' PPI 0582.html LONGWAVES: jul98 : Re: Earnings growth

Re: Earnings growth

Sun, 26 Jul 1998 10:05:44 -0700
Jas Jain (jjain@cisco.com)

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Dan Brindle wrote:
>
> There is still a lot of talk about over valuations. I got one stat
> that earnings for the S&P 500 has been growing at 7.5% and the current
> PE is 28. Does anyone have monthly figures on S&P 500 earning going
> back to say 1983??
>
Dan,

You can get quarterly earnings in a graph form on page 2 of:

http://www.yardeni.com/public/sp52_c.pdf

I am attaching a text file that gives yearly data for more than 100
years, but not the last few years. The best source is the GDP report
that is quaterly and gets revised a couple of times.

Unless you normalize for the inflation and smooth the data you will get
very distortred view and varying growth rates depending upon what period
you choose.

Jas, the Rabbi

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Annual Data on US Stock Market

Prices, Dividends, Earnings, 1871-present

with Associated Interest Rate, Price Level and Consumption Data

The Following is Chapter 26 (Data Appendix) from Robert J. Shiller,
"Market Volatility," MIT Press, Cambridge MA, 1989, with most series
updated:

26. Data Series

Table 26.1
Basic Data

Year Series 1 Series 2 Series 3 Series 4
Stock Prices Dividends Earnings Interest
January (%)

