An Analysis of the S&P 500 Index and Cowles’s Extensions: Price Indexes and Stock Returns, 1870–1999

This article provides a consistent monthly stock price index from January 1871 through 1999. The broadly defined S&P Weekly Index is reconstructed from 1918 and carried forward as the S&P 500 Composite Index to the present. Cowles’s monthly index is improved in order to provide month‐end estimates from February 1885. Cowles’s estimates of dividends and earnings for this index from 1871 are reevaluated and are carried forward until spliced to the S&P daily estimates that began in 1957. The result is a monthly index of prices, dividends, and earnings based on consistent definitions over a period of 130 years.