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A Comparison of Annual Common Stock Returns: 1871-1925 with 1926-85

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  • Wilson, Jack W
  • Jones, Charles P

Abstract

Lawrence Fisher and James H. Lorie, and Roger G. Ibbotson and Rex A. Sinquefield have documented annual returns on common stocks since 1926. Prior to 1926, due to the work of the Cowles Commission, annual returns can be extended back to January 1871. This study utilizes Alfred Cowles's reconstruction of common stock returns to provide a comparison between the periods 1871-1925 and 1926-85. A comparable series of annual returns over the complete 115-year period is developed in both nominal and inflation-adjusted terms. The comparison of the two periods suggests that the inflation-adjusted return averages 6.6 percent with similar variability between the two periods. Copyright 1987 by the University of Chicago.

Suggested Citation

  • 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.
  • Handle: RePEc:ucp:jnlbus:v:60:y:1987:i:2:p:239-58
    DOI: 10.1086/296394
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    Citations

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    Cited by:

    1. Myung Jig Kim & Charles R. Nelson & Richard Startz, 1991. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 515-528.
    2. Foerster, Stephen R. & Sapp, Stephen G., 2011. "Back to fundamentals: The role of expected cash flows in equity valuation," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 320-343.
    3. Tim Brailsford & John C. Handley & Krishnan Maheswaran, 2008. "Re‚Äźexamination of the historical equity risk premium in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(1), pages 73-97, March.
    4. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
    5. Schwert, G.W., 1989. "Indexes Of United States Stock Prices From 1802-1987," Papers 89-04, Rochester, Business - General.
    6. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January.
    7. Charles P. Jones & Jack W. Wilson, 1989. "An Analysis Of The January Effect In Stocks And Interest Rates Under Varying Monetary Regimes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 341-354, December.
    8. 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.

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