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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.

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    $\begingroup$ Thanks. How did you map from a ticker in Wikipedia or other sources to a CRSP permno? $\endgroup$ – noob2 Mar 14 '20 at 14:13

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