We develop a simple measure of volatility based on extreme-day returns and apply it to market returns from 1885 to 2002. Because returns are not normally distributed, the extreme-day measure, which is distribution free, might provide a better measure of stock market risk than the traditional...

Using different inflation measures produces economically significant differences in both the inflation record and inflation-adjusted stock returns. We introduce a more consistent measure of the monthly Consumer Price Index (CPI) inflation rate to better measure real returns over 1913-2004, for...

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