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Returns On Stocks, Bonds, And Commercial Paper: Long-Term Construction, Analysis, And Comparisons

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  • Wilson, Jack W.
  • Jones, Charles P.

Abstract

We report on the results of·the constructiort.of consistent monthly ·returns for two alternative measures of common stocks, for Aaa. bonds, and for commercial pap.er from December 1870 through December 1987. The annual yields, on the assumption of monthly reinvestment of income.returns,· are analyzed and compared in both nominal and inflation-adjusted terms. The average returns for each series are reported by return components for the complete .1871-1987 period as well as for the two subperiods 1871,;,1925 and 1926-1987. ·The purpose of this paper is to extend return data back in time as far as possible, an.d to provide alternative data series for research purposes.

Suggested Citation

  • Wilson, Jack W. & Jones, Charles P., 1988. "Returns On Stocks, Bonds, And Commercial Paper: Long-Term Construction, Analysis, And Comparisons," Department of Economics and Business - Archive 259430, North Carolina State University, Department of Economics.
    • Handle: RePEc:ags:ncbuar:259430
    DOI: 10.22004/ag.econ.259430
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    References listed on IDEAS

    as
    1. David Durand, 1942. "Basic Yields of Corporate Bonds, 1900-1942," NBER Chapters, in: Basic Yields of Corporate Bonds, 1900-1942, pages 1-40, National Bureau of Economic Research, Inc.
    2. Weil, Roman L, 1970. "Realized Interest Rates and Bondholders' Returns," American Economic Review, American Economic Association, vol. 60(3), pages 502-511, June.
    3. David Durand, 1942. "Basic Yields of Corporate Bonds, 1900-1942," NBER Books, National Bureau of Economic Research, Inc, number dura42-1, March.
    4. Wilson, Jack W & Jones, Charles P, 1987. "A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85," The Journal of Business, University of Chicago Press, vol. 60(2), pages 239-258, April.
    5. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
    6. Ibbotson, Roger G & Sinquefield, Rex A, 1976. "Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)," The Journal of Business, University of Chicago Press, vol. 49(1), pages 11-47, January.
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