I am new to the CRSP database and wanted to ask if it's possible to download all the stock prices/returns (daily or weekly) of e.g. the NASDAQ Index (just like in Bloomberg)? And if yes, how exactly?
Thanks in advance
Forgot this question, in case someone has the same problem:
With a little bit of python code you can download all stock tickers from an index (e.g. Wikipedia or other sources) and create a text file, which you then can use in CRSP.
However, if you want the individual weights of the different constituents it's a lot harder. You either need access to a Bloomberg terminal or buy the data from another source, I couldn't find a free provider which has a history of the different weights.