ONLINE DATA ROBERT SHILLER
The data collection effort about investor attitudes that I have been conducting since
1989 has now resulted in a group of Stock Market Confidence Indexes produced by the Yale School of
Management. These data are collected in collaboration with Fumiko Kon-Ya and Yoshiro
Tsutsui of Japan. Some of our earlier
results are also noteworthy.
Stock market data used in my book, Irrational Exuberance [Princeton
University Press 2000, Broadway Books 2001, 2nd ed., 2005] are available for download, Excel file (xls). 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. The price, dividend, and earnings
series are from the same sources as described in Chapter 26 of my earlier book (Market
Volatility [Cambridge, MA: MIT Press, 1989]), although now I use monthly data, rather
than annual data. Monthly dividend and earnings data are computed from the S&P
four-quarter totals for the quarter since 1926, with linear interpolation to monthly
figures. Dividend and earnings data before 1926 are from Cowles and associates (Common
Stock Indexes, 2nd ed. [Bloomington, Ind.: Principia Press, 1939]), interpolated from
annual data. Stock price data are monthly averages of daily closing prices through January
2000, the last month available as this book goes to press. The CPI-U (Consumer Price
Index-All Urban Consumers) published by the U.S. Bureau of Labor Statistics begins in
1913; for years before 1913 1 spliced to the CPI Warren and Pearson's price index, by
multiplying it by the ratio of the indexes in January 1913. December 1999 and January 2000
values for the CPI-Uare extrapolated. See George F. Warren and Frank A. Pearson, Gold
and Prices (New York: John Wiley and Sons, 1935). Data are from their Table 1, pp.
1114. For the Plots, I have multiplied the inflation-corrected series by a constant
so that their value in january 2000 equals their nominal value, i.e., so that all prices
are effectively in January 2000 dollars.
The U.S. Home Price Indices, which Karl Case and I originally developed,
which were produced 1991-2002 by our firm Case Shiller Weiss, Inc. under the direction of Allan Weiss, are
now produced by CoreLogic under the direction of Linda Ladner and David Stiff.
Many of these price indices, including twenty cities, low- medium- and high- tier home price indices, condominium
indices, and a U.S. national index, are now published as the S&P/Case-Shiller Home Price Indices by
Standard & Poor's, and are available to the public on
Standard & Poor's web site. Eleven of these indices are
traded at the Chicago Mercantile Exchange. Information on these futures markets can be found at
Historical housing market data used in my book, Irrational Exuberance [Princeton University
Press 2000, Broadway Books 2001, 2nd edition, 2005], showing home prices since 1890 are
available for download [Excel file (xls)]
and are updated quarterly.
An annual series is also available here, long
term stock, bond, interest rate and consumption data since 1871 that I in
collaboration with several colleagues collected to examine long term historical trends in
the US market. This is Chapter 26 from my book Market Volatility, 1989, and
revised and updated.
Karl Case and I have collected some data
sets on prices of houses, which show for a sample of homes that sold twice between
1970 and 1986 in each of four cities Atlanta,
Chicago, Dallas, and Oakland,
the first sale price, second sale price, first sale date, and second sale date. These data
are somewhat outdated, and of interest only to researchers.