Financial Market Data

Stock Market Data

The Canadian Financial Markets Research Centre (CFMRC) Summary Information Database via CHASS
Includes: daily and monthly Toronto Stock Exchange trading information about specific securities; information on "price adjustments" such as dividends, stock splits, recapitalizations, etc.; information on daily and monthly index levels; as well as selected other financial markets information.

CRSP daily and monthly stocks via WRDS
CRSP NYSE/AMEX/Nasdaq daily and monthly security prices and other historical data for over 24,000 companies

Center for Research in Security Prices (CRSP) via CHASS
Another option for accessing CRSP data

Dow Jones Averages & Total Return Indexes via WRDS
Includes daily and monthly Dow Jones Composite, Dow Jones Industrial, Dow Jones Transportation, Dow Jones Utility, the Dow 10, and the Dow 5.

Fama French, Momentum, and Liquidity via WRDS
Web queries for the Fama-French factors and portfolios, momentum factors, as well as Pastor-Stambaugh Liquidity Factors.

Fama-French Research Data from K. French's web site
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy for value. Returns from these portfolios are used to construct the Fama-French Factors. Eugene Fama and Kenneth French showed that their factors capture a statistically significant fraction of the variation in stock returns

Options

Chicago Board Options Exchange Volatility Index via WRDS
The Volatility Indexes are key measures of market expectations of near-term volatility conveyed by S&P 500 stock index option prices.

Philadelphia Stock Exchange Currency Options and Implied Volatility via WRDS
The Philadelphia Stock Exchange's United Currency Options Market offers choice of expiration date, strike (exercise) price, premium payment and any combination of 10 currencies currently available for a total of 100 possible currency pairs.

Investment Funds

Investment Company Institute
A main source for statistical data on the U.S. investment company industry. Compiles statistics on mutual funds, exchange-traded funds, closed-end funds, and unit investment trust sponsors.

Canadian Securities Administration: SEDAR
Sedar contains public securities documents and information filed by public companies and investment funds with the Canadian Securities Administrators (CSA) in the SEDAR filing system.

U.S. Securities and Exchange Commission: EDGAR
EDGAR contains financial information about public companies and mutual funds collected through SEC forms.

Center for International Securities and Derivatives Markets (CISDM) Indexes
The CASAM CISDM Hedge Fund and CTA indices are median performance indices of strategies in the CASAM CISDM Hedge Fund/CTA Database. Current and historical data is available for download on the CISDM web site.

Bonds and Securities

Bank of Canada
Interest rates, yields for government bonds and treasury bills, exchange rates, price indicators and monetary policy data. Assorted data from the Bank of Canada is also available on CANSIM

Investment Industry Association of Canada
Summary bond and security data.

TRACE via WRDS
TRACE consolidates transaction data for all eligible corporate bonds - investment grade, high yield and convertible debt. As a result, individual investors and market professionals can access information on 100 percent of OTC activity representing over 99 percent of total U.S. corporate bond market activity in over 30,000 securities.

Real Estate and Mortgages

Canada Mortgage and Housing Corporation (CMHC) data

Commercial Real Estate Data Laboratory (CREDL) at MIT
CREDL dathers data to measure the performance of commercial real estate. The Transactions-Based Index (TBI) and the RCA-Based Commercial Property Index are available for download.

Home Mortgage Disclosure Act (U.S.)
Mortgage and home improvement lending data.

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