G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

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Journal of Business, 63 (July 1990) 399-426

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Monthly stock returns from Smith and Cole (1935), Macaulay (1938), and Cowles (1939) are compared and contrasted with the returns to the Center for Research in Security Prices (CRSP) value-weighted portfolios of New York Stock Exchange (NYSE) stocks. Daily stock returns from Dow Jones (1972) and Standard and Poor's (1986) are compared and contrasted with the returns to the CRSP value-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 mnonthly data from 1802-1987 (2,227 observations) and daily data from 1885-1987 (28,884 observations).

Key words: Stock Market, Index, Dividends

JEL Classifications: G12, G14

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Cited 89 times in the SSCI through 2007

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© Copyright 1990, University of Chicago

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