Go to WRDS and choose CRSP
CRSP has daily and monthly prices and returns for:
- NYSE from 12/31/1925
- AMEX from 7/02/1962
- NASDAQ from 12/29/1972
The files include:
- Common Stocks
- ADRS
- Closed-end Mutual Funds
- REITS
- Foreign stocks traded on NYSE or AMEX
- ETFs
