Center for Research in Security Prices - CRSP
The Center for Research in Security Prices (CRSP) maintains the most comprehensive collection of security price, return, and volume data for the NYSE, AMEX, and Nasdaq stock markets. Additional CRSP files provide stock indices, beta- and cap-based portfolios. Monthly data goes back to 1925. Daily data goes back to 1962 depending on exchange traded. Also includes U.S. market indices, treasuries, and mutual funds, and a merged database with S&P's Compustat data.