Indexes of United States Stock Prices From 1802 to 1987
No 2985, NBER Working Papers from National Bureau of Economic Research, Inc
Monthly stock returns from Smith and Cole , Macaulay  and Cowles  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  and Standard & Poor's  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.)
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Published as "Indexes of U.S. Stock Prices from 1802 to 1987." From Journal of Business , Vol. 63, No. 3, pp. 399-426, (July 1990).
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Working Paper: INDEXES OF UNITED STATES STOCK PRICES FROM 1802-1987 (1989)
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