Article2002

NEW INDICES OF BRITISH EQUITY PRICES, 1870–1913

90 citations0/0 files storedThe Journal of Economic History

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Historical Economic and Social Studies Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

Abstract

This article presents new annual price indices of equities traded on British exchanges for the period 1870–1913, as a replacement for Smith and Horne's widely used index. The data set contains 40, 677 observations on 3, 103 securities issued by 2, 740 companies, providing substantially broader coverage of the market: from 520 to 1, 150 issues per year, compared with Smith and Horne's 25 to 77 securities. In addition, the data set contains information on shares outstanding, par values, and dividends, allowing the construction of weighted and unweighted return indices and price–dividend ratios. The new database suggests an agenda for further research.

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References

1998Valuation Ratios and the Long-Run Stock Market Outlook 1990Indexes of U.S. Stock Prices from 1802 to 1987 1995A Longer Look at Dividend Yields 1989Industrial Structure, Capital Markets, and the Origins of British Economic Decline 1998Forging Ahead and Falling Behind: The Rise and Relative Decline of the First Industrial Nation 1993Patterns in Three Centuries of Stock Market Prices 2000Regulatory lessons for emerging stock markets from a century of evidence on transactions costs and share price volatility in the London Stock Exchange 1989Are UK Stock Prices Excessively Volatile? Trading Rules and Variance Bound Tests

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