgate
