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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

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.

Suggested Citation

  • Stephen Wright, 2004. "Measures Of Stock Market Value And Returns For The U.S. Nonfinancial Corporate Sector, 1900-2002," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 50(4), pages 561-584, December.
  • Handle: RePEc:bla:revinw:v:50:y:2004:i:4:p:561-584
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    Cited by:

    1. Miglo, Anton, 2010. "The Pecking Order, Trade-off, Signaling, and Market-Timing Theories of Capital Structure: a Review," MPRA Paper 46691, University Library of Munich, Germany, revised 2013.
    2. Boyan Jovanovic & Peter L. Rousseau, 2014. "Extensive and Intensive Investment over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 122(4), pages 863-908.
    3. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    4. Larrain, Borja & Yogo, Motohiro, 2008. "Does firm value move too much to be justified by subsequent changes in cash flow," Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
    5. Jakob B Madsen, 2011. "A q Model of House Prices," Monash Economics Working Papers 03-11, Monash University, Department of Economics.
    6. Driffill, John & Miller, Marcus, 2011. "Liquidity When It Matters Most: QE and Tobin’s q," CEPR Discussion Papers 8511, C.E.P.R. Discussion Papers.
    7. repec:eee:moneco:v:90:y:2017:i:c:p:84-98 is not listed on IDEAS
    8. Graham, John R. & Leary, Mark T. & Roberts, Michael R., 2015. "A century of capital structure: The leveraging of corporate America," Journal of Financial Economics, Elsevier, vol. 118(3), pages 658-683.
    9. Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2012. "Inflation, human capital and Tobin's q," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 1057-1074.
    10. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, April.
    11. Donald Robertson & Stephen Wright, 2006. "Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 91-99, February.
    12. Faria, Joao Ricardo & Mollick, Andre Varella, 2010. "Tobin's q and U.S. inflation," Journal of Economics and Business, Elsevier, vol. 62(5), pages 401-418, September.

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