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Usually in academic works, data on US equity comes from CRSP/Computstat and for the rest of the world from Datastream. The data on indexes is usually taken directly from either MSCI or Bloomberg. Check for instance: Asness, Moskowitz and Pendersen (2013).


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Thomson Reuters Tick History. Reasons you might want to use it: 1) It has just about everything you could possibly imagine, going back a long way, and more. 2) The API is (mostly) straightforward to use, so you can download tons of stuff without mucking around in Excel or spreadsheets of any kind. 3) The data can arrive pre-cleaned. Of course, it is ...



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