The data are more reliable after 1820. Production and price information is provided as well in plain text files. Click here for annual share price and interest rate information starting in 1700. Documentation is also available. Click here for annual share price information starting in 1820.
Documentation is also available.
Click here for monthly share price information starting in 1700. Documentation is also available. McGrattan's Historical Asset Pricing Data From the Minneapolis Fed. You'll find historicals on a number of companies plus lots of beta and market data. Check out the accompanying article The CAPM Debate .