1871 4.44 0.26 0.40 6.35
1872 4.86 0.30 0.43 7.81
1873 5.11 0.33 0.46 8.35
1874 4.66 0.33 0.46 6.86
1875 4.54 0.30 0.36 4.96
1876 4.46 0.30 0.28 5.33
1877 3.55 0.19 0.30 5.03
1878 3.25 0.18 0.31 4.90
1879 3.58 0.20 0.38 4.25
1880 5.11 0.26 0.49 5.10
1881 6.19 0.32 0.44 4.79
1882 5.92 0.32 0.43 5.26
1883 5.81 0.33 0.40 5.35
1884 5.18 0.31 0.31 5.65
1885 4.24 0.24 0.27 4.22
1886 5.20 0.22 0.33 4.26
1887 5.58 0.25 0.36 6.11
1888 5.31 0.23 0.26 5.02
1889 5.24 0.22 0.30 4.68
1890 5.38 0.22 0.29 5.41
1891 4.84 0.22 0.34 5.97
1892 5.51 0.24 0.37 3.93
1893 5.61 0.25 0.26 8.52
1894 4.32 0.21 0.16 3.32
1895 4.25 0.19 0.25 3.09
1896 4.27 0.18 0.21 5.76
1897 4.22 0.18 0.31 3.44
1898 4.88 0.20 0.35 3.55
1899 6.08 0.21 0.48 3.36
1900 6.10 0.30 0.48 4.64
1901 7.07 0.32 0.50 4.30
1902 8.12 0.33 0.63 4.72
1903 8.46 0.35 0.53 5.50
1904 6.68 0.31 0.49 4.34
1905 8.43 0.33 0.67 4.17
1906 9.87 0.40 0.76 5.47
1907 9.56 0.44 0.66 6.23
1908 6.85 0.40 0.58 5.32
1909 9.06 0.44 0.76 3.65
1910 10.08 0.47 0.73 5.26
1911 9.27 0.47 0.59 4.00
1912 9.12 0.48 0.70 4.35
1913 9.30 0.48 0.63 5.65
1914 8.37 0.42 0.52 4.64
1915 7.48 0.43 0.88 3.65
1916 9.33 0.56 1.53 3.64
1917 9.57 0.69 1.28 4.25
1918 7.21 0.57 0.99 5.98
1919 7.85 0.53 0.93 5.56
1920 8.83 0.51 0.80 7.30
1921 7.11 0.46 0.29 7.44
1922 7.30 0.51 0.69 4.58
1923 8.90 0.53 0.98 4.96
1924 8.83 0.55 0.93 4.34
1925 10.58 0.60 1.25 3.87
1926 12.65 0.69 1.24 4.28
1927 13.40 0.77 1.11 4.26
1928 17.53 0.85 1.38 4.64
1929 24.86 0.97 1.61 6.01
1930 21.71 0.98 0.97 4.15
1931 15.98 0.82 0.61 2.43
1932 8.30 0.50 0.41 3.36
1933 7.09 0.44 0.44 1.46
1934 10.54 0.45 0.49 1.01
1935 9.26 0.47 0.76 0.75
1936 13.76 0.72 1.02 0.75
1937 17.59 0.80 1.13 0.88
1938 11.31 0.51 0.64 0.88
1939 12.50 0.62 0.90 0.56
1940 12.30 0.67 1.05 0.56
1941 10.55 0.71 1.16 0.53
1942 8.93 0.59 1.03 0.63
1943 10.09 0.61 0.94 0.69
1944 11.85 0.64 0.93 0.72
1945 13.49 0.66 0.96 0.75
1946 18.02 0.71 1.06 0.76
1947 15.21 0.84 1.61 1.01
1948 14.83 0.93 2.29 1.35
1949 15.36 1.14 2.32 1.58
1950 16.88 1.47 2.84 1.32
1951 21.21 1.41 2.44 2.12
1952 24.19 1.41 2.40 2.39
1953 26.18 1.45 2.51 2.58
1954 25.46 1.54 2.77 1.80
1955 35.60 1.64 3.62 1.81
1956 44.15 1.74 3.41 3.21
1957 45.43 1.79 3.37 3.86
1958 41.12 1.75 2.89 2.54
1959 55.62 1.83 3.39 3.74
1960 58.03 1.95 3.27 4.28
1961 59.72 2.02 3.19 2.91
1962 69.07 2.13 3.67 3.39
1963 65.06 2.28 4.02 3.50
1964 76.45 2.50 4.55 4.09
1965 86.12 2.72 5.19 4.46
1966 93.32 2.87 5.55 5.44
1967 84.45 2.92 5.33 5.55
1968 95.04 3.07 5.76 6.17
1969 102.04 3.16 5.78 8.05
1970 90.31 3.14 5.13 9.11
1971 93.49 3.07 5.70 5.66
1972 103.30 3.15 6.42 4.62
1973 118.42 3.38 8.16 7.93
1974 96.11 3.60 8.89 11.03
1975 72.56 3.68 7.96 7.24
1976 96.86 4.05 9.91 5.70
1977 103.81 4.67 10.89 5.28
1978 90.25 5.07 12.33 7.78
1979 99.71 5.65 14.86 10.88
1980 110.87 6.16 14.82 11.37
1981 132.97 6.63 15.36 17.63
1982 117.28 6.87 12.64 14.60
1983 144.27 7.09 14.03 9.37
1984 166.39 7.53 16.64 11.11
1985 171.61 7.90 14.61 8.35
1986 208.19 8.28 14.48 7.31
1987 264.51 8.81 17.50 6.25
1988 250.48 9.73 23.76 7.63
1989 285.41 11.05 22.87 9.29
1990 339.97 12.10 21.34 8.43
1991 325.5 12.20 15.91 6.92
1992 416.08 12.38 19.09 3.91
1993 435.23 12.58 21.88 3.44
1994 472.99 13.18 30.60 4.35
1995 465.25 13.79 34.09 6.45
1996 614.42


Table 26.2
Basic Data, Continued

Year Series 5 Series 6 Series 7 Series 8 Series 9
PPI PPI PPI Consumption Real
1982 = 100 1967=100 1967=100 Deflator Consump-
January Annual tion
Average

