Measures of Stock Market Value and Returns for the US Non...nancial Corporate Sector, 1900-2002: Extended Version

This paper describes a new dataset of annual time series relating to the US non...nancial corporate sector: its market value, and the major underlying stocks and ‡ows that are valued by ...nancial markets. The data cover the entire twentieth century, and thus ...ll a signi...cant gap in the documentation of ...nancial and real economy linkages. Previously available data cover either shorter periods, or a more restricted sample of quoted companies. A range of series are constructed on a consistent basis: returns; dividend yields (both in standard form, and an alternative “cash‡ow” measure); earnings yields; and “q”, on a range of de...nitions; as well as corporate leverage measures. The main features are: the relative long-run stability of both q and the cash‡ow (but not unadjusted) dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage. ¤I am grateful to Andrew Smithers and Derry Pickford for extremely helpful discussions and suggestions; to Rochelle Antonimowiecz, Elizabeth Fogler and Michael Palumbo of the Federal Reserve Board’s Flow of Funds Section for their help in clarifying their statistical methodology; to the editor and an anonymous referee for helpful comments; and to Ashwin Vasan and Ravi Arulanantham for valuable research assistance.