TY - JOUR
AU - Schwert,G. William
TI - Indexes of United States Stock Prices From 1802 to 1987
JF - National Bureau of Economic Research Working Paper Series
VL - No. 2985
PY - 1989
Y2 - May 1989
DO - 10.3386/w2985
UR - http://www.nber.org/papers/w2985
L1 - http://www.nber.org/papers/w2985.pdf
N1 - Author contact info:
G. William Schwert
William E. Simon Graduate School of Business Admin
University of Rochester
Rochester, NY 14627
Tel: 585/275-2470
Fax: 585/461-5475
E-Mail: Schwert@schwert.ssb.rochester.edu
AB - 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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ER -