We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices that spans more than 100 years. Stock returns exhibit all the familiar characteristics. The growth of the public sector depressed the stock market, and the process of globalization revitalized it. Banks played an important role in the early development of the stock market. There was little trading in the past, and we examine the effects on return measurement from missing data. Stock selection and the replacement of missing transaction prices through search back procedures or limit orders make little difference to a value-weighted stock price index, while ignoring the price effects of capital operations makes a big difference.

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稀薄股票市场的表现和发展：斯德哥尔摩证券交易所 1912–2017

我们在一个跨越 100 多年的新构建的每日股票价格数据集中估计了瑞典上市公司的历史股票回报。股票回报表现出所有熟悉的特征。公共部门的增长压低了股票市场，而全球化进程使股票市场恢复了活力。银行在股票市场的早期发展中发挥了重要作用。过去几乎没有交易，我们检查了缺失数据对回报测量的影响。通过回溯程序或限价单的选股和补缺交易价格对价值加权股价指数的影响不大，而忽略资本运作的价格影响则影响很大。