Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929

87 Pages Posted: 14 Jun 2019

See all articles by Gareth Campbell

Gareth Campbell

Queen's University Belfast - Queen's Management School; Queen's University Belfast

Richard S. Grossman

Wesleyan University - Economics Department; Institute for Quantitative Social Sciences - Harvard University; Centre for Economic Policy Research

John D. Turner

Queen's University Belfast; Queen's University Belfast - Queen's Management School

Multiple version iconThere are 2 versions of this paper

Date Written: June 13, 2019

Abstract

This paper presents new monthly capital gains, dividend yield, and total return indices for common equities quoted on British stock exchanges from 1829 to 1929. As well as creating an all-share index, we create a blue-chip index of the 30 largest companies, which we splice to the Financial Times 30 index to create a near-two-century-long (1829-2018) monthly share index. We use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment. We also construct indices for 22 domestic sectors, and calculate CAPM betas for each sector.

Keywords: share price index, UK, business cycles, uncalled capital, economic history

JEL Classification: G10, N13, N14, N23, N24

Suggested Citation

Campbell, Gareth and Grossman, Richard S. and Turner, John D., Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929 (June 13, 2019). QMS Research Paper 2019/07. Available at SSRN: https://ssrn.com/abstract=3404050 or http://dx.doi.org/10.2139/ssrn.3404050

Gareth Campbell (Contact Author)

Queen's University Belfast - Queen's Management School

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Queen's University Belfast ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Richard S. Grossman

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

Centre for Economic Policy Research ( email )

London
United Kingdom

John D. Turner

Queen's University Belfast ( email )

David Leir Building
Belfast BT7 1NN, BT9 5AG
Ireland

Queen's University Belfast - Queen's Management School

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

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