Indexes of United States Stock Prices From 1802 to 1987
Monthly stock returns from Smith and Cole [1935], Macaulay [1938] and Cowles [1939] 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.)
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 click here
-
-
Copy CitationG. William Schwert, "Indexes of United States Stock Prices From 1802 to 1987," NBER Working Paper 2985 (1989), https://doi.org/10.3386/w2985.Download Citation
Published Versions
"Indexes of U.S. Stock Prices from 1802 to 1987." From Journal of Business , Vol. 63, No. 3, pp. 399-426, (July 1990).
Related
Topics
Programs
More from the NBER
In addition to working papers, the NBER disseminates affiliates’ latest findings through a range of free periodicals—the NBER Reporter, the NBER Digest, the Bulletin on Health, the Bulletin on the Economics of Alzheimer's, and the Bulletin on Entrepreneurship—as well as research spotlights, lectures, and panel videos.
