Measures of Stock Market Value and Returns for the U.S. Nonfinancial Corporate Sector, 1900-2002

24 Pages Posted: 16 Dec 2004

See all articles by Stephen H. Wright

Stephen H. Wright

Birkbeck College, University of London

Abstract

This paper describes a new dataset of annual time series relating to the U.S. nonfinancial corporate sector: its market value, returns, 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 (including an alternative "cashflow" measure) earnings; and "q", on a range of definitions; as well as corporate leverage measures. The main features are: the relative long-run stability of both and the cashflow dividend yield; the systematic tendency for to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage.

JEL Classification: M41, G30

Suggested Citation

Wright, Stephen H., Measures of Stock Market Value and Returns for the U.S. Nonfinancial Corporate Sector, 1900-2002. Available at SSRN: https://ssrn.com/abstract=625794

Stephen H. Wright (Contact Author)

Birkbeck College, University of London ( email )

Malet St
London, WC1 E7HX
United Kingdom

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