Accuracy And Cost Of U.S. Financial Data

Abstract

Data from The Center for Research in Security Prices (CRSP) has been widely recognized and accepted as the premier source of research quality U.S. stock market data for more than 40 years. As a result of advances in information technology, other sources of U.S. stock market data became available during the last decade. The purpose of this study is to analyze the accuracy of data from Yahoo, MSN Money and Worden Brothers TeleChart, against CRSP, by comparing their closing prices for 30 companies included in the Dow Jones Industrial Index and 30 randomly selected companies from the smallest quintal of S&P 500 firms, over the five year period from 01/01/2003 through 12/31/2007. Preliminary findings are based on the limited time period and size of the sample. While CRSP is undoubtedly “the place” to gather quality financial information, non-CRSP sources of financial data, perhaps not as robust as CRSP, are sufficiently accurate to support research and teaching in quality learning environments. Furthermore free sources of financial data e.g. MSN Money, resemble CRSP as well as, if not better than, commercial TeleChart. Results suggest that Yahoo and particularly MSN Money are acceptable transitory substitutes for CRSP for research purposes, especially for securities from larger, well known firms, and more than adequate for teaching needs. Manual data downloading for MSN Money and Yahoo can be automated with Excel add-in or free shareware software.