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Indexes of United States Stock Prices From 1802 to 1987 / G. William Schwert.
- Format:
- Book
- Author/Creator:
- Schwert, G. William.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2985.
- NBER working paper series no. w2985
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- Monthly stock returns from Smith and Cole [1935], Macaulay [1938] and Cowles [1939] are compared and contrasted with the returns to the CRSP value and equal-weighted portfolios of New York Stock Exchange (NYSE) stocks. Daily stock returns from Dow Jones [1972] and Standard & Poor's [1986] are compared and contrasted with the returns to the CRSP value and equal-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.)
- Notes:
- Print version record
- May 1989.
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