SP500 company specific data

Hello! I hope this question is in the right subforum, but if not, feel free to move it to the correct place. For my thesis I will need the Company specific returns of (for example) SP500 companies as well as their market caps and possibly betas (which I can calculate out of the data if needed, though). I've looked around a bit and while finding the returns of an individual stock or index is not hard, a dataset that includes all companies in a specific index seems to be. Quandl has a lot of data, but most of it is behind a paywall and naturally I'd prefer to be able to pay nothing if I can...

For those interested my thesis topic is about the possible excess returns of so called sin stocks and the betas and market caps are there as control variables.