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

Richard Grossman

No 2017-004, Wesleyan Economics Working Papers from Wesleyan University, Department of Economics

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; economic 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)
Pages: 58 pages
Date: 2017-06
New Economics Papers: this item is included in nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://repec.wesleyan.edu/pdf/rgrossman/2017004_grossman.pdf (application/pdf)

Related works:
Working Paper: Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929 (2017)
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:wes:weswpa:2017-004

Access Statistics for this paper

More papers in Wesleyan Economics Working Papers from Wesleyan University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Manolis Kaparakis ().