An Analysis of the S&P 500 Index and Cowles's Extensions: Price Indexes and Stock Returns, 18701999

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.