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Title: 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 and stock market indices

Programme Area(s): Economic History and Financial Economics

Abstract: 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.

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Bibliographic Reference

Grossman, R. 2017. 'Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=12121