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Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929

Listed author(s):
  • Grossman, Richard
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    This paper presents new monthly capital gain, dividend yield, and total return indices for common equities quoted on British exchanges during 1869-1929. I construct indices for 25 domestic sectors, calculate capital asset pricing model betas for each sector, and construct a 30-stock blue chip index. I splice the new broad market index to Turner et al.'s(2009) pre-1870 index to create a century-long (1825-1929) monthly equity index. I use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment during 1870-1929.

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    Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 12121.

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    Date of creation: Jun 2017
    Handle: RePEc:cpr:ceprdp:12121
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    1. Brian Mitchell & David Chambers & Nick Crafts, 2011. "How good was the profitability of British railways, 1870–1912?," Economic History Review, Economic History Society, vol. 64(3), pages 798-831, 08.
    2. Berger, Allen N. & Herring, Richard J. & Szego, Giorgio P., 1995. "The role of capital in financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 393-430, June.
    3. Le Bris, David & Hautcœur, Pierre-Cyrille, 2010. "A challenge to triumphant optimists? A blue chips index for the Paris stock exchange, 1854–2007," Financial History Review, Cambridge University Press, vol. 17(02), pages 141-183, October.
    4. BenjaminR. Chabot & ChristopherJ. Kurz, 2010. "That's Where The Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Economic Journal, Royal Economic Society, vol. 120(547), pages 1056-1079, 09.
    5. Grossman, Richard S., 1999. "Rearranging deck chairs on the Titanic: English banking concentration and efficiency, 1870 1914," European Review of Economic History, Cambridge University Press, vol. 3(03), pages 323-349, December.
    6. Richard S. Grossman & Masami Imai, 2013. "Contingent capital and bank risk-taking among British banks before the First World War," Economic History Review, Economic History Society, vol. 66(1), pages 132-155, February.
    7. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, November.
    8. Benjamin Chabot & Christopher J. Kurz, 2009. "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers 972, Economic Growth Center, Yale University.
    9. Richard S. Grossman, 2015. "Bloody foreigners! Overseas equity on the London Stock Exchange, 1869–1929," Economic History Review, Economic History Society, vol. 68(2), pages 471-521, May.
    10. Acheson, Graeme G. & Hickson, Charles R. & Turner, John D. & Ye, Qing, 2009. "Rule Britannia! British Stock Market Returns, 1825-1870," The Journal of Economic History, Cambridge University Press, vol. 69(04), pages 1107-1137, December.
    11. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    12. Richard S. Grossman, 2010. "Unsettled Account: The Evolution of Banking in the Industrialized World since 1800," Economics Books, Princeton University Press, edition 1, number 9219.
    13. William N. Goetzmann & Andrey D. Ukhov, 2006. "British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach," Review of Finance, European Finance Association, vol. 10(2), pages 261-300.
    14. Chadha, J.S. & Janssen, N. & Nolan, C., 2000. "An Examination of UK Business Cycle Fluctuations: 1871-1997," Cambridge Working Papers in Economics 0024, Faculty of Economics, University of Cambridge.
    15. Eichengreen, Barry J., 1982. "The Proximate Determinants of Domestic Investment in Victorian Britain," The Journal of Economic History, Cambridge University Press, vol. 42(01), pages 87-95, March.
    16. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    17. Richard S.Grossman, 2017. "Beresford’s Revenge: British equity holdings in Latin America, 1869-1929," Wesleyan Economics Working Papers 2017-003, Wesleyan University, Department of Economics.
    18. Grossman, Peter Z, 1995. "The Market for Shares of Companies with Unlimited Liability: The Case of American Express," The Journal of Legal Studies, University of Chicago Press, vol. 24(1), pages 63-85, January.
    19. Hickson, Charles R. & Turner, John D., 2003. "Shareholder liability regimes in nineteenth-century English banking: The impact upon the market for shares," European Review of Economic History, Cambridge University Press, vol. 7(01), pages 99-125, April.
    20. David Le Bris & Pierre-Cyrille Hautcoeur, 2010. "A challenge to triumphant optimists? A new blue chips Index for the Paris stock-exchange (1854-2007)," Post-Print halshs-00754455, HAL.
    21. Mirowski, Philip, 1987. "What do markets do? : Efficiency tests of the 18th-century London stock market," Explorations in Economic History, Elsevier, vol. 24(2), pages 107-129, April.
    22. Grossman, Richard S., 2002. "New Indices Of British Equity Prices, 1870 1913," The Journal of Economic History, Cambridge University Press, vol. 62(01), pages 121-146, March.
    23. Graeme G. Acheson & John D. Turner & Qing Ye, 2012. "The character and denomination of shares in the Victorian equity market," Economic History Review, Economic History Society, vol. 65(3), pages 862-886, August.
    24. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 621-635, February.
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