I am doing some research about market microstructure and for this reason I need the historical data of stock symbols included in the S&P 1500 Composite Index. Namely, I need to know which stock symbols were part of the index in the past. Do you know where I can retrieve this? (Free) Data about the past 5 years would suffice, I am in academia so I have academic access to some data providers. Thank you for your help!
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1$\begingroup$ Do you have access to WRDS? Would S&P 500 members suffice? $\endgroup$– phdstudentCommented Jan 14 at 19:21
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2 Answers
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It's unlikely that you can get this for free. If you can live with a smaller universe like S&P 500 or 600 then you can get the current constituents plus historical changes from Wikipedia. It will require a bit of effort to parse the changes into a useable format but it looks doable. This assumes you don't need the weights, although you could probably proxy them using historical market caps.
If you're a Python user then you can leverage a package like BeautifulSoup4 to programmatically access the tables and store them in a more friendly data structure.
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if your university has bloomberg you could pull the members and their weights.
