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Indexes of United States Stock Prices From 1802 to 1987

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  • G. William Schwert

Abstract

Monthly stock returns from Smith and Cole [1935], Macaulay [1938] and Cowles [1939] 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 [1972] and Standard & Poor's [1986] 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.)

Suggested Citation

  • G. William Schwert, 1989. "Indexes of United States Stock Prices From 1802 to 1987," NBER Working Papers 2985, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:2985
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    Cited by:

    1. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
    2. Sun, Y., 2004. "Decomposing Densities of Stock Indexes Returns," Working Papers 2004-6, University of Guelph, Department of Economics and Finance.
    3. Sheng-Ping Yang & Thanh Nguyen, 2019. "Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market," JRFM, MDPI, vol. 12(3), pages 1-10, September.
    4. Frederic S. Mishkin, 1999. "International Capital Movements, Financial Volatility and Financial Instability," NBER Working Papers 6390, National Bureau of Economic Research, Inc.

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