CRSP U.S. Stock Database

This database is currently available as a part of the WRDS (Wharton Research Data Service) 

Database includes: common stock issues listed on NYSE, AMEX and the NASDAQ Stock Market; security level historical descriptive information and market data; price, volume, return, distribution and name history data; end-of-day and month-end data; and six market indices included for use with the stock data.