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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