Measures of Stock Market Value and Returns for the Us Nonfinancial Corporate Sector, 1900-2000
Posted: 22 Aug 2002
This paper describes a new dataset of annual time series relating to the US nonfinancial corporate sector: its market value, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (both in standard form, and adjusting for net new issues/buybacks); earnings yields; and "q", on a range of definitions (one series runs from 1871-2001); as well as various corporate leverage measures. The main features of note are: the relative stability of both q and the adjusted (but not unadjusted) dividend yield; the systematic tendency for mean q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage - most especially at the end of the sample.
Keywords: Stock Markets, Tobin's q, Valuation Measures, Nonfinancial Corporate Sector
JEL Classification: G100, G140, N21, N22
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