Indexes of United States Stock Prices From 1802 to 1987
NBER Working Paper No. 2985 (Also Reprint No. r1514)
Monthly stock returns from Smith and Cole , Macaulay  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  and Standard & Poor's  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.)
Published: "Indexes of U.S. Stock Prices from 1802 to 1987." From Journal of Business , Vol. 63, No. 3, pp. 399-426, (July 1990).