An Emerging Market: The NYSE From 1815 to 1871
AbstractAbstract: This paper analyzes a new database of substantially all stocks listed on the NYSE over its early history. We collect prices and dividends from primary sources -- i.e. financial periodicals -- for all listed stocks on the New York Stock Exchange over its early history. We construct a monthly index of NYSE equity prices over the 1815-1871 period, and a monthly index with dividends over the 1825-1871 period. We find that NYSE equities returned between 7.7% and 11.8% per year in arithmetic terms between the years 1825 and 1871. We also find that income returns represented a high proportion of total return for stocks in the nineteenth century. This may be due to differences in taxation, or may be due to the changing public attitude towards substitution of capital gains for income.
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm7.
Date of creation: 03 Feb 2004
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- N21 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: Pre-1913
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-28 (All new papers)
- NEP-FIN-2004-03-28 (Finance)
- NEP-FMK-2004-03-28 (Financial Markets)
- NEP-HIS-2004-03-28 (Business, Economic & Financial History)
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- Lubos Pastor & Robert F. Stambaugh, .
"The Equity Premium and Structural Breaks,"
Rodney L. White Center for Financial Research Working Papers
11-00, Wharton School Rodney L. White Center for Financial Research.
- Luboš Pástor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," CRSP working papers 519, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pástor & Robert F. Stambaugh, . "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 21-98, Wharton School Rodney L. White Center for Financial Research.
- Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc.
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