The results for . stock returns are summarized in Table 1. Panel A presents the results for the DJIA, which is the most popular . stock index and for which we have the longest return series. Price level data on this index are available from 1896 until 1999. Based on price levels at closing, we compute the daily return for day t as (Price levelt – Price levelt-1)/Price levelt-1. Thus, returns for the DJIA reflect only capital appreciation and exclude dividends. For our purposes, this omission does not seem to be important because returns.
