Second of three appendices to:'http://ssrn.com/abstract=3011486' http://ssrn.com/abstract=3011486. Critiques design and construction of predecessor indices of 19th century US stocks, including Smith and Cole (1935), Goetzmann, Ibbotson and Peng (2001), Macaulay (1938) and Cowles (1938)

This paper describes an effort to extend the record of US stock market returns past the 1871 terminus of the Cowles (1938) data familiar from Schiller (2015). I combined the archival data supplied by Goetzmann, Ibbotson and Peng (2001) with data supplied by Sylla, Wilson and Wright (2006), and...