1871 15.39 44.10 44.10
1872 15.62 45.70 45.70
1873 15.98 45.40 45.40
1874 15.27 43.40 43.40
1875 14.21 40.60 40.60
1876 13.39 37.60 37.60
1877 13.51 36.70 36.70
1878 11.40 33.20 33.20
1879 10.22 31.80 31.80
1880 12.33 35.50 35.50
1881 11.63 34.40 34.40
1882 12.57 35.00 35.00
1883 12.33 33.10 33.10
1884 11.40 30.10 30.10
1885 10.22 27.80 27.80
1886 9.87 27.30 27.30
1887 9.87 27.50 27.50
1888 10.34 28.30 28.30
1889 9.87 27.30 27.30 19.30 0.73
1890 9.40 26.70 26.70 19.03 0.71
1891 9.63 26.30 26.30 18.48 0.74
1892 9.05 24.70 24.70 18.11 0.76
1893 9.75 25.30 25.30 18.24 0.76
1894 8.46 22.70 22.70 17.20 0.73
1895 8.11 23.00 23.00 16.89 0.80
1896 8.22 22.00 22.00 16.20 0.78
1897 7.99 22.00 22.00 16.48 0.82
1898 8.22 23.00 23.00 16.68 0.83
1899 8.34 24.70 24.70 17.01 0.90
1900 9.75 26.80 26.70 17.83 0.90
1901 9.52 26.00 26.00 17.55 1.00
1902 9.75 26.50 27.60 18.40 0.98
1903 10.69 27.90 28.30 18.32 1.03
1904 10.22 27.20 29.00 18.78 1.02
1905 10.46 27.40 28.30 19.07 1.05
1906 10.46 29.00 29.30 19.23 1.14
1907 10.93 30.70 30.90 20.13 1.15
1908 10.69 30.20 29.60 20.08 1.07
1909 11.04 29.80 31.90 20.92 1.15
1910 12.22 31.90 33.20 21.51 1.15
1911 11.40 31.00 30.60 21.20 1.19
1912 11.28 31.40 32.60 22.19 1.20
1913 12.10 33.90 32.90 22.07 1.22
1914 11.80 33.20 32.30 22.44 1.18
1915 11.80 33.20 33.30 23.21 1.14
1916 13.30 38.30 41.80 26.08 1.21
1917 17.60 51.90 58.30 32.59 1.16
1918 21.60 62.40 63.90 37.24 1.19
1919 23.20 67.50 67.80 37.17 1.20
1920 27.20 79.00 74.40 41.47 1.24
1921 19.60 57.70 48.40 35.82 1.33
1922 15.70 46.80 49.10 34.30 1.33
1923 17.60 52.90 50.70 35.15 1.40
1924 17.20 51.60 49.40 34.83 1.48
1925 17.70 53.50 52.20 35.71 1.39
1926 17.80 53.60 50.40 36.17 1.48
1927 16.40 50.00 48.10 35.03 1.50
1928 16.60 49.70 48.70 35.36 1.52
1929 16.50 50.20 48.00 35.09 1.59
1930 15.90 48.10 43.50 34.26 1.49
1931 13.50 39.80 36.80 30.99 1.43
1932 11.60 34.80 32.70 27.61 1.30
1933 10.50 31.60 33.20 26.47 1.27
1934 12.40 37.40 37.80 28.58 1.30
1935 13.60 40.80 40.30 29.36 1.36
1936 13.90 41.70 40.70 29.67 1.46
1937 14.80 44.40 43.50 30.74 1.51
1938 14.00 41.90 39.60 30.21 1.48
1939 13.30 39.80 38.90 29.97 1.54
1940 13.70 41.10 39.60 30.30 1.58
1941 13.90 41.80 44.00 32.41 1.64
1942 16.50 49.70 49.80 36.25 1.67
1943 17.50 52.70 52.00 39.67 1.71
1944 17.80 53.40 52.40 41.91 1.75
1945 18.10 54.30 53.30 43.45 1.83
1946 18.40 55.40 61.00 46.44 1.95
1947 24.50 73.20 76.50 51.32 1.91
1948 27.70 82.90 82.80 54.37 1.91
1949 27.30 81.60 78.70 54.00 1.90
1950 25.90 77.60 81.80 54.76 1.94
1951 30.50 91.20 91.10 58.93 1.95
1952 30.00 89.70 88.60 60.84 1.98
1953 29.10 87.20 87.40 62.24 2.01
1954 29.40 88.00 87.60 63.41 2.01
1955 29.20 87.40 87.80 63.85 2.07
1956 29.70 88.80 90.70 65.18 2.11
1957 31.00 92.70 93.30 67.27 2.12
1958 31.50 94.30 94.60 69.08 2.13
1959 31.70 94.80 94.80 70.16 2.19
1960 31.60 94.70 94.90 71.69 2.22
1961 31.80 95.20 94.50 72.61 2.24
1962 31.70 95.00 94.80 73.69 2.29
1963 31.60 94.70 94.50 74.85 2.33
1964 31.80 95.20 94.70 76.11 2.41
1965 31.80 95.20 96.60 77.80 2.50
1966 32.90 98.60 99.80 80.57 2.58
1967 33.40 100.10 100.00 82.74 2.63
1968 33.80 101.10 102.50 86.34 2.72
1969 34.80 104.30 106.50 90.39 2.79
1970 36.50 109.30 110.40 95.08 2.84
1971 37.30 111.80 113.90 99.23 2.88
1972 38.80 116.30 119.10 103.26 2.98
1973 41.60 124.50 134.70 110.20 3.05
1974 49.00 146.60 160.10 121.88 3.04
1975 57.40 171.80 174.90 131.60 3.09
1976 59.90 179.40 183.00 138.95 3.20
1977 62.80 188.10 194.20 147.68 3.30
1978 66.80 200.10 209.30 158.38 3.40
1979 73.80 220.80 235.60 172.72 3.47
1980 85.20 254.90 268.80 190.51 3.49
1981 95.20 284.80 293.40 206.93 3.52
1982 99.70 298.30 299.30 218.52 3.54
1983 100.20 299.90 303.10 227.74 3.63
1984 102.90 308.00 310.30 236.55 3.73
1985 103.40 309.50 308.70 250.42 3.71
1986 103.20 308.90 299.80
1987 100.50 300.90 307.70
1988 104.60
1989 110.5
1990 114.9
1991 119.0
1992 115.6
1993 118.0
1994 119.0
1995 122.9
1996 126.3

