Indexes of United States Stock Prices from 1802 to 1987

52 Pages Posted: 9 Oct 2007 Last revised: 30 Aug 2010

See all articles by G. William Schwert

G. William Schwert

University of Rochester - Simon Business School; National Bureau of Economic Research (NBER)

Date Written: May 1989

Abstract

Monthly stock returns from Smith and Cole [1935], Macaulay [1938] and Cowles [1939] 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.)

Suggested Citation

Schwert, G. William, Indexes of United States Stock Prices from 1802 to 1987 (May 1989). NBER Working Paper No. w2985. Available at SSRN: https://ssrn.com/abstract=463443

G. William Schwert (Contact Author)

University of Rochester - Simon Business School ( email )

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585-461-5475 (Fax)

HOME PAGE: http://schwert.ssb.rochester.edu

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