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University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
3) Capital gain return
4) Dividend yield (estimated from monthly yields)
The format is: (I8,3F10.7). There are 22,474 days. See the paper "Indexes of United States Stock Prices, 1802-1987" by G. William Schwert in the July 1990 Journal of Business for a description of the methods used to construct these data. If you use these data for academic purposes, please reference the Journal of Business paper as the source of the data. Please do not pass them on to others. There is nominal charge of $50 payable to the University of Rochester for academic users. Commercial users should contact Schwert to negotiate terms and conditions for usage. Please mail your check to: