Is there anywhere we can download the earnings for MSCI country indices such as the underlying index for EWZ, EWI, or EWC? I want to calculate and update the historical P/E of the indices, so I am looking for index level earnings, not individual companies. Thanks.
To do so, you need all of the constituents. You get it from MSCI or institutional platforms that license MSCI data. Be prepared to pay institutional prices.
It’s available on Eikon & Bloomberg terminals. These are not standard data fees, you’ll be paying a pretty penny for the information.