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

Listed author(s):
  • Richard S.Grossman

    ()

    (Department of Economics, Wesleyan University)

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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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    File URL: http://repec.wesleyan.edu/pdf/rgrossman/2017004_grossman.pdf
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    Paper provided by Wesleyan University, Department of Economics in its series Wesleyan Economics Working Papers with number 2017-004.

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    Length: 58 pages
    Date of creation: Jun 2017
    Handle: RePEc:wes:weswpa:2017-004
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