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A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability

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Author Info
William N. Goetzmann () (Yale School of Management,)
ROGER G. IBBOTSON () (Yale School of Management,)
LIANG PENG () (University of Cincinnati)

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Abstract

In this paper, we collect individual stock prices for NYSE stocks over the period 1815 to 1925 and individual dividend data over the period 1825 to 1870. We use monthly price and dividend information on more than 600 individual securities over the period to estimate a stock price index and total return series that extends virtually to the beginning of the New York Stock Exchange. We use this data to estimate the power of past returns and dividend yields to forecast future long-horizon returns. We find some evidence of predictabiity in sub-periods but little predictability over the long term. We estimate the time-varying volatility of the U.S. market over the period 1815 to 1925 and find evidence of a leverage effect on risk. This new database will allow future researchers to test a broad range of hypotheses about the U.S. capital markets in a rich, untouched sample

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm5.

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Date of creation: 22 Jan 2004
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Handle: RePEc:ysm:somwrk:ysm5

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Web page: http://mba.yale.edu/
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Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
N2 - Economic History - - Financial Markets and Institutions

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  1. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008. "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers 14422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Gerald P. Dwyer, Jr. & Cora Barnhart, 2008. "Returns to investors in stocks in new industries," Working Paper 2008-21, Federal Reserve Bank of Atlanta. [Downloadable!]
  4. William N. Goetzmann & Luc Renneboog & Christophe Spaenjers, 2009. "Art and Money," NBER Working Papers 15502, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-12-2.

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