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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP12121 |
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 |
URL | https://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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