Monthly US Stock Returns, 1802-1925

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 STKDATM.ZIP (25K) contains 5 columns from January 1802 through December 1925:

1) Date

2) Return

3) Capital gain return (adjusted for time-averaging, 1863.01 - 1885.02)

4) Dividend yield (estimated from 1802.02 - 1870.12)

5) Capital return (unadjusted)

The format is: (I6,4F12.8). There are 1,488 months, January 1802 - December 1925. The CRSP value-weighted and equal-weighted indexes are available from January 1926 to the present. 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. Michael Brock has pointed out that the data from 1807.05-1808.01 from Smith and Cole contain an error (which has been fixed in these data, but not until 12/17/97).

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 STKDATM.ZIP [a ZIP file].

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Last Updated on 6/10/2021