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Measures Of Stock Market Value And Returns For The U.S. Nonfinancial Corporate Sector, 1900–2002

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  • Stephen Wright

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.

Suggested Citation

  • Stephen Wright, 2004. "Measures Of Stock Market Value And Returns For The U.S. Nonfinancial Corporate Sector, 1900–2002," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 50(4), pages 561-584, December.
    • Handle: RePEc:bla:revinw:v:50:y:2004:i:4:p:561-584
    DOI: 10.1111/j.0034-6586.2004.00140.x
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    Cited by:

    1. Robert E. Krainer, 2014. "Financial Aspects of Business Cycles: An Analysis of Balance Sheet Adjustments of U.S. Nonfinancial Enterprises over the Twentieth Century," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 371-407, March.
    2. Boyan Jovanovic & Peter L. Rousseau, 2008. "Specific Capital and Technological Variety," Journal of Human Capital, University of Chicago Press, vol. 2(2), pages 129-152.
    3. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
    4. Jovanovic, Boyan, 2009. "Investment options and the business cycle," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2247-2265, November.
    5. Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2012. "Inflation, human capital and Tobin's q," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 1057-1074.
    6. Miglo, Anton, 2010. "The Pecking Order, Trade-off, Signaling, and Market-Timing Theories of Capital Structure: a Review," MPRA Paper 46691, University Library of Munich, Germany, revised 2013.
    7. Krainer, Robert E., 2023. "Financial contracting as behavior towards risk: The corporate finance of business cycles 8/3/22," Journal of Financial Stability, Elsevier, vol. 65(C).
    8. Larrain, Borja & Yogo, Motohiro, 2008. "Does firm value move too much to be justified by subsequent changes in cash flow," Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
    9. Anthony B. Atkinson, 2018. "Wealth and inheritance in Britain from 1896 to the present," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 16(2), pages 137-169, June.
    10. Boyan Jovanovic & Peter L. Rousseau, 2014. "Extensive and Intensive Investment over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 122(4), pages 863-908.
    11. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, April.
    12. Donald Robertson & Stephen Wright, 2006. "Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 91-99, February.
    13. Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    14. Anton Miglo, 2012. "Managers versus Students: New Approach in Improving Capital Structure Education," Journal of Education and Vocational Research, AMH International, vol. 3(11), pages 353-369.
    15. Coluccia, Daniela & Dabić, Marina & Del Giudice, Manlio & Fontana, Stefano & Solimene, Silvia, 2020. "R&D innovation indicator and its effects on the market. An empirical assessment from a financial perspective," Journal of Business Research, Elsevier, vol. 119(C), pages 259-271.
    16. Luigi Bocola & Nils M. Gornemann, 2013. "Risk, economic growth and the value of U.S. corporations," Working Papers 13-10, Federal Reserve Bank of Philadelphia.
    17. Jacob A. Kerspien & Jakob B. Madsen, 2024. "Markups, Tobin's q, and the Increasing Capital Share," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(2-3), pages 569-587, March.
    18. Faria, Joao Ricardo & Mollick, Andre Varella, 2010. "Tobin's q and U.S. inflation," Journal of Economics and Business, Elsevier, vol. 62(5), pages 401-418, September.
    19. Jakob B Madsen, 2011. "A q Model of House Prices," Monash Economics Working Papers 03-11, Monash University, Department of Economics.
    20. Miller, Marcus & Driffill, John, 2011. "Liquidity When It Matters Most: QE and Tobin?s q," CEPR Discussion Papers 8511, C.E.P.R. Discussion Papers.
    21. Iraola, Miguel A. & Santos, Manuel S., 2017. "Asset price volatility, price markups, and macroeconomic fluctuations," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 84-98.
    22. Timothy Cogley & Boyan Jovanovic, 2022. "Structural Breaks in an Endogenous Growth Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(2), pages 666-694.
    23. Stefano Fontana & Daniela Coluccia & Silvia Solimene, 2019. "VAIC as a Tool for Measuring Intangibles Value in Voluntary Multi-Stakeholder Disclosure," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 10(4), pages 1679-1699, December.
    24. Graham, John R. & Leary, Mark T. & Roberts, Michael R., 2015. "A century of capital structure: The leveraging of corporate America," Journal of Financial Economics, Elsevier, vol. 118(3), pages 658-683.
    25. Seth G. Benzell & Erik Brynjolfsson, 2019. "Digital Abundance and Scarce Genius: Implications for Wages, Interest Rates, and Growth," NBER Working Papers 25585, National Bureau of Economic Research, Inc.

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