G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12121
DP12121 Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929
Richard Grossman
发表日期2017-06-28
出版年2017
语种英语
摘要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.
主题Economic History ; Financial Economics
关键词London stock exchange Economics history Business cycles Stock market indices
URLhttps://cepr.org/publications/dp12121
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540932
推荐引用方式
GB/T 7714
Richard Grossman. DP12121 Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929. 2017.
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