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

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  • William Goetzmann
  • Roger Ibbotson
  • Liang Peng

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 estima

Suggested Citation

  • William Goetzmann & Roger Ibbotson & Liang Peng, 2000. "A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability," Yale School of Management Working Papers ysm5, Yale School of Management, revised 01 Mar 2001.
    • Handle: RePEc:ysm:wpaper:ysm5
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    File URL: https://repec.som.yale.edu/icfpub/publications/2488.pdf
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    References listed on IDEAS

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    2. Cortes, Gustavo S. & Taylor, Bryan & Weidenmier, Marc D., 2022. "Financial factors and the propagation of the Great Depression," Journal of Financial Economics, Elsevier, vol. 145(2), pages 577-594.

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