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
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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.