Gareth Campbell, Richard S. Grossman and John Turner: Before the Cult of Equity: New Monthly Indices of the British Share Market, 1829-1929: "We splice our blue-chip capital gains index with the Financial Times 30 (FT30) index to create a new blue-chip index that covers nearly two centuries, 1829 to 2018. By 1940, our blue-chip index is below its 1829 level, but during the next six decades it experiences an almost 80-fold increase.... There have been at least seven sharp contractions in the stock market over nearly 200 years and that most of these have been associated with major economic downturns.... During our sample period, investors earned an average nominal return of about five per cent per year, which suggests the existence of a modest equity risk premium by modern standards. This indicates that the emerging phase of UK stock market development was not associated with particularly high returns. Almost all of the gains experienced by investors arose from dividends, suggesting that profitable nineteenth century firms returned their gains to shareholders via dividends, in contrast to modern firms, which are more likely to return to shareholders through capital gains while smoothing dividends...
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