
Tickdata provides daily and intraday data very early the next morning. Their 1-minute intraday data is cheaper than every single trade data. Tickdata.com
 
Yahoo Finance provides daily data available between 7 PM CST and 9 PM each evening.
 
Google Finance provides daily data also, not sure about when it is available.

Dividend adjusted data is problematic. If you want just log normal price returns, you will want to exclude the dividend from the close on ex-dividend eve when calculating the return on ex-dividend day. If you are looking to calculate your cost basis by subtracting out the cumulative dividend, you need to pick a starting point. If you want the cumulative return you can add the dividend to the stock price, but you need to pick a starting point. If you want to re-invest the dividend, you will need to keep track of both the dividend, the pay date to be accurate and pick a start date. Yahoo Finance provides the dividend on the ex-dividend date. I do not have a source for the pay date. I suspect most analysts re-invest the dividend on the ex-dividend date at the ex-dividend price. 

Good luck.

 

> Date: Wed, 5 Sep 2012 21:39:04 -0400
> From: rvince99@gmail.com
> To: r-sig-finance@r-project.org
> Subject: [R-SIG-Finance] Equities Data
> 
> I'm looking for a reliable vendor of equity data, one that also
> provides information regarding corporate actions (dividends, splits,
> ex-dates, etc). Anyone know of any good sources? R. Vince
> 
> _______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
 		 	   		  
	[[alternative HTML version deleted]]

