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

61 Pages Posted: 4 Jul 2017  

Richard S. Grossman

Wesleyan University - Economics Department; Institute for Quantitative Social Sciences - Harvard University

Date Written: June 2017

Abstract

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.

Keywords: Business Cycles, economic history, London Stock Exchange, stock market indices

JEL Classification: G10, G12, G15, N23, N24

Suggested Citation

Grossman, Richard S., Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929 (June 2017). CEPR Discussion Paper No. DP12121. Available at SSRN: https://ssrn.com/abstract=2996666

Richard Grossman (Contact Author)

Wesleyan University - Economics Department ( email )

Middletown, CT 06459
United States
(860) 685-2356 (Phone)
(860) 685-2781 (Fax)

HOME PAGE: http://rgrossman.web.wesleyan.edu

Institute for Quantitative Social Sciences - Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

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