Unfortunately, CRSP is making it harder to get Dow data; their Dow index only goes back to 1987, and only goes forward to 2007 for some reason; I suppose they stopped providing. What's worse, YAHOO no longer allows you to download all historical data in a spreadsheet. However, the Dow website does have data for the regular DJIA and the total return, so take that back as far as you can. You'll have to use daily returns to build up the annual return; you could do a sensitivity analysis to see how the daily granularity affects the end of year return, but that is not required.
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