Measures of Stock Market Value and Returns for the Us Nonfinancial Corporate Sector, 1900-2000
Birkbeck College, Economics Working Paper
49 Pages Posted: 13 Feb 2002
Date Written: February 1, 2002
Abstract
This paper describes a new dataset of annual time series relating to the US nonfinancial corporate sector: its market value, 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 (both in standard form, and adjusting for net new issues/buybacks); earnings yields; and "q", on a range of definitions (one series runs from 1871-2001); as well as various corporate leverage measures. The main features of note are: the relative stability of both q and the adjusted (but not unadjusted) dividend yield; the systematic tendency for mean q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage - most especially at the end of the sample.
Keywords: Stock Markets, Tobin's q, Valuation Measures, Nonfinancial Corporate Sector
JEL Classification: G100, G140, N21, N22
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Has the Business Cycle Changed and Why?
By James H. Stock and Mark W. Watson
-
Output Fluctuations in the United States: What Has Changed Since the Early 1980s?
-
Time Varying Structural Vector Autoregressions and Monetary Policy
-
Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?
By Shaghil Ahmed, Andrew T. Levin, ...
-
On the Causes of the Increased Stability of the U.S. Economy
By James A. Kahn, Margaret Mary Mcconnell, ...
-
The Rise in Firm-Level Volatility: Causes and Consequences
By Diego Comin and Thomas Philippon
-
The Rise in Firm-Level Volatility: Causes and Consequences
By Diego Comin and Thomas Philippon
-
The Rise in Firm-Level Volatility: Causes and Consequences
By Diego A. Comin and Thomas Philippon
-
The Estimation of Prewar Gnp: Methodology and New Evidence
By Nathan S. Balke and Robert J. Gordon