Notes on data:

An annual series of January values of the Standard and Poor Composite
Stock Price Index starting in 1871 was used as the basis of empirical work
in Chapters 1, 3, 5, 6, 8, 16 and 21. This series, Table 26.1 Series 1, was
taken from Standard and Poor's Statistical Service Security Price Index
Record, various issues, from Tables entitled "Monthly Stock Price Indexes -
Long Term."
The dividend and earnings series that correspond to this stock price
series are spliced together from two sources. Starting in 1926, the nominal
dividend series are dividends per share, 12 months moving total adjusted to
index for the last quarter of the year. Starting in 1926, the nominal
earnings series are earnings per share, adjusted to index, 4 quarter total,
fourth quarter. These are from a table entitled "Earnings, Dividends and
Price-Earnings Ratio - Quarterly." of Standard and Poor's Statistical
Service Security Price Index Record.
Standard and Poor's does not publish dividend or earnings series before
1926, however, their source for the Standard and Poor Index before 1926, a
volume by Cowles [1939], gives a dividend series corresponding to the index,
series Da-1, pages 388-9, which I multiplied by the ratio of the series in
1926 to adjust for change in base year.
A problem Cowles faced was absence of earnings data for many of the
stocks in the Standard and Poor Composite Index. He thus presented series
PEA-1 - "prices of stocks for which Earnings Data are available, all
stocks," a series of earnings E-1 on these stocks, and the ratio R-1 of
these series, the "earnings-price ratio." We computed the Standard and Poor
Composite Earnings series for years before 1926 as series R-1 (Cowles [1939]
pages 404-5) times the annual average Standard and Poor Composite Index for
the year. The spliced dividend and earnings series appear in Table 24.1 as
series 2 and 3.
The absence of earnings data for some stocks is of some importance for
the accuracy of the earnings series. One indication of the potential
importance of their omission can be found by comparing the series P-1 (The
Cowles index for all stocks) and the series PEA-1 (the Cowles series prices
of stocks for which earnings data are available). The ratio of P-1 to PEA-1
1871-1925 ranged from 0.98 to 1.27, the biggest discrepancies occuring in
the earliest years of the sample. Another suggestion of the importance of
the omissions is in Cowles list ([1939], Appendix II, pp.456-75) of the
companies in the index and the years for which the companies' earnings are
available. Typically, lack of data on earnings comes for isolated years (as
if earnings reports were occasionally missing) or for single years near the
begin or end of the inclusion of the company in the index.
Wilson and Jones [1987] have recently examined the Cowles data for
accuracy. They found some apparent errors in Cowles' monthly series of
cumulated returns (Cowles data implied negative dividends for some months)
and produced an alternative monthly return series that attempted to correct
these errors. They concluded that "the overall impact of these revisions as
compared to the original Cowles Commission data is minimal." The Cowles
monthly data that they criticise is not used here, returns are computed on a
January to January basis assuming dividends are not reinvested during the
year.
The nominal interest rate series, Table 24.1, Series 4 is the total
return to investing for six months in January at the January 4-6 month prime
commercial paper rate (six month starting January 1980) and for another six
months at the July 4-6 month prime commercial paper rate (six month starting
July 1980). It is computed as 100[1/((1-Rjan/200)(1-Rjul/200)) - 1]. Data
