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

William Goetzmann (), Roger G. Ibbotson () and Liang Peng
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Roger G. Ibbotson: Yale School of Management,

Yale School of Management Working Papers from Yale School of Management

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

JEL-codes: G1 N2 (search for similar items in EconPapers)
Date: 2004-01-22
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-his and nep-rmg
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Related works:
Journal Article: A new historical database for the NYSE 1815 to 1925: Performance and predictability (2001) Downloads
Working Paper: A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability (2000) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm5

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