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Indexes of United States Stock Prices From 1802 to 1987

  • G. William Schwert

Monthly stock returns from Smith and Cole [1935], Macaulay [1938] 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 [1972] and Standard & Poor's [1986] 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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2985.

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Date of creation: May 1989
Date of revision:
Publication status: published as "Indexes of U.S. Stock Prices from 1802 to 1987." From Journal of Business , Vol. 63, No. 3, pp. 399-426, (July 1990).
Handle: RePEc:nbr:nberwo:2985
Note: ME
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