This article provides a consistent monthly stock price index from January 1871 through 1999. The broadly defined Samp;P Weekly Index is reconstructed from 1918 and carried forward as the Samp;P 500 Composite Index to the present. Cowles's monthly index is improved in order to provide month-end...

This paper uses the supply side approach developed by Ibbotson and Chen to analyze average stock returns for the period 1926-2004. Using the quot;earningsquot; model variation, it is easy to see how each component, including real earnings growth and the P/E ratio, contributed to the average...