A new historical database for the NYSE 1815 to 1925: Performance and predictability

William N. Goetzmann, Roger G. Ibbotson, Liang Peng

Research output: Contribution to journalArticle

58 Scopus citations

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 predictability 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.

Original languageEnglish (US)
Pages (from-to)1-32
Number of pages32
JournalJournal of Financial Markets
Volume4
Issue number1
DOIs
StatePublished - Jan 2001

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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