I know I can get stock prices from Yahoo Finance or Quandl, but does anyone know where to get stock information? i.e., industry, country, sedol, primary exchange
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This kind of data you are looking for is - as far as I know - not available for free.
Stock segmentation depends on various aspects and there are professional agencies that do this job. While MSCI, for example, classifies a stock in Sector A, STOXX classifies it into Sector B.
Also primary exchange depends on various aspects and Bloomberg and Thomson Reuters use different methods to evaluate the primay exchange.