UK financial market returns, 1955-2000

We present and analyze new monthly index series for U.K. financial assets, covering equities, bonds, bills, and inflation. The data are consistent wit h the CRSP/Ibbotson series for the United States. We use our indices to est imate equity and bond premia and to make international comparisons, especia lly with the United States, Germany, and Japan. We illustrate potential use s of the new series by investigating stock market seasonality, inflation-li nked bonds, real dividend growth rates, and the small-firm effect. While so me of our findings resemble U.S. results, we also report differences betwee n U.K. and U.S. stock market behavior.