Free DP Download 9 May 2019:BRITISH STOCK MARKET INDICES IN THE AGE OF EMPIRE, 1829-1929
Gareth Campbell, Richard Grossman and John Turner
CEPR DP No. 13717 | 5 May
A new CEPR study presents monthly capital gains, dividend yield and total return indices for common equities quoted on British stock exchanges from 1829 to 1929. As well as creating an all-share index, the authors create a blue-chip index of the 30 largest companies, which they splice to the Financial Times 30 index to create what is nearly a two-century-long monthly share index for the period 1829-2018 (see Figure).
The researchers use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment. They also construct indices for 22 domestic sectors, and calculate CAPM betas for each sector.
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