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I decided to check on the source of the data in more detail.
As they say, "the devil is in the details"...
From the S&P web site:
"The history of the S&P 500 dates back to 1923, when Standard and Poor's
introduced an index covering 233 companies. The index, as it is known
today, was introduced in 1957 when it was expanded to include 500
companies."
I also found this on Shiller's web site. It doesn't say much about where
the early data came from.
Stock market data used in my book, Irrational Exuberance [Princeton
University Press 2000, Broadway Books 2001] are available here as an
html file and for download, Excel file (xls) or (zipped file). (In
Internet Explorer, right click, then "Save Target As", in Netscape,
right click, then "Save Link as".) This data set consists of monthly
stock price, dividends, and earnings data and the consumer price index
(to allow conversion to real values), all starting January 1871. The
price, dividend, and earnings series are from the same sources as
described in Chapter 26 of my earlier book, (Market Volatility
[Cambridge, Mass.: MIT Press, 1989]), although now I use monthly data,
rather than annual data. Monthly dividend and earnings data are
computed from the S&P four-quarter tools for the quarter since 1926,
with linear interpolation to monthly figures. Dividend and earnings
data before 1926 are from Cowles and associates (Common Stock Indexes,
2nd ed. [Bloomington, Ind.: Principia Press, 1939]), interpolated from
annual data. Stock price data are monthly averages of daily closing
prices through January 2000, the last month available as this book
goes to press. The CPI-U (Consumer Price Index-All Urban Consumers)
published by the U.S. Bureau of Labor Statistics begins in 1913; for
years before 1913 1 spliced to the CPI Warren and Pearson's price
index, by multiplying it by the ratio of the indexes in January 1913.
December 1999 and January 2000 values for the CPI-Uare extrapolated.
See George F. Warren and Frank A. Pearson, Gold and Prices (New York:
John Wiley and Sons, 1935). Data are from their Table 1, pp. 11–14.
For the Plots, I have multiplied the inflation-corrected series by a
constant so that their value in january 2000 equals their nominal
value, i.e., so that all prices are effectively in January 2000 dollars.
At 09:43 AM 10/12/2005, Bob Fulks wrote:
>At 09:50 PM 10/11/2005, you wrote:
>
>>> Robert Shiller's web site has an Excel file going back to 1881 if that
>>> is far enough...
>>
>>The S&P 500 index was created in 1957 so any data before then is a best
>>guess extrapolation. I think it's better to use the DJIA if you want
>>"real" data going back more than a century. The two are pretty well
>>correlated.
>
>Other web sites also have it back to 1871 including the National Bureau of
>Economic Research:
>
>http://www.nber.org/databases/macrohistory/data/11/m11025a.db
>
>so lots of people seem to think it must be OK. :-)
>
>Bob
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