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Year-end data on the S&P 500® Index from 1967 to 2007 extracted from a paper copy of the S&P Analysts' Handbook. The title of the page from which this data was extracted says "Historical Index - S&P 500 Composite - 500 stocks". It includes some information (e.g. Cash Flow) that is no longer provided. An extensive dataset for the S&P 500® and various other S&P® indices can be downloaded from https://www.spglobal.com/spdji/en/documents/additional-material/sp-500-eps-est.xlsx. Final year-end numbers are typically reported in April or May of the following year.
data(SP500from1967to2007)A data frame with observations on the S&P 500® index from 1967 to 2007
Year: type `num`.
Sales: type `num`. Revenues per share for the S&P 500® for the calendar year.
Cash_Flow: type `num`. Cash Flow per share for the S&P 500® for the calendar year.
Diluted_EPS: type `num`. Fully Diluted As-Reported Earnings per share for the S&P 500® for the calendar year.
Dividends_Per_Share: type `num`. Dividends per share for the S&P 500® for the calendar year.
Dividends_Pct_of_Earnings: type `num`. Ratio of Dividends per share to Fully Diluted As-Reported Earnings per share for the S&P 500® for the calendar year, expressed as a percentage.
Price_High: type `num`. Highest price level achieved by the S&P 500® during the calendar year.
Price_Low: type `num`. Lowest price level achieved by the S&P 500® during the calendar year.
Price_Close: type `num`. Year-end (12/31) price of the S&P® Index.
PE_Ratio_High: type `num`. Ratio of Price_High to Diluted_EPS for the S&P 500®.
PE_Ratio_Low: type `num`. Ratio of Price_Low to Diluted_EPS for the S&P 500®.
PE_Ratio_Close: type `num`. Ratio of Price_Close to Diluted_EPS for the S&P 500®.
Dividend_Yld_High: type `num`. Ratio of Dividends_Per_Share to Price_High for the S&P 500®.
Dividend_Yld_Low: type `num`. Ratio of Dividends_Per_Share to Price_Low for the S&P 500®.
Dividend_Yld_Close: type `num`. Ratio of Dividends_Per_Share to Price_Close for the S&P 500®.
Total_Return_Index: type `num`. Cumulative total return of the S&P 500® including both dividends and price return. Start date for the series (when it was likely normalized to 100) is not known.
Book_Value_Per_Share: type `num`. Year-end (12/31) Book Value (or Shareholders' Equity) per share for the S&P 500®.
Book_Value_Pct_Return: type `num`. Definition currently unknown.
Price_to_Book_Ratio: type `num`. Ratio of Price_Close to Book_Value_Per_Share for the S&P 500®.
Data for the S&P® Industrials is taken from a paper copy of the S&P® Analysts' Handbook published in 2008. It includes one variable (Cash Flow) that is no longer provided, and excludes many others (Operating Earnings, Capital Expenditures, Earnings Estimates, Index Divisor, beaten estimates, sector breakdowns, projected growth rates by sector, effective tax rate etc.) that are now provided by S&P® in the spreadsheet https://www.spglobal.com/spdji/en/documents/additional-material/sp-500-eps-est.xlsx. Final year-end numbers are typically reported in April or May of the following year.
Chapter 13 (Expected Returns) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.
data(SP500from1967to2007)
names(SP500from1967to2007)
head(SP500from1967to2007, 5)
tail(SP500from1967to2007, 5)
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