Chang-Jin Kim and Myung-Jig Kim, "Transient Fads and the Crash of '87", 
Journal of Applied Econometrics, Vol. 11, No. 1, 1996, pp. 41-58.

The file data.kk contains two series in columns:  (1) Month Index (2)
Log of real S&P Index, deflated by CPI, for 1926.01-1992.12.  Data are
collected from the Ibbotson Associates' "SBBI Yearbook".  In the paper
we used the 1952.01 (313th observation) to 1992.12 period.