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Abstract

We report on the results of·the constructiort.of consistent monthly ·returns for two alternative measures of common stocks, for Aaa. bonds, and for commercial pap.er from December 1870 through December 1987. The annual yields, on the assumption of monthly reinvestment of income.returns,· are analyzed and compared in both nominal and inflation-adjusted terms. The average returns for each series are reported by return components for the complete .1871-1987 period as well as for the two subperiods 1871,;,1925 and 1926-1987. ·The purpose of this paper is to extend return data back in time as far as possible, an.d to provide alternative data series for research purposes.

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