NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Indexes of United States Stock Prices From 1802 to 1987

G. William Schwert

NBER Working Paper No. 2985 (Also Reprint No. r1514)
Issued in May 1989
NBER Program(s):   ME

Monthly stock returns from Smith and Cole [1935], Macaulay [1938] and Cowles [1939J are compared and contrasted with the returns to the CRSP value and equal-weighted portfolios of New York Stock Exchange (NYSE) stocks. Daily stock returns from Dow Jones [1972] and Standard & Poor's [1986] are compared and contrasted with the returns to the CRSP value and equal-weighted portfolios of NYSE and American Stock Exchange (AMEX) stocks. Effects of dividends, nonsynchronous trading and time-averaging are analyzed. Splicing together the best indexes gives monthly data from 1802-1987 (2,227) observations) and daily data from 1885-1987 (28,884 observations.)

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Document Object Identifier (DOI): 10.3386/w2985

Published: "Indexes of U.S. Stock Prices from 1802 to 1987." From Journal of Business , Vol. 63, No. 3, pp. 399-426, (July 1990).

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