Monthly Indices of Returns for the British Equity Market, 1825-70

The dataset contains monthly indices of returns for the British equity market covering the period 1825-70. The main data source used is the <i>Course of the Exchange</i>, a stockbroker list for the London Stock Exchange. All common equities from this list are included apart from some stocks for which there is insufficient or missing data and stocks which listed for less than 12 months. Using monthly stock prices from the <i>Course of the Exchange</i>, the team computed capital appreciation, dividend yield and total return for the overall market and for the thirteen industrial/commercial sectors on the market. These returns were computed using three weighting techniques - weighted by market capitalization, weighted by paid-up capital, and equally weighted (or unweighted). Monthly total market capitalization and paid-up capital is also reported for the overall market and for each of the thirteen sectors. In an attempt to control for survivorship bias, adjustments are made to the total returns using three different strategies. Using these strategies, the lower and upper bound estimates of shareholder returns are established.<br> <br>