Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929

Richard Grossman

No 12121, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper presents new monthly capital gain, dividend yield, and total return indices for common equities quoted on British exchanges during 1869-1929. I construct indices for 25 domestic sectors, calculate capital asset pricing model betas for each sector, and construct a 30-stock blue chip index. I splice the new broad market index to Turner et al.’s (2009) pre-1870 index to create a century-long (1825-1929) monthly equity index. I use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment during 1870-1929.

Keywords: London stock exchange; Economics history; Business cycles; Stock market indices (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 N23 N24 (search for similar items in EconPapers)
Date: 2017-06
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (11)

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Working Paper: Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929 (2017)
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