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ABSTRACT
Data from The Center for Research in Security Prices (CRSP) has been widely recognized and accepted as the premier source of research quality U.S. stock market data for more than 40 years. As a result of advances in information technology, other sources of U.S. stock market data became available during the last decade. The purpose of this study is to analyze the accuracy of data from Yahoo, MSN Money and Worden Brothers TeleChart, against CRSP, by comparing their closing prices for 30 companies included in the Dow Jones Industrial Index and 30 randomly selected companies from the smallest quintal of S&P 500 firms, over the five year period from 01/01/2003 through 12/31/2007. Preliminary findings are based on the limited time period and size of the sample. While CRSP is undoubtedly "the place" to gather quality financial information, nonCRSP sources of financial data, perhaps not as robust as CRSP, are sufficiently accurate to support research and teaching in quality learning environments. Furthermore free sources of financial data e.g. MSN Money, resemble CRSP as well as, if not better than, commercial TeleChart. Results suggest that Yahoo and particularly MSN Money are acceptable transitory substitutes for CRSP for research purposes, especially for securities from larger, well known firms, and more than adequate for teaching needs. Manual data downloading for MSN Money and Yahoo can be automated with Excel add-in or free shareware software.
INTRODUCTION
Until the early 1990s, two necessary conditions for conducting research in finance were having access to a main frame computer and data, neither of which was cheap. In its basic form data often included historical stock market data from University of Chicago's Center for Research in Security Prices (CRSP) and accounting statements data from Standard and Poor's COMPUSTAT.
CRSP was founded in 1960. Today the basic data set includes daily, weekly and monthly volume and stock prices, dividends, shares outstanding, capital changes and delisting information for companies listed on New York Stock Exchange (since 1926), American Exchange (since 1962) and NASDAQ (since 1972). COMPUSTAT service started in 1962. Today it covers 75,000 global corporate and government securities, providing decades of quarterly and annual accounting data, depending on when the company was added to the database.
Main frame computers in the early 1990s...