MEASURES OF STOCK MARKET VALUE AND RETURNS FOR THE U.S. NONFINANCIAL CORPORATE SECTOR, 1900–2002

Stephen Wright

Review of Income and Wealth, 2004, vol. 50, issue 4, 561-584

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 q and the cashflow dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage.

Date: 2004
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