Replicating the Dow Jones Industrial Average / Jacky Lin, Genevieve C. Selden, John B. Shoven, Clemens Sialm.

Format:

Book

Author/Creator:

Lin, Jacky.

Contributor:

National Bureau of Economic Research.

Selden, Genevieve C.

Shoven, John B.

Sialm, Clemens.

Series:

Working Paper Series (National Bureau of Economic Research) no. w28528.

NBER working paper series no. w28528

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2021.

Summary:

The Dow Jones Industrial Average has historically been the most quoted stock index in the United States. It has several unique features. It uses price weights, it ignores cash dividend payments, and it also treats stock dividends, rights issues, and other corporate actions inconsistently. We show that price indices which use alternative weighting methods and more systematic inclusion criteria perform similarly to the Dow. However, ignoring cash and stock dividends underestimates the long-run returns earned by stock market investors dramatically. If the DJIA had consistently adjusted for dividends and other corporate actions since 1928, the index would have closed at 1,113,047 instead of 28,538 points at the end of 2019.

Notes:

Print version record

March 2021.