A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability
William Goetzmann (),
Roger G. Ibbotson () and
Additional contact information
Roger G. Ibbotson: School of Management
Yale School of Management Working Papers from Yale School of Management
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.
JEL-codes: N2 G1 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Downloads: (external link)
Working Paper: A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability (2004)
Journal Article: A new historical database for the NYSE 1815 to 1925: Performance and predictability (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm154
Access Statistics for this paper
More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().