Market Classification History for Stocks

[zeebee]

Hello,

I am trying to get a hold of some market classification data for listed symbols (with a history going back about 10 years for now delisted stocks for backtesting). I know there is TRDS and GICS but everything I can find points to big $$$ for this stuff. Anytime they want to have you talk to a salesperson, its probably going to be too expensive. I know a couple of students a the local U that has CompuStat, but they have access pretty well locked down so that's out.

Any ideas where this kind of data can be acquired at a reasonable cost? Basically I want lists of companies by the various market classifications(again with a history).

Thanks!

 

[kipptrader]

What do you mean by market classification data? Industry group or some other fundamental data?

You will find it easier to find price history of delisted stocks if you are looking for daily (EOD) vs intraday data.

Also are you looking at the entire market or just an index (i.e. S&P 500)?

 

[zeebee]

To clarify a bit, I am looking for some sector/industry groupings of traded companies that are compiled. I can get actually get those from poking around in many places like Yahoo finance or Google finance. Here is a description:

Market-Based Classification: The Providers
The major index providers offer a number of market-based
tools. S&P and MSCI publish GICS. FTSE and Dow Jones publish
the Industry Classification Benchmark (ICB). And Thomson
Reuters has recently announced the release of a new marketbased
system, the Thomson Reuters Business Classification
(TRBC), which will serve as the basis for approximately 7,000
sector indexes and become a global standard across Thomson
Reuters content and product offerings.
These three industry classifications share many characteristics
(see Figure 2). Each has four levels of detail, with
companies classified at the lowest level within a strict hierarchy,
rolling up into higher levels that provide larger baskets
​

The problem I am having is getting the history for one of these systems.

For instance I want to go to 2005 and see what stocks are in the "Retail Apparel" Industry class back then, including stocks that are now delisted. I already have delisted price data, now I need to know what sectors/industries these stocks came from so I can backtest some sector rotation strategies without survivorship bias.

GICS History is a database that is actually offered by S&P and MSCI. However I don't know if there is a cheap way to get this kind of data.

 

[kipptrader]

A trick I learned from someone on another board was to use the industry/subindustry groups provided by Worden in its TC2000 database. Before broadband, they would send out new CDs of their data every 2 or 3 months. The data had every stock sorted in industry/sub groups. It was also a great resource of symbols that are now defunct.

If you could hunt down those old CDs, you can get your industry groups for cheap. Problem is as of 2007 or so they no longer use the data CDs; download install.

Good luck finding the the data you seek; looks like either lots of work or lots of cash.

 

[zeebee]

Thanks for the info. I'll look into the Worden TC2000 option. Then maybe I'll call S&P/MSCI and see what the cost is (yikes).

 

[zeebee]

I talked to my brother who always has ideas and he pointed me to the Wayback Machine at archive.org. Jackpot!

Check this out from 2005:
http://web.archive.org/web/20030101-20020201re_/http://biz.yahoo.com/ic/320_cl_pub.html

 

[RichardDale]

I believe that Yahoo use Morningstar's classifications - which have changed from 2 level to 3 level within the last couple of years.... but nothing like GICS or ICB's industry-accepted 4 levels.

 

[kipptrader]

I talked to my brother who always has ideas and he pointed me to the Wayback Machine at archive.org. Jackpot!

Check this out from 2005:
http://web.archive.org/web/20030101-20020201re_/http://biz.yahoo.com/ic/320_cl_pub.html

I keep getting "Not in Archive." when clicking on some of the industry groups; maybe just me.

I think the wayback machine only captures 1 or 2 levels deep.

 

[zeebee]

What works for me is to go to the current page I want on the real web in Yahoo Finance, copy the http:// address into the clipboard, and then paste it directly into the Wayback machine. The one problem I found is the data stops mid-2008 for these pages. Otherwise I would have enough to work with. if I can sample at least once a year I pretty much have the history of companies in the grouping.