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Measures Of Stock Market Value And Returns For The U.S. Nonfinancial Corporate Sector, 1900-2002

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Stephen Wright

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Abstract

This paper describes a new dataset of annual time series relating to the U.S. nonfinancial corporate sector: its market value, returns, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (including an alternative "cashflow" measure); earnings; and "q", on a range of definitions; as well as corporate leverage measures. The main features are: the relative long-run stability of both q and the cashflow dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage. Copyright 2004 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/links/doi/10.1111/j.0034-6586.2004.00140.x/enhancedabs
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Publisher Info
Article provided by Blackwell Publishing in its journal Review of Income and Wealth.

Volume (Year): 50 (2004)
Issue (Month): 4 (December)
Pages: 561-584
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Handle: RePEc:bla:revinw:v:50:y:2004:i:4:p:561-584

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  1. Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston. [Downloadable!]
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  2. Boyan Jovanovic & Peter L. Rousseau, 2009. "Extensive and Intensive Investment over the Business Cycle," NBER Working Papers 14960, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-22.

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