Capital gain from stock market does not always provide abnormal return to the investor. The level of abnormal return analysis can use Efficient Market Hypothesis to measure the efficiency of the stock market by using event study. The analysis also will use behavioral finance theory to elaborate...

Good data on US stock market returns before the advent of the Cowles' (1939) dataset in 1871 have been scarce. Small samples and an inability to observe dividends render current estimates suspect. I report total return for a much larger sample of stocks before 1871 than heretofore seen. I...