Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/196118
Authors: 
Campbell, Gareth
Grossman, Richard S.
Turner, John D.
Year of Publication: 
2019
Series/Report no.: 
QUCEH Working Paper Series 2019-01
Abstract: 
This paper presents new 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, we create a blue-chip index of the 30 largest companies, which we splice to the Financial Times 30 index to create a near-two-century-long (1829-2018) monthly share index. We use the new indices to examine the timing of British business cycles and compare the returns on home and foreign UK investment. We also construct indices for 22 domestic sectors, and calculate CAPM betas for each sector.
Subjects: 
share price index
UK
business cycles
uncalled capital
economic history
JEL: 
G10
N13
N14
N23
N24
Document Type: 
Working Paper
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