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Indexes of United States Stock Prices From 1802 to 1987

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  • G. William Schwert

Abstract

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.) 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

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2985.

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Date of creation: Feb 1991
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Handle: RePEc:nbr:nberwo:2985

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Cited by:
  1. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  2. Sun, Y., 2004. "Decomposing Densities of Stock Indexes Returns," Working Papers 2004-6, University of Guelph, Department of Economics.

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