Exerpt from June 26th edition of "Pensions & Investments":
Ibbotson says stats will allow more accurate research
By Barry B. Burr
NEW HAVEN, Conn. - Stock returns from 1815 though 1925 were slightly
lower than those of the commonly used 1926-1999 period, according to
a pioneering study still being completed.
This is the first time individual stock prices have been collected
for all New York Stock Exchange equities over the 111 years that began
in the year Andrew Jackson crushed the British in the Battle of New
Orleans and Napoleon was defeated at Waterloo.
Roger G. Ibbotson and William N. Goetzmann, professors of finance,
and Liang Peng, a Ph.D. candidate in finance, all at Yale University's
School of Management, are collaborating on the study.
The three are compiling monthly prices for every stock. They include
dividends for about half of the stocks.
The data will open new areas for more accurate research and analysis,
said Mr. Ibbotson.
Modern researchers of pre-1926 stock returns have had available only
the data of various stock indexes, such as the cowls index covering
1871 to 1940, Mr. Ibbotson said. But the prices of individual stocks
in those indexes have been lost and the indexes spanned only fragments
of the 19th and early 20th centuries.
"The problem is prior to 1926, there has not been individual stock
data available," Mr. Ibbotson said.
The study will be submitted for publication in the Journal of Financial
Markets; the trio is working on an Aug. 1 deadline. Avanidhar Subrahmanyam,
professor at the Anderson Graduate School of Management, University
of California, Los Angeles, and an editor of the journal, said a publication
date has not been set yet.
Publication will be the fruition of 11 years of paging though fragile
old newspapers at the Beinecke Rare Book Library on the Yale campus
in New Haven, Conn., to search for prices of individual stocks listed
on the NYSE, Mr. Ibbotson said.
"All the raw stock prices have been collected over the last 11
years by students working every summer," he added. "You have
to worry about the pages flaking off."
They began with 1815 because that was the earliest they could find
prices. It was the year a weekly news paper New York Shipping and Commercial
started reporting NYSE stock prices, which it reported though 1852.
For the subsequent years, the researches culled prices from other New
York newspapers in the library, Mr. Ibbotson said.
The authors plan to make the database available to researchers.
For more of this article please refer to the June 26th edition of
"Pensions & Investments".
