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

William Goetzmann, Roger Ibbotson and Liang Peng

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 estima

Date: 2000-08-01, Revised 2001-03-01
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