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An Analysis of the S&P 500 Index and Cowles's Extensions: Price Indexes and Stock Returns, 18701999

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  • Jack W. Wilson

    (North Carolina State University)

Abstract

This article provides a consistent monthly stock price index from January 1871 through 1999. The broadly defined S&P Weekly Index is reconstructed from 1918 and carried forward as the S&P 500 Composite Index to the present. Cowles's monthly index is improved in order to provide month-end estimates from February 1885. Cowles's estimates of dividends and earnings for this index from 1871 are reevaluated and are carried forward until spliced to the S&P daily estimates that began in 1957. The result is a monthly index of prices, dividends, and earnings based on consistent definitions over a period of 130 years.

Suggested Citation

  • Jack W. Wilson, 2002. "An Analysis of the S&P 500 Index and Cowles's Extensions: Price Indexes and Stock Returns, 18701999," The Journal of Business, University of Chicago Press, vol. 75(3), pages 505-534, July.
    • Handle: RePEc:ucp:jnlbus:v:75:y:2002:i:3:p:505-534
    DOI: 10.1086/339903
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    Cited by:

    1. Söderlind, Paul, 2009. "The C-CAPM without ex post data," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
    2. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," Working Papers hal-04140905, HAL.
    3. Roger Ibbotson & Peng Chen, 2001. "Stock Market Returns in the Long Run: Participating in the Real Economy," Yale School of Management Working Papers ysm206, Yale School of Management, revised 01 Apr 2002.
    4. Reggi, Luigi & Arduini, Davide & Biagetti, Marco & Zanfei, Antonello, 2014. "How advanced are Italian regions in terms of public e-services? The construction of a composite indicator to analyze patterns of innovation diffusion in the public sector," Telecommunications Policy, Elsevier, vol. 38(5), pages 514-529.
    5. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
    6. Oliver D. Bunn & Robert J. Shiller, "undated". "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.
    7. Jakob B. Madsen & Ratbek Dzhumashev, 2012. "The equity premium and the required stock returns in a Tobin's q model with a stochastic discount factor," Applied Economics, Taylor & Francis Journals, vol. 44(6), pages 683-694, February.
    8. Wade D. Pfau, 2012. "Long-term investors and valuation-based asset allocation," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1343-1353, August.
    9. Basse, Tobias & Klein, Tony & Vigne, Samuel A. & Wegener, Christoph, 2021. "U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?," Journal of Corporate Finance, Elsevier, vol. 67(C).
    10. Paul Soderlind, 2010. "Predicting stock price movements: regressions versus economists," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 869-874.
    11. Samih Antoine Azar, 2013. "US Stocks and the US Dollar," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(4), pages 91-106, October.
    12. Tangian, Andranik, 2007. "Analysis of the third European survey on working conditions with composite indicators," European Journal of Operational Research, Elsevier, vol. 181(1), pages 468-499, August.

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