Long-term historical data on price/earning ratios, price/book ratios and dividend yields for stockmarket indices is extremely valuable in looking at long-term returns – but it can be very difficult to obtain. While price data is available for many major markets stretching back decades or more, valuation data typically hasn’t been recorded so carefully.
The figures that are available have usually been reconstructed from old earnings reports and are proprietary data sets that are expensive to access. For those who are willing to pay, Global Financial Data is probably the most comprehensive source for very long-term financial data of all kinds.
For those who can’t justify the cost of paid-for data, there are a few freely downloadable data series for some of the major indices around the world, although they are often hard to find and there is no consistency about which markets are available. The following links will take you to the ones I’ve found that are still updated – if you’re aware of any others, please let me know in the comments below or by email.
- The best of the lot is Robert Shiller’s long-term data for the S&P500 – index levels, earnings and dividends in nominal and real terms back to 1873. The figures are available as a spreadsheet from his Irrational Exuberance site and new data is still updated monthly. Standard & Poor’s has some historical data for the S&P500 available on its site, which is more detailed but a much shorter history.
- For the Japanese market, the statistics section of Tokyo Stock Exchange’s website has monthly data back to 1980 and then yearly figures back to 1971 for earnings and book value, although unfortunately pre-1999 data is on a non-consolidated basis only (which can mean partial double-counting of connected companies). You need to go to the PER/PBR page and then scroll down to find a spreadsheet labelled ‘long-range data (composite)’.
- In Hong Kong, Hang Seng publishes monthly price/earnings and dividend yield data for the main Hang Seng Index back to 1973. It’s available as a spreadsheet here and here. There are also shorter series for the various Hang Seng sub-indices and the Hang Seng China Enterprises Index.
- For India, the Bombay Stock Exchange has p/e and dividend yield data going back to 1991 for the Sensex and shorter histories for some other indices. The retrieval tool is here, although it’s not a terribly tidy system and getting the data out for calculations will require quite a bit of work. The National Stock Exchange has a somewhat better system for getting price/earnings, price/book and dividend yield data for the Nifty, but only back to 1999.
- The Stock Exchange of Thailand has price/earnings and dividend yield data going back to 1975 and price/book data going back to 1988 for the SET Index, available for download here.