Babak, Thanks for your suggestions. I looked over the Wilshire web site but wasn't able to find any list of stocks (unlike the Russell site). I've emailed them requesting a list. I'll see what comes back. Richard
I've attached a list of just under 4000 stocks. It's comprised of the major indices, sector indices, and all stocks on which options are listed. I process most available daily changes each day (S&P news, Naz/Amex dailies, CBOE/AMEX/PHLX new listings, etc.), and catch up on stuff I missed, the sector indices and the Russell every few months. I'd venture that this includes most stocks that are bigger than micro-cap, and actually trade more than a trickle. If anyone knows of a source of NYSE changes, I'd appreciate hearing about it. Their news page only addresses forced de-listings, and not other types of changes.
You can also step through the dozen or so sectors in the Yahoo Finance sector thingy: http://biz.yahoo.com/p/s_mktu.html You can sort them by market cap, and then download to a spreadsheet. Easier than 100 at a time, certainly. I don't know which stocks it includes, but they seem to go down pretty small.
Alan, Thanks for your list, its more extensive than the one I have. Richard PS. To all interested: I've had no reply from Wilshire to my email requesting a list of stocks in their indicies.
Richard - You asked why I said not to bother beyond the top 1000 or so even though there's a Russell 3000 index? Here's why: The Russell 3000 is just the Russell 1000 large cap index plus the Russell 2000 small cap index. Market cap drops off pretty quickly - for instance, if you're looking at the bottom of the 3000 (which is the bottom of the 2000) you're dealing with market caps down all the way around $150 million. In fact, the median market cap in the 2000 is only $400 million. Compare to the bottom of the 1000 at $1.4 billion. Even more striking - the market cap of the ENTIRE Russell 2000 (i.e., the bottom 2/3 of the Russell 3000) is only about 8% of the market cap of the Russell 1000 (i.e., the top 1/3 of the Russell 3000). In other words, the top 1000 = 92% of total market cap vs. the next 2000 = 8% of total market cap