Measures of Stock Market Value and Returns for the US Non fi nancial Corporate Sector ,

This paper describes a new dataset of annual time series relating to the US nonfinancial corporate sector: its market value, returns, and the major underlying stocks and flows that are valued by financial markets. The data cover the entire twentieth century, and thus fill a significant gap in the documentation of financial 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 (including an alternative “cashflow” measure); earnings; and “q”, on a range of definitions; as well as corporate leverage measures. The main features are: the relative long-run stability of both q and the cashflow dividend yield; the systematic tendency for q to be less than unity; and the ambiguous picture presented by alternative measures of corporate leverage. ∗Forthcoming, Review of Income and Wealth, December 2004 †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.