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

45 Pages Posted: 14 Aug 2000  

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Roger G. Ibbotson

Yale School of Management; Zebra Capital Management, LLC

Liang Peng

Smeal College of Business, The Pennsylvania State University

Date Written: July 14, 2000

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 Classification: G1, N2

Suggested Citation

Goetzmann, William N. and Ibbotson, Roger G. and Peng , Liang, A New Historical Database For The NYSE 1815 To 1925: Performance And Predictability (July 14, 2000). Yale ICF Working Paper No. 00-13; Yale SOM Working Paper No. ICF - 00-13. Available at SSRN: https://ssrn.com/abstract=236982 or http://dx.doi.org/10.2139/ssrn.236982

William N. Goetzmann (Contact Author)

Yale School of Management - International Center for Finance ( email )

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P.O. Box 208200
New Haven, CT 06520-8200
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203-432-5950 (Phone)
203-436-9252 (Fax)

HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Roger G. Ibbotson

Yale School of Management ( email )

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6021 (Phone)
203-432-6970 (Fax)

Zebra Capital Management, LLC ( email )

612 Wheelers Farms Road
Milford, CT 06461
United States

Liang Peng

Smeal College of Business, The Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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