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does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers?

it appears that bankrupt companies no longer appear in the finance sites that I know...

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The company might still be around even after bankruptcy but you need to know the ticker to get the data from yahoo. For lehman brothers it would be LEHMQ finance.yahoo.com/q/bc?s=LEHMQ.PK –  Terco Jun 20 '11 at 11:41
    
The cheapest method is going to a good library, grab a financial newspaper from the target years. –  user4922 Mar 8 '13 at 13:42

4 Answers 4

up vote 7 down vote accepted

Google and Yahoo finance have a survivorship bias -- they only include firms that are still around. I know of no free source that provides the data you seek. I get my data from Compustat and CRSP via the Wharton Resource Data Service, but these (or Bloomberg or Reuters) are likely too expensive for an individual.

Have you asked your broker if they will sell you the data you want?

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CRSP is going to be the best source. Not only you have to worry about survival bias, you have to deal with all sort of corporate action, like split, spin-off and dividends. For example, if you look at the historical data for MSFT, you will see a big drop when they paid out special dividend. Also you have to know that many companies go through name/entity change. CRSP provide PERMNO ( permanent number) that stitches all these changes. CRSP data is stored in a binary format so you are required to write your own loader in C or Fortran. –  mjlee Apr 13 '11 at 2:12
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Compustat is a fundamental database - they store earnings, inventory, etc. - data you find in 10K and 10Q statements. CRSP provide another product that links Compustat and CRSP so you can related prices/returns with fundamental data. However, Compustat restate their data so you do not have 'point-in-time' snapshot data. A classic case is Enron - if you look at Enron's Compustat data, all their data are restated after accounting scandal. Compustat has another product that provides 'point-in-time'. However, all these are very, very expensive. –  mjlee Apr 13 '11 at 2:17

There is a very cheap, i.e. free, way of obtaining the list of companies included in the S&P 500 at any given time.

Check the revision history for the S&P 500 List updates on Wikipedia.

It is ugly and unreliable but you usually get what you pay for :) ... it should be okay if you are just playing around with your own strategies.

This doesn't solve the main issue since you still need a way to get the data for those companies. But having the right ticker usually helps...

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Take a look at http://www.mergent.com/servius - I believe they have historical data for all companies, whether they're currently being traded or not.

(Disclosure: The API is managed by my company)

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I haven't purchased the data and I don't know anything about this guy, but here's something that you might consider:

http://engineering-returns.com/2011/02/07/test-your-trading-strategies-survivorship-free/

http://engineering-returns.com/2010/11/16/sp500-survivorship/

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He doesn't provide the historical returns, only a list of symbols that were in the s&p or nasdaq-100 per year. –  Joshua Chance Apr 6 '11 at 9:28
    
@JoshuaChance is correct. In fact, the Engineering Returns website guy even says that he purchases his data from Norgate Investors Services premiumdata.net –  Ellie Kesselman Oct 6 '12 at 10:30

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