In WRDS select CRSP daily and monthly stock files and indices from December 1925 -- present. The files are updated annually.

Consult Ibbotson SBBI Classic Yearbook (print edition only; formerly known as Stocks, Bonds, Bills and Inflation Yearbook).

Bloomberg (available in Sloan). Type the company's ticker symbol, hit the yellow EQUITY key, type TRA (for total return analysis) then hit GO. To compare an equity's total return against an index, type the company's ticker symbol, hit EQUITY, type COMP, then hit GO.

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