The SEC's EDGAR log file data set is a collection of web server log files that allow researchers to study the demand for SEC filings. This multiple terabyte data set provides researchers with a direct measure of demand for financial reports, but the log files must be filtered to remove downloads...

This paper describes an effort to extend the record of US stock market returns past the 1871 terminus of the Cowles (1938) data familiar from Schiller (2015). I combined the archival data supplied by Goetzmann, Ibbotson and Peng (2001) with data supplied by Sylla, Wilson and Wright (2006), and...