Robert Shiller's Online Data (CAPE and Long-Run US Markets)
Shiller's monthly US stock price, dividend, earnings, interest rate and CPI series since 1871, with the CAPE ratio, plus his long-run US home price data. The source behind most CAPE charts you will see.
Free to read
This is the data Shiller assembled for Irrational Exuberance and has kept updating. The stock market file has monthly S&P Composite prices, dividends and earnings from January 1871, with the CPI so you can work in real terms, and the cyclically adjusted price-earnings ratio (CAPE) that made his name. Since September 2018 the file also includes a total-return version of CAPE that adjusts for the shift from dividends to buybacks. His page explains the sources, including Cowles Commission data before 1926 and how annual figures were interpolated to monthly.
He also publishes US home prices back to 1890, the long series behind his housing work with Karl Case, and older survey data on investor confidence.
Use the spreadsheet to check claims about valuations and long-run returns yourself rather than relying on someone else's chart. Read the source notes first, since the early data are annual figures interpolated to monthly and should be treated with care.
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U.S. Stock Markets 1871-Present and CAPE Ratio (shillerdata.com)
The download page for the current stock market and home price spreadsheets.
