Here is a list of potential sources for financial data:

  • Quandl, a platform for financial, economic, and alternative data sourced from over 500 different publishers;
  • Kenneth French data library (a must-go place for implementing the Fama-French 3-factor model);
  • Yahoo! Finance, a great site for ETF, mutual fund, and stock data.  The site allows historical price data to be downloaded in a CSV format, and this makes it easy to calculate historical returns;
  • Google Finance, similar to Yahoo! Finance. Bear in mind that Google Docs provides a “GoogleFinance” (see instructions here) function which allows stock or fund information to be downloaded directly into a Google Docs Spreadsheet;
  • Robert Shiller PE10 Data, reporting Robert Shiller’s PE10 data, used in the book “Irrational Exuberance”, and updated regularly;
  • Treasury Yield Curve Rates, with historical and current data for the Treasury and TIPS yield curves, from the US Department of the Treasury;
  • WBG Open Finances, making World Bank Group’s financials available for everybody to explore.