starting 1938 are from the Federal Reserve Bulletin. Data before 1938 are
from Macaulay [1938], Table 10, pages A142-60.
The U. S. Bureau of Labor Statistics has been emphasizing the Finished
Goods Producer Price Index, rather than the All Commodities Producer Price
Index ever since the Producer Price Index replaced the Wholesale Price Index
in 1978 (see Early [1978]). The Finished Goods Producer Price Index is
supposed to be superior since it is not affected by the double counting of
intermediate and final goods that infects the All Commodities Producer Price
Index. Unfortunately, the Finished Goods Producer Price Index is available
only back to 1947. Any earlier series that might be spliced to it would be
comparable to the All Commodities Producers Price Index. It was decided,
therefore, to continue to use the All Commodities Index shown here, which
the BLS makes available on a monthly basis back to 1913.
Starting with January, 1988 the BLS changed the reference base year for
the producer price index from 1967=100 to 1982 = 100 (see "Producer Price
Indexes--January 1988" News, Bureau of Labor Statistics, Feburary 12,
1988.) Table 24.2, Series 5 is the January Producer Price Index - All
Commodities with the 1982 base year starting with 1913. [Current data are
available as series WPU00000000 on the Bureau of Labor Statistics web site:
(http://stats.bls.gov:80/cgi-bin/surveymost?wp).] Data from before
1913 are from the January figures from the Warren and Pearson Index [1935],
Chapter 1, Table 1, pp. 11-14 divided by the ratio of the series in 1913.
Previously published papers in this volume use earlier producer price
index series with 1967 = 100, Table 24.2, Series 6 and 7. These series are
built up of component series, by multiplying the earlier series by the ratio
of the indexes at the date of the first observation of the succeeding
series.
Series 6 is the Producer Price Index for January. For 1947 to the end of
the sample the series is the January Producer Price Index all commodities
1967 = 100 from the Survey of Current Business. For 1924 to 1946 the
series used is January Wholesale Price Index (WPI) all commodities 1926=100
from the Federal Reserve Bulletin, divided by 1.933. For 1914 to 1923 the
series used is January WPI all commodities 1913 = 100 from the Federal
Reserve Bulletin, divided by 2.949. For 1900 to 1913 the series used is
January WPI All Commodities 1890-1899 = 100 from Wholesale Prices, BLS
Bulletin #149, Government Printing Office, Washington, 1914, divided by
4.1613. For 1871 to 1899 the series is the same as series 8 below.
The annual average producer price index Series 7 is, for 1947 the end of
the sample, the annual average Producer Price Index all commodities 1967 =
100 from the Survey of Current Business. For 1924 to 1946 the series used
is annual average WPI all commodities 1926=100 from the Federal Reserve
Bulletin, divided by 1.9843. For 1914 to 1923 the series used is annual
average WPI all commodities 1913 = 100 from the Federal Reserve Bulletin,
divided by 3.038. For 1891 to 1913 the series used is annual average WPI
all commodities 1913 = 100 from Wholesale Prices, BLS Bulletin #320,
Government Printing Office, Washington, divided by 3.0395. For 1871 to
1890 the series used is annual average WPI 1890-99 = 100, from Appendix I of
BLS Bulletin #114, divided by 4.1613.
The consumption deflator, 1972 = 100, (Table 24.2, series 8) and real per
capita consumption (Table 24.2, Series 9), both for nondurables and
services, were used in Chapter 16 and 21, as well as Shiller [1982] and
Campbell and Shiller [1988]. The data sources are given in Shiller [1982].


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