I was thinking of examining how the constituent companies of the s&p500 are affected by sentiment in crises. Is there any way to download stock prices for all the companies? Moreover how can I split the companies into value or growth stocks so as to show how investors react in crises? if they tend to prefer value stocks vs growth stocks. Thanks in advance Jay
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$\begingroup$ instead of recreating the wheel, I'd suggest using mba.tuck.dartmouth.edu/pages/faculty/ken.french/… $\endgroup$– HelinCommented Jul 7, 2016 at 19:41
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2 Answers
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If you're looking for S&P 500 stock prices, yahoo finance is usually a good source. If you're looking for all of them together datasets are available on github.
If you're looking to split between value vs growth you can use any general equity research firm to create the split between growth and value, otherwise use a broad definition from a site like AXA.
Finally you will want to identify crisis periods, using something like NBER to identify US recessions.
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Multiple stock databases hold this data, but none of them are free. If you are in an academic setting, see if your university has a subscription to CRSP.
If you want to split it yourself, you can use different cutoff points for P/E. High P/E = growth, low P/E = value.
