Indexes of United States Stock Prices From 1802 to 1987
AbstractMonthly stock returns from Smith and Cole , Macaulay  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  and Standard & Poor's  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 InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2985.
Date of creation: Feb 1991
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- Laurent E. Calvet & Adlai J. Fisher, 2005.
"Multifrequency News and Stock Returns,"
NBER Working Papers
11441, National Bureau of Economic Research, Inc.
- Sun, Y., 2004. "Decomposing Densities of Stock Indexes Returns," Working Papers 2004-6, University of Guelph, Department of Economics.
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