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.) <br><br>This working paper was produced incompletely - several pages of the original were missing and others were duplicated.  To see a complete version of this paper <a href="http://www.jstor.org/sici?sici=0021-9398%28199007%2963%3A3%3C399%3AIOUSPF%3E2.0.CO%3B2-8">click here</a>
ER  -