Back to 1871

Good data on the U.S. equities market have been recorded since 1871. Professor Robert Shiller of Yale University has collected these data and formed the S&P 500 index back to 1871. He updates and publishes these data every month on his web site, www.irrationalexuberance.com, publicly available for downloading. These are monthly data only, and without volume, but he also includes data on dividends and the cost-of-living inflator.

Figure 6.15 shows these S&P 500 data back to 1871 on yearly bars, log scale on price. It shows an overall modest uptrend from 1871 to 1942, after which an enormous, highly accelerated, very long-term uptrend starts.

The dotted curves are MIDAS S/R curves, calculated with no volume, of course, since there ...

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