U.K. Financial Market Returns, 1955–2000

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Abstract
We present and analyze new monthly index series for U.K. financial assets, covering equities, bonds, bills, and inflation. The data are consistent with the CRSP/Ibbotson series for the United States. We use our indices to estimate equity and bond premia and to make international comparisons, especially with the United States, Germany, and Japan. We illustrate potential uses of the new series by investigating stock market seasonality, inflation‐linked bonds, real dividend growth rates, and the small‐firm effect. While some of our findings resemble U.S. results, we also report differences between U.K. and U.S. stock market behavior.