DP12121 Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929

Author(s): Richard Grossman
Publication Date: June 2017
Keyword(s): Business Cycles, economic history, London Stock Exchange, stock market indices
JEL(s): G10, G12, G15, N23, N24
Programme Areas: Financial Economics, Economic History
Link to this Page: www.cepr.org/active/publications/discussion_papers/dp.php?dpno=12121

This paper presents new monthly capital gain, dividend yield, and total return indices for common equities quoted on British exchanges during 1869-1929. I construct indices for 25 domestic sectors, calculate capital asset pricing model betas for each sector, and construct a 30-stock blue chip index. I splice the new broad market index to Turner et al.'s(2009) pre-1870 index to create a century-long (1825-1929) monthly equity index. I use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment during 1870-1929.