2/4/2023 0 Comments Robert shiller dataMonthly dividend and earnings data are computed from the S&P four-quarter totals for the quarter since 1926, with linear interpolation to monthly figures. The price, dividend, and earnings series are from the same sources as described in Chapter 26 of my earlier book (Market Volatility ), although now I use monthly data, rather than annual data. This data set consists of monthly stock price, dividends, and earnings data and the consumer price index (to allow conversion to real values), all starting January 1871. Stock Markets 1871-Present and CAPE Ratio. Here’s the specifics (copied from the link above): The data does appear to come from Shiller’s work but it’s obviously spliced data not the S&P the entire time since that didn’t exist in 1871. To be clear, this post and graph have a misleading title.
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