Siblis Research index-constituent data (licensed)

Licensed: not exercised here

Siblis Research data is a paid subscription product, so it carries no provenance badge: the access path below was not run in this session. Treat it as unverified until someone exercises it through a Siblis subscription. This is the honest grade under the institute’s Verified discipline.

Siblis Research is a subscription data provider whose research-relevant product is historical index membership: the dates on which a stock was added to or deleted from the S&P 500, S&P MidCap 400, S&P SmallCap 600, and Nasdaq 100, along with historical constituent market values and weights. Reconstructed index event histories are the raw material for index-effect and demand-curve studies. A paper we distill uses it: Greenwood & Sammon take 736 S&P 500 additions and 731 deletions over 1980 to 2020 from Siblis Research (plus MidCap 400, SmallCap, and Nasdaq 100 changes from 1995) when documenting the disappearance of the index-inclusion effect.

• Cost: licensed, subscription. No free historical-constituent download.
• Vendor: Siblis Research.
• Coverage: addition / deletion dates and constituent market values for the major S&P and Nasdaq indices; S&P 500 history back to 1980 in the citing paper, MidCap / SmallCap / Nasdaq from 1995.

Access (when licensed)

• Through a Siblis Research subscription. The historical constituent and index-change files are bought from Siblis directly (spreadsheet / download products by index).
• Two distinct products. The change history (dates of additions and deletions) and the point-in-time constituent market values are different extracts; an index-event study needs the dated change list, while a weighting or demand-shock measure needs the constituent values.
• No credential is run here. Keep any account credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• Announcement date versus effective date. Index changes have an announcement date and a (later) effective date; the abnormal return accrues between them, so using the wrong date misplaces the event window. The citing paper anchors its baseline window to the trading day before announcement through the day after the effective date. Confirm which date each field is.
• Coverage starts later for the smaller indices. S&P 500 history reaches back to 1980, but MidCap / SmallCap / Nasdaq histories begin around 1995, and announcement dates are not available for some sub-indices (events are dated off the effective date). Do not assume uniform history across indices.
• Migrations are not plain additions. A stock moving from the MidCap 400 to the S&P 500 is simultaneously a deletion and an addition; treating it as a clean addition double-counts the demand shock (the migration mechanism is central to the citing paper). Flag migrations explicitly.
• Pre-1990 gaps need an outside source. Early S&P 500 announcement dates are incomplete in the historical record; the citing paper fills pre-1990 announcements from Barberis, Shleifer & Wurgler (2005). Plan for a supplemental source if your sample reaches back that far.
• Identifier matching to CRSP / Compustat. Constituents must be matched to CRSP permnos for returns; the join has known mismatches across ticker reuse and reorganizations. Verify the link.

Citation

Cite the vendor, e.g.: Siblis Research index-constituent data, accessed YYYY-MM-DD. State the index, the date field used (announcement versus effective), and the constituent-value vintage.