Indexes of U.S. Stock Prices from 1802 to 1987
G. William Schwert
University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Journal of Business, 63 (July 1990) 399-426
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 monthly 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
Cited 126 times in the SSCI and SCOPUS through 2014
© Copyright 1990, University of Chicago
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