Description of Variables in BRITANN.DAT

Annual British Securities and Macroeconomic Data


STRET = (p(t)-p(t-1)+d(t))/p(t-1)  1926-1984
        (p(t)-p(t-1))/p(t-1)       1700-1925
        where

        p(t) is price index on industrial shares.
        d(t) is the dividend yield on industrial shares.

        d(t) is the total of dividends on stocks in the index
             paid in the previous year divided by the total
             equity capitalization of stocks in the index.
             From 1926-1950 this series was calculated by
             Moodies as the arithmetic average of the yields
             on 50 companies.  From 1951-1963 the average
             covered 60 companies.  From 1964-1984 the
             Financial Times Dividend yield series was used.
             This series computes dividend yields paid over
             the previous year but uses a geometric average.
             (I think this means that dividends were reinvested)??

        p(t) from 1700-1790 is from an article by Philip Mirowski.
             For most of this period there weren't many firms in the
             index (4-15).  Most of the firms were quasi-public,
             i.e. Bank of England, East India Co.   These data are
             not averaged over the year.  But which month they
             are chosen from was not specified.  From 1790-1933
             The data are from a book by Hoffman.   The series
             are based on several historical studies and include
             Hayek's stock price index.  It is not clear if these
             data are averaged for the whole year.  1934-1949 are
             from the L.C.E.S. index for 92 industrial companies
             excluding finance and property companies.  The data
             are an arithmetic average over the year of mid-month
             prices.  From 1950-1962 the data are from Moodies
             index of 60 representative equities excluding mines
             and plantations.  This series is a geometric mean of
             weekly quotes.  From 1963-1984 The Financial Times
             actuaries index was used.  This is a value-weighted
             index of 500 shares.  The index is an arithmetic
             average of the share prices from each day.  After 1967 the
             data are from C.S.O. Economic Trends.  From 1934-1966 from
             L.C.E.S., The British Economy, Key Statistics,
             1900-1966. 

PRICE        Price index. From 1700-1933 based on consumer
             prices computed by W. Hoffman, British Industry.
             He based his index in early periods on Beveridge's data.
             In later periods he used data covering as broad a basket
             as was available.  From 1934-1966 the data are based on
             retail prices from the Ministry of Labour Index.  Prices
             were adjusted to some extent for changes in quality.  From
             1967-1985, the C.S.O.s Economic Trend series FJAC gives the
             the general index of retail prices for all items.

GPROD        Inflation adjusted growth in industrial production
             Based on percentage growth in production series from World
                Historical Statistics

EP           Earnings/price ratio based on data from LCES summary for
              20th century

GINV         Growth in investment series described in British Historical
             Statistics