How do I find constituent lists for stock indices?
Try Datastream (available in the Business Library). Choose the Equity Indices category. Press the Series Navigation button and find desired S&P index. Click on the arrow after listing the indices and select the constituent option. For select indices you can find historical constituents using the Constituents Lists category. Add mmyy to the end of the nmemonic. So to obtain the list for the S&P 500 (DS code LS&PCOMP) from December 2004 you change the DS code to LS&PCOMP1204.
Use Bloomberg (available in the Business Library). Select your index and type MEMB. Change the date obtain historical membership data is available going back to 1990 for the S&P 500 and to 2001 for the TSX.
Most firms do not allow access to index constituents lists. You are able to use the Bloomberg code WGT to see what indexes an equity belongs to.
Capital IQ also offers the current constituent lists. Historical lists are not allowed with our subscription.
For the Toronto Stock Exchange the monthly TSX eReview has the members as well as additions, deletions and changes, going back into the 1940s.
See the Security Price Index Record. This resource contains the S&P 500 companies and the years they appear in the index.
In WRDS go to Compustat/North America. Click on Index Constituents. Step 1 enter date parameters, Step 2 enter index code - use the Code Lookup to find your index. Step 3 enter the needed variables. Step 4 export.
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