This dataset holds 18.2 million SEC filings over 1993-2018. Columns include company name (coname), form type (formtype), central index key (cik), the url of the full filing (filename) and filing date (date). Note that the cik is the historic cik at time of the filing, not the current cik.
This dataset is a merge of the master index files that are freely available on SEC's website. For example, https://www.sec.gov/Archives/edgar/full-index/2017/QTR4/
A zipfile can be downloaded here. The file is in SAS format, unzipped about 2.4 GB. To use it with other software, consider converting it with Stata Transfer.
The url in the dataset (field: filename) is not the full url. It needs to be prepended by: http:\\www.sec.gov\Archives\
Extract the zip to a (new) directory (for example: C:\libraries\edgar) and create a library reference to this directory (libname edgar "c:\libraries\edgar\"). After this point, you can use the dataset in SAS by referring to it (edgar.filings).
This table can be used to download the filings to your hard drive for further investigation. Also, it makes it easier to identify observations with confounding events. For example, when doing an event study it is easy to exclude firms that filed a form 8-K (material event) in the dates around the event date.
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