a1 Lecturer in Finance, School of Business, Retail and Financial Services, University of Ulster, Coleraine BT52 1SA, N. Ireland. E-mail: firstname.lastname@example.org.
a2 Senior Lecturer in Finance, Queen's University Management School, Queen's University Belfast, Belfast BT7 1NN, N. Ireland. E-mail: email@example.com.
a3 Professor in Finance, Queen's University Management School, Queen's University Belfast, Belfast BT7 1NN, N. Ireland. E-mail: firstname.lastname@example.org.
a4 Lecturer in Finance, Queen's University Management School, Queen's University Belfast, Belfast BT7 1NN, N. Ireland. E-mail: email@example.com.
This article presents a new series of monthly equity returns for the British stock market for the period 1825-1870. In addition to calculating capital appreciation and dividend yields, the article also estimates the effect of survivorship bias on returns. Three notable findings emerge from this study. First, stock market returns in the 1825-1870 period are broadly similar for Britain and the United States, although the British market is less risky. Second, real returns in the 1825-1870 period are higher than in subsequent epochs of British history. Third, unlike the modern era, dividends are the most important component of returns.
Thanks to the ESRC (RES-000-22-1391) for financial support. Research assistance was provided by Lei Qu and Nadia Vanteeva. Earlier versions of this article were presented at a symposium at the University of Glasgow, the 2008 Economic History Society conference, the World Congress of Cliometrics, the 2008 European Business History Association conference, a seminar at the University of Antwerp, and at a workshop at Oxford University. Thanks to Fabio Braggion, Carsten Burhop, David Chambers, Mark Deloof, Nicholas Dimsdale, Georges Gallasi-Hamonno, Knick Harley, Eric Hilt, Naomi Lamoreaux, Robin Pearson, James Taylor, and other participants for their comments. Thanks also to Philip Hoffman and three anonymous referees for their helpful comments. The usual caveat applies. The data set is available online at www.qub.ac.uk/mgt/efirg and from the Economic and Social Data Service (www.esds.ac.uk).