Daily Stock Returns, 1885-1962

G. William Schwert

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

SOURCE: "Indexes of United States Stock Prices from 1802 to 1987," Journal of Business, 63 (July 1990) 399-426
The file STKDATD.ZIP (710K) contains daily stock returns to the Dow Jones composite portfolio from February 16, 1885 through January 3, 1928, and to the Standard & Poor's composite portfolio from January 4, 1928 through July 2, 1962. The CRSP daily returns file starts on July 3, 1962, so these data should be used to complete the daily returns series. The file has the following format:

1) Date

2) Return

3) Capital gain return

4) Dividend yield (estimated from monthly yields)

The format is: (I8,3F10.7). There are 22,474 days. See the paper "Indexes of United States Stock Prices, 1802-1987" by G. William Schwert in the July 1990 Journal of Business for a description of the methods used to construct these data. If you use these data for academic purposes, please reference the Journal of Business paper as the source of the data. Please do not pass them on to others. Do not to use them for commercial purposes without permission from Schwert.

Download STKDATD.ZIP [a ZIP file].

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Last Updated on 6/10/2021