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Indexes of U.S. Stock Prices from 1802 to 1987

G. William Schwert
The Journal of Business
Vol. 63, No. 3 (Jul., 1990), pp. 399-426
Stable URL: http://www.jstor.org/stable/2353156
Page Count: 28
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Indexes of U.S. Stock Prices from 1802 to 1987
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Abstract

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).

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