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    Measures of stock market value and returns for the U.S. nonfinancial corporate sector, 1900-2002

    Wright, Stephen (2004) Measures of stock market value and returns for the U.S. nonfinancial corporate sector, 1900-2002. Review of Income and Wealth 50 (4), pp. 561-584. ISSN 1475-4991.

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    Abstract

    This paper describes a new dataset of annual time series relating to the U.S. nonfinancial corporate sector: its market value, returns, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (including an alternative “cashflow” measure); earnings; and “q”, on a range of definitions; as well as corporate leverage measures. The main features are: the relative long‐run stability of both q and the cashflow dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 19 May 2020 07:48
    Last Modified: 19 May 2020 07:48
    URI: https://eprints.bbk.ac.uk/id/eprint/31967

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