Indexes of U.S. Stock Prices from 1802 to 1987

G. Schwert

The Journal of Business, 1990, vol. 63, issue 3, 399-426

Abstract: Monthly stock returns from Smith and Cole (1935), Macaulay (1938), and Cowles (1939) are compared and contrasted with the returns to the Center for Research in Security Prices value-weighted portfolios of New York Stock Exchange (NYSE) stocks. Daily stock returns from Dow Jones (1972) and Standard and Poor's (1986) are compared and contrasted with the returns to the Center for Research in Security Prices value-weighted portfolios of NYSE and American Stock Exchange 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). Copyright 1990 by the University of Chicago.

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (79)

Downloads: (external link)
http://dx.doi.org/10.1086/296513 full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:63:y:1990:i:3:p:399-